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 811-3561

CAPITAL APPRECIATION VARIABLE ACCOUNT

(Exact name of registrant as specified in charter)

500 Boylston Street, Boston, Massachusetts 02116

(Address of principal executive offices) (Zip code)

Susan S. Newton

Massachusetts Financial Services Company

500 Boylston Street

Boston, Massachusetts 02116

(Name and address of agents for service)

Registrant’s telephone number, including area code: (617) 954-5000

Date of fiscal year end: December 31

Date of reporting period: June 30, 2011

ITEM 1. REPORTS TO STOCKHOLDERS.

PROFESSIONALLY MANAGED COMBINATION

FIXED/VARIABLE ANNUITIES

FOR PERSONAL INVESTMENTS AND

QUALIFIED RETIREMENT PLANS

SEMIANNUAL REPORT Ÿ June 30, 2011

Capital Appreciation Variable Account

Global Governments Variable Account

Government Securities Variable Account

High Yield Variable Account

Money Market Variable Account

Total Return Variable Account

Issued by

Sun Life Assurance Company of Canada (U.S.),

A Wholly Owned Subsidiary of

Sun Life of Canada (U.S.) Holdings, Inc.

Table of Contents

Letter from the CEO of MFS	1
Portfolio Composition	2
Portfolio of Investments	9
Statements of Assets and Liabilities	30
Statements of Operations	32
Statements of Changes in Net Assets	33
Financial Highlights	35
Notes to Financial Statements	47
MFS® Privacy Notice	59

Board Review of Investment Advisory Agreements	Back Cover
Proxy Voting Policies and Information	Back Cover
Quarterly Portfolio Disclosure	Back Cover
Further Information	Back Cover

This report is prepared for the general information of contract owners. It is authorized for distribution to prospective investors only when preceded or accompanied by a current prospectus.

NOT FDIC INSURED                      MAY LOSE VALUE                      NO BANK GUARANTEE

Letter from the CEO of MFS

Dear Contract Owners:

After about a year of almost uninterrupted macroeconomic and financial market improvement following the global credit crisis, investors grew more cautious in the middle of 2010 as fears grew that some European countries would default on their debt and as economic data showed a weakening trend in the global economy. As a result asset prices fell significantly.

Last September the U.S. Federal Reserve Board’s promises to make lending conditions easier helped assuage market fears and drive asset prices off their recent lows. A combination of solid earnings and improving economic data gave an additional boost to investor sentiment.

In the following months, the renewed positive market mood, coupled with indications of better global macroeconomic activity, pushed many asset valuations to post-crisis highs. At the same time, global sovereign bond yields initially rose as investors became concerned about inflationary pressures, driven by higher prices for oil as well as other commodities. However, by the end of the second quarter of 2011, a weakening macroeconomic backdrop and renewed concerns over debt problems in some eurozone countries pushed equities lower.

For the remainder of 2011, we are cautiously optimistic that economic growth will continue to improve and that the global economies will recover from the shocks of the past few years. We expect the pace of recovery worldwide to be uneven and volatile and acknowledge the elevated uncertainty created by events in Japan, Europe, the Middle East, as well as that created by the U.S. debate over raising the debt ceiling and the downgrade by Standard & Poor’s of the U.S. long-term credit rating.

As always, we continue to be mindful of the many economic challenges faced at the local, national, and international levels. It is in times such as these that we want to remind investors of the merits of maintaining a long-term view, adhering to basic investing principles such as asset allocation and diversification, and working closely with their advisors to research and identify appropriate investment opportunities.

Respectfully,

Robert J. Manning

Chairman and Chief Executive Officer

MFS Investment Management®

August 16, 2011

The opinions expressed in this letter are subject to change, may not be relied upon for investment advice, and no forecasts can be guaranteed.

1

Portfolio Composition — Capital Appreciation Variable Account

Portfolio structure

Top ten holdings
Oracle Corp.	4.5%
Danaher Corp.	4.0%
Apple, Inc.	3.9%
International Business Machines Corp.	3.6%
Accenture PLC, “A”	3.2%
United Technologies Corp.	3.0%
Colgate-Palmolive Co.	2.9%
Schlumberger Ltd.	2.9%
Google, Inc., “A”	2.5%
PepsiCo, Inc.	2.3%

Equity sectors
Technology	26.1%
Industrial Goods & Services	11.6%
Consumer Staples	11.3%
Health Care	11.2%
Special Products & Services	8.8%
Financial Services	8.1%
Retailing	8.0%
Energy	7.2%
Basic Materials	3.4%
Autos & Housing	1.6%
Leisure	1.6%
Transportation	0.7%

Percentages are based on net assets as of 6/30/11.

The portfolio is actively managed and current holdings may be different.

2

Portfolio Composition — Global Governments Variable Account

Portfolio structure (i)

Fixed income sectors (i)
Non-U.S. Government Bonds	66.1%
U.S. Treasury Securities	20.2%
Mortgage-Backed Securities	3.9%
U.S. Government Agencies	2.8%
Commercial Mortgage-Backed Securities	1.5%
Composition including fixed income credit quality (a)(i)
AAA	26.7%
AA	40.9%
U.S. Government	20.2%
Federal Agencies	6.7%
Cash & Other	5.5%

Portfolio facts (i)
Average Duration (d)	6.4
Average Effective Maturity (m)	8.4 yrs.
Issuer country weightings (i)(x)
United States	33.5%
Japan	23.7%
Italy	11.5%
Germany	9.2%
United Kingdom	4.6%
Netherlands	3.7%
Canada	3.0%
France	2.6%
Spain	2.5%
Other Countries	5.7%
Currency weightings (i)(y)
Japan	31.1%
United States	28.9%
Euro	26.9%
United Kingdom	6.0%
Canada	2.1%
China	1.5%
Singapore	1.0%
Australia	0.8%
Denmark	0.7%
Other Countries	1.0%

(a) For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated.

(d) Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move.

(i) For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.

(m) In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity.

(x) Represents the portfolio’s exposure to issuer countries as a percentage of a portfolio’s total net assets.

(y) Represents the portfolio’s exposure to a particular currency as a percentage of a portfolio’s total net assets.

Percentages are based on net assets as of 6/30/11.

The portfolio is actively managed and current holdings may be different.

3

Portfolio Composition — Governments Securities Variable Account

Portfolio structure (i)

Fixed income sectors (i)
Mortgage-Backed Securities	46.9%
U.S. Treasury Securities	32.7%
U.S. Government Agencies	12.2%
Commercial Mortgage-Backed Securities	2.2%
High Grade Corporates	0.6%

Composition including fixed income credit quality (a)(i)
AAA	1.7%
AA	0.6%
BBB	0.5%
U.S. Government	33.2%
Federal Agencies	59.1%
Not Rated	(0.5)%
Cash & Other	5.4%
Portfolio facts (i)
Average Duration (d)	4.4
Average Effective Maturity (m)	6.2 yrs.

(a) For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Not Rated includes fixed income securities, including fixed income futures, which have not been rated by any rating agency. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated.

(d) Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move.

(i) For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.

(m) In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity.

Percentages are based on net assets as of 6/30/11.

The portfolio is actively managed and current holdings may be different.

4

Portfolio Composition — High Yield Variable Account

Portfolio structure (i)

Top five industries (i)
Energy-Independent	7.9%
Broadcasting	5.8%
Medical & Health Technology & Services	5.5%
Utilities-Electric Power	5.2%
Telecommunications-Wireless	5.0%

Composition including fixed income credit quality (a)(i)
A	1.2%
BBB	4.0%
BB	32.2%
B	41.1%
CCC	15.8%
CC	0.8%
C	0.2%
D	0.2%
Not Rated	(0.4)%
Non-Fixed Income	2.2%
Cash & Other	2.7%
Portfolio facts (i)
Average Duration (d)	4.5
Average Effective Maturity (m)	7.2 yrs.

(a) For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. Not Rated included fixed income securities, including fixed income futures, which have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives) and commodities. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated.

(d) Duration is a measure of how much a bond’s price is likely to fluctuate with general changes in interest rates, e.g., if rates rise 1.00%, a bond with a 5-year duration is likely to lose about 5.00% of its value due to the interest rate move.

(i) For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.

(m) In determining an instrument’s effective maturity for purposes of calculating the fund’s dollar-weighted average effective maturity, MFS uses the instrument’s stated maturity or, if applicable, an earlier date on which MFS believes it is probable that a maturity-shortening device (such as a put, pre-refunding or prepayment) will cause the instrument to be repaid. Such an earlier date can be substantially shorter than the instrument’s stated maturity.

Percentages are based on net assets as of 6/30/11.

The portfolio is actively managed and current holdings may be different.

5

Portfolio Composition — Money Market Variable Account

Portfolio structure (u)

Composition including fixed income credit quality (a)(u)
A-1+	24.0%
A-1	76.3%
Not Rated	0.0%
Cash & Other	(0.3)%

Maturity breakdown (u)
0 - 7 days	24.7%
8 - 29 days	28.5%
30 - 59 days	17.9%
60 - 89 days	14.2%
90 - 365 days	15.0%
Other Assets Less Liabilities	(0.3)%

(a) Ratings are assigned to portfolio securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Cash & Other portfolio assets that are not securities are not included in the categories mentioned above. Ratings are shown in the S&P scale. All ratings are subject to change. The fund itself is not rated.

(u) For purposes of this presentation, accrued interest, where applicable, is included.

From time to time “Other Assets Less Liabilities” may be negative due to timing of cash receipts.

Percentages are based on net assets as of 6/30/11.

The portfolio is actively managed and current holdings may be different.

6

Portfolio Composition — Total Return Variable Account

Portfolio structure (i)

Top ten holdings (i)
Fannie Mae, 5.5%, 30 Years	2.2%
JPMorgan Chase & Co.	2.0%
U.S. Treasury Notes, 1.375%, 2013	2.0%
Exxon Mobil Corp.	1.8%
U.S. Treasury Notes, 1.875%, APR 2014	1.7%
Philip Morris International Inc.	1.7%
Lockheed Martin Corp.	1.7%
United Technologies	1.5%
U.S. Treasury Notes, 3.75%, 2018	1.5%
Johnson & Johnson	1.4%
Composition including fixed income credit quality (a)(i)
AAA	1.6%
AA	1.8%
A	3.5%
BBB	5.6%
BB	0.3%
B	0.1%
CCC	0.1%
CC	0.1%
C (o)	0.0%
D	0.1%
U.S. Government	12.6%
Federal Agencies	13.4%
Not Rated (o)	0.0%
Non-Fixed Income	60.1%
Cash & Other	0.7%

Equity sectors
Financial Services	12.9%
Energy	7.1%
Consumer Staples	6.9%
Health Care	6.8%
Industrial Goods & Services	6.3%
Utilities & Communications	4.7%
Technology	3.7%
Leisure	3.5%
Basic Materials	2.8%
Retailing	2.5%
Autos & Housing	1.4%
Special Products & Services	1.0%
Transportation	0.5%
Fixed income sectors (i)
Mortgage-Backed Securities	12.7%
U.S. Treasury Securities	12.6%
High Grade Corporates	9.1%
Commercial Mortgage-Backed Securities	2.1%
Non-U.S. Government Bonds	0.9%
U.S. Government Agencies	0.8%
Emerging Markets Bonds	0.3%
High Yield Corporates	0.3%
Asset-Backed Securities	0.3%
Collateralized Debt Obligations	0.1%
Residential Mortgage-Backed Securities (o)	0.0%

7

Portfolio Composition — Total Return Variable Account — continued

(a) For all securities other than those specifically described below, ratings are assigned to underlying securities utilizing ratings from Moody’s, Fitch, and Standard & Poor’s rating agencies and applying the following hierarchy: If all three agencies provide a rating, the middle rating (after dropping the highest and lowest ratings) is assigned; if two of the three agencies rate a security, the lower of the two is assigned. Ratings are shown in the S&P and Fitch scale (e.g., AAA). All ratings are subject to change. U.S. Government includes securities issued by the U.S. Department of the Treasury. Federal Agencies includes rated and unrated U.S. Agency fixed-income securities, U.S. Agency mortgage-backed securities, and collateralized mortgage obligations of U.S. Agency mortgage-backed securities. Not Rated included fixed income securities, including fixed income futures, which have not been rated by any rating agency. Non-Fixed Income includes equity securities (including convertible bonds and equity derivatives) and commodities. Cash & Other includes cash, other assets less liabilities, offsets to derivative positions, and short-term securities. The fund may not hold all of these instruments. The fund itself has not been rated.

(i) For purposes of this presentation, the components include the market value of securities, and reflect the impact of the equivalent exposure of derivative positions, if applicable. These amounts may be negative from time to time. The bond component will include any accrued interest amounts. Equivalent exposure is a calculated amount that translates the derivative position into a reasonable approximation of the amount of the underlying asset that the portfolio would have to hold at a given point in time to have the same price sensitivity that results from the portfolio’s ownership of the derivative contract. When dealing with derivatives, equivalent exposure is a more representative measure of the potential impact of a position on portfolio performance than market value. Where the fund holds convertible bonds, these are treated as part of the equity portion of the portfolio.

(o) Less than 0.1%.

Percentages are based on net assets as of 6/30/11.

The portfolio is actively managed and current holdings may be different.

8

Portfolio of Investments (unaudited) — June 30, 2011

Capital Appreciation Variable Account

Issuer	Shares/Par		Value ($)
COMMON STOCKS - 99.6%
Aerospace - 3.6%
Precision Castparts Corp.		5,360	$	882,520
United Technologies Corp.		43,470		3,847,530
			$	4,730,050
Alcoholic Beverages - 1.1%
Diageo PLC		69,036	$	1,410,476
Apparel Manufacturers - 3.3%
LVMH Moet Hennessy Louis Vuitton S.A.		8,534	$	1,535,809
NIKE, Inc., “B”		30,370		2,732,693
			$	4,268,502
Automotive - 1.6%
Johnson Controls, Inc.		51,350	$	2,139,241
Broadcasting - 0.4%
Omnicom Group, Inc.		10,310	$	496,530
Brokerage & Asset Managers - 4.2%
Charles Schwab Corp.		80,600	$	1,325,870
CME Group, Inc.		7,130		2,079,037
Franklin Resources, Inc.		15,800		2,074,382
			$	5,479,289
Business Services - 8.8%
Accenture PLC, “A”		69,680	$	4,210,066
Dun & Bradstreet Corp.		31,910		2,410,481
MSCI, Inc., “A” (a)		68,610		2,585,225
Verisk Analytics, Inc., “A” (a)		63,710		2,205,640
			$	11,411,412
Cable TV - 1.2%
DIRECTV, “A” (a)		30,050	$	1,527,141
Chemicals - 0.8%
Monsanto Co.		14,190	$	1,029,343
Computer Software - 6.3%
Autodesk, Inc. (a)		21,870	$	844,182
Check Point Software Technologies Ltd. (a)		26,670		1,516,190
Oracle Corp.		177,340		5,836,259
			$	8,196,631
Computer Software - Systems - 10.7%
Apple, Inc. (a)		15,070	$	5,058,547
EMC Corp. (a)		84,940		2,340,097
Hewlett-Packard Co.		48,700		1,772,680
International Business Machines Corp.		27,170		4,661,014
			$	13,832,338
Consumer Products - 5.6%
Church & Dwight Co., Inc.		23,300	$	944,582
Colgate-Palmolive Co.		43,380		3,791,846
Procter & Gamble Co.		39,470		2,509,108
			$	7,245,536
Electrical Equipment - 8.0%
Amphenol Corp., “A”		23,750	$	1,282,263
Danaher Corp.		98,630		5,226,404
Sensata Technologies Holding B.V. (a)		58,440		2,200,266
W.W. Grainger, Inc.		11,090		1,703,979
			$	10,412,912
Electronics - 4.6%
ASML Holding N.V.		18,910	$	698,914
Microchip Technology, Inc.		71,890		2,725,350
Taiwan Semiconductor Manufacturing Co. Ltd., ADR		201,706		2,543,513
			$	5,967,777

Issuer	Shares/Par		Value ($)
COMMON STOCKS - continued
Energy - Integrated - 2.4%
Chevron Corp.		8,260	$	849,458
Exxon Mobil Corp.		18,310		1,490,068
Hess Corp.		9,990		746,852
			$	3,086,378
Food & Beverages - 4.6%
Groupe Danone		29,568	$	2,206,074
Mead Johnson Nutrition Co., “A”		10,920		737,646
PepsiCo, Inc.		43,100		3,035,533
			$	5,979,253
Food & Drug Stores - 0.6%
CVS Caremark Corp.		19,929	$	748,932
General Merchandise - 2.9%
Kohl’s Corp.		34,070	$	1,703,841
Target Corp.		43,610		2,045,745
			$	3,749,586
Internet - 3.2%
eBay, Inc. (a)		25,160	$	811,913
Google, Inc., “A” (a)		6,510		3,296,534
			$	4,108,447
Major Banks - 0.6%
Bank of New York Mellon Corp.		28,144	$	721,049
Medical & Health Technology & Services - 1.9%
Medco Health Solutions, Inc. (a)		14,570	$	823,496
Patterson Cos., Inc.		50,480		1,660,287
			$	2,483,783
Medical Equipment - 6.5%
Becton, Dickinson & Co.		25,780	$	2,221,463
DENTSPLY International, Inc.		41,190		1,568,515
Medtronic, Inc.		16,850		649,231
St. Jude Medical, Inc.		15,270		728,074
Thermo Fisher Scientific, Inc. (a)		36,870		2,374,059
Waters Corp. (a)		8,960		857,830
			$	8,399,172
Metals & Mining - 0.9%
BHP Billiton Ltd., ADR		12,030	$	1,138,399
Network & Telecom - 1.3%
Cisco Systems, Inc.		106,080	$	1,655,909
Oil Services - 4.8%
National Oilwell Varco, Inc.		32,370	$	2,531,658
Schlumberger Ltd.		43,110		3,724,704
			$	6,256,362
Other Banks & Diversified Financials - 3.3%
MasterCard, Inc., “A”		4,900	$	1,476,566
Visa, Inc., “A”		33,200		2,797,432
			$	4,273,998
Pharmaceuticals - 2.8%
Abbott Laboratories		22,220	$	1,169,216
Allergan, Inc.		11,410		949,883
Johnson & Johnson		23,000		1,529,960
			$	3,649,059
Railroad & Shipping - 0.7%
Kuehne & Nagel, Inc. AG		5,590	$	848,390
Specialty Chemicals - 1.7%
Praxair, Inc.		20,700	$	2,243,673
Specialty Stores - 1.2%
Industria de Diseno Textil S.A.		9,741	$	887,672

9-CAVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par		Value ($)
COMMON STOCKS - continued
Specialty Stores - 1.2%
Industria de Diseno Textil S.A.		9,741	$	887,672
Staples, Inc.		44,810		707,998
			$	1,595,670
Total Common Stocks (Identified Cost, $100,759,811)			$	129,085,238
MONEY MARKET FUNDS (v) - 0.3%
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value		420,980	$	420,980
Total Investments (Identified Cost, $101,180,791)			$	129,506,218
OTHER ASSETS, LESS LIABILITIES - 0.1%				182,704
NET ASSETS - 100.0%			$	129,688,922

See portfolio footnotes and notes to financial statements.

10-CAVA

Portfolio of Investments (unaudited) — June 30, 2011

Global Governments Variable Account

Issuer	Shares/Par			Value ($)
BONDS - 93.1%
Foreign Bonds - 65.4%
Australia - 0.7%
Commonwealth of Australia, 5.75%, 2021		AUD	36,000	$	40,174
Austria - 1.0%
Republic of Austria, 4.65%, 2018		EUR	40,000	$	63,435
Belgium - 2.1%
Kingdom of Belgium, 5.5%, 2017		EUR	78,000	$	124,340
Canada - 3.0%
Bayview Commercial Asset Trust, FRN, 1.699%, 2023 (z)		CAD	30,000	$	27,144
Canada Housing Trust, 4.6%, 2011 (n)		CAD	57,000		59,505
Government of Canada, 4.25%, 2018		CAD	72,000		81,914
Government of Canada, 5.75%, 2033		CAD	10,000		13,846
				$	182,409
Finland - 0.7%
Republic of Finland, 3.875%, 2017		EUR	29,000	$	44,441
France - 2.6%
Republic of France, 6%, 2025		EUR	49,000	$	88,310
Republic of France, 4.75%, 2035		EUR	42,000		66,254
				$	154,564
Germany - 8.9%
Federal Republic of Germany, 3.75%, 2013		EUR	185,000	$	279,561
Federal Republic of Germany, 3.75%, 2015		EUR	59,000		90,675
Federal Republic of Germany, 4.25%, 2018		EUR	56,000		89,326
Federal Republic of Germany, 6.25%, 2030		EUR	40,000		78,053
				$	537,615
Italy - 11.3%
Republic of Italy, 4.75%, 2013		EUR	224,000	$	334,156
Republic of Italy, 5.25%, 2017		EUR	176,000		269,034
Republic of Italy, 3.75%, 2021		EUR	59,000		79,221
				$	682,411
Japan - 23.6%
Government of Japan, 1.7%, 2017		JPY	51,800,000	$	685,795
Government of Japan, 1.1%, 2020		JPY	3,000,000		37,633
Government of Japan, 2.1%, 2024		JPY	21,350,000		285,201
Government of Japan, 2.2%, 2027		JPY	23,700,000		314,663
Government of Japan, 2.4%, 2037		JPY	8,000,000		107,221
				$	1,430,513
Netherlands - 3.5%
Kingdom of the Netherlands, 3.75%, 2014		EUR	119,000	$	181,438
Kingdom of the Netherlands, 5.5%, 2028		EUR	19,000		33,438
				$	214,876
Norway - 0.6%
Eksportfinans A.S.A., 1.875%, 2013		$	35,000	$	35,670
Spain - 2.4%
Kingdom of Spain, 4.6%, 2019		EUR	106,000	$	147,671
Sweden - 0.5%
Kingdom of Sweden, 5%, 2020		SEK	170,000	$	31,431
United Kingdom - 4.5%
United Kingdom Treasury, 8%, 2021		GBP	37,100	$	83,038
United Kingdom Treasury, 4.25%, 2027		GBP	58,000		94,244

Issuer	Shares/Par			Value ($)
BONDS - continued
Foreign Bonds - continued
United Kingdom - continued
United Kingdom Treasury, 4.25%, 2036		GBP	61,000	$	97,499
				$	274,781
Total Foreign Bonds				$	3,964,331
U.S. Bonds - 27.7%
Asset-Backed & Securitized - 1.1%
Commercial Mortgage Asset Trust, FRN, 0.991%, 2032 (i)(z)		$	784,612	$	7,948
Commercial Mortgage Pass-Through Certificates, FRN, 0.377%, 2017 (n)			59,000		56,980
First Union National Bank Commercial Mortgage Trust, FRN, 1.636%, 2043 (i)(z)			63,132		2
				$	64,930
Mortgage-Backed - 3.9%
Fannie Mae, 4.768%, 2012		$	35,840	$	36,840
Fannie Mae, 5.37%, 2013			23,177		24,072
Fannie Mae, 4.78%, 2015			22,701		24,621
Fannie Mae, 5.5%, 2015			8,860		9,637
Fannie Mae, 5.09%, 2016			25,000		27,273
Fannie Mae, 5.424%, 2016			22,783		25,164
Fannie Mae, 5.16%, 2018			23,730		26,082
Fannie Mae, 5.1%, 2019			10,714		11,655
Fannie Mae, 5.18%, 2019			10,718		11,689
Fannie Mae, 6.16%, 2019			8,903		9,989
Freddie Mac, 5.085%, 2019			10,000		10,686
Freddie Mac, 5%, 2028			9,224		9,334
Freddie Mac, FRN, 3.882%, 2017			10,000		10,455
				$	237,497
U.S. Government Agencies and Equivalents - 2.7%
Aid-Egypt, 4.45%, 2015		$	49,000	$	54,432
Small Business Administration, 4.57%, 2025			27,970		29,663
Small Business Administration, 5.21%, 2026			74,619		80,499
				$	164,594
U.S. Treasury Obligations - 20.0%
U.S. Treasury Bonds, 6.875%, 2025		$	76,000	$	102,173
U.S. Treasury Bonds, 5.25%, 2029			126,000		145,392
U.S. Treasury Bonds, 4.5%, 2039			17,100		17,485
U.S. Treasury Notes, 1.375%, 2013			105,000		106,723
U.S. Treasury Notes, 4.125%, 2015			165,000		183,085
U.S. Treasury Notes, 4.75%, 2017			242,000		278,338
U.S. Treasury Notes, 3.5%, 2020			102,000		106,486
U.S. Treasury Notes, TIPS, 1.25%, 2020			254,726		269,452
				$	1,209,134
Total U.S. Bonds				$	1,676,155
Total Bonds (Identified Cost, $5,178,489)				$	5,640,486
MONEY MARKET FUNDS (v) - 5.0%
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value			304,534	$	304,534
Total Investments (Identified Cost, $5,483,023)				$	5,945,020
OTHER ASSETS, LESS LIABILITIES - 1.9%					112,585
NET ASSETS - 100.0%				$	6,057,605

11-WGVA

Portfolio of Investments (unaudited) — continued

Derivative Contracts at 6/30/11

Forward Foreign Currency Exchange Contracts at 6/30/11

Type	Currency	Counterparty	Contracts to Deliver/ Receive		Settlement Date Range	In Exchange For		Contracts at Value		Net Unrealized Appreciation (Depreciation)
Asset Derivatives
BUY	AUD	JPMorgan Chase Bank N.A.		2,000	7/12/11		$2,117		$2,143		$26
BUY	AUD	Westpac Banking Corp.		10,158	7/12/11		10,570		10,886		316
BUY	CAD	Barclays Bank PLC		4,000	7/12/11		4,081		4,147		66
BUY	CAD	Goldman Sachs International		6,000	7/12/11		6,199		6,220		21
BUY	CNY	HSBC Bank		102,000	11/16/11		15,821		15,836		15
BUY	DKK	Credit Suisse Group		196,472	7/12/11		37,947		38,192		245
BUY	DKK	Goldman Sachs International		8,000	7/12/11		1,544		1,556		12
SELL	DKK	UBS AG		3,000	7/12/11		585		583		2
BUY	EUR	Barclays Bank PLC		4,000	7/12/11		5,712		5,799		87
BUY	EUR	Brown Brothers Harriman & Co.		9,000	7/12/11		12,989		13,049		60
BUY	EUR	Credit Suisse Group		12,000	7/12/11		17,333		17,398		65
BUY	EUR	Merrill Lynch International Bank		30,000	7/12/11		42,936		43,496		560
BUY	EUR	UBS AG		61,064	7/12/11		87,935		88,535		600
SELL	EUR	Citibank N.A.		36,000	7/12/11		52,799		52,195		604
BUY	GBP	Brown Brothers Harriman & Co.		1,000	7/12/11		1,599		1,605		6
SELL	GBP	Barclays Bank PLC		12,709	7/12/11		20,668		20,395		273
SELL	GBP	Citibank N.A.		2,000	7/12/11		3,228		3,209		19
SELL	GBP	Goldman Sachs International		2,000	7/12/11		3,270		3,209		61
SELL	GBP	UBS AG		1,000	7/12/11		1,640		1,604		36
BUY	HUF	HSBC Bank		2,762,000	7/12/11		14,795		15,059		264
BUY	IDR	HSBC Bank		133,218,000	7/26/11		15,399		15,486		87
BUY	JPY	Barclays Bank PLC		501,000	7/12/11		6,127		6,224		97
BUY	JPY	Credit Suisse Group		36,834,530	7/12/11		433,853		457,559		23,706
BUY	JPY	Deutsche Bank AG		2,163,000	7/12/11		26,329		26,869		540
BUY	JPY	HSBC Bank		3,457,000	7/12/11		41,641		42,943		1,302
SELL	JPY	Barclays Bank PLC		408,000	7/12/11		5,109		5,068		41
SELL	JPY	Credit Suisse Group		485,000	7/12/11		6,046		6,025		21
SELL	JPY	UBS AG		1,131,000	7/12/11		14,112		14,049		63
BUY	MXN	Citibank N.A.		180,000	7/05/11		15,161		15,373		212
BUY	NOK	Deutsche Bank AG		255,000	7/12/11		46,373		47,245		872
BUY	NZD	Barclays Bank PLC		10,000	7/12/11		8,040		8,281		241
BUY	NZD	JPMorgan Chase Bank N.A.		9,000	7/12/11		7,236		7,453		217
BUY	SEK	Deutsche Bank AG		86,000	7/12/11		13,580		13,591		11
SELL	SEK	Credit Suisse Group		5,157	7/12/11		824		815		9
BUY	SGD	Credit Suisse Group		57,000	7/12/11		45,367		46,406		1,039
BUY	SGD	Deutsche Bank AG		10,500	7/12/11		8,327		8,548		221
BUY	SGD	HSBC Bank		10,500	7/12/11		8,328		8,548		220
SELL	THB	HSBC Bank		458,000	7/25/11		15,007		14,892		115
SELL	THB	JPMorgan Chase Bank N.A.		185,000	7/05/11		6,062		6,024		38
											$32,390
Liability Derivatives
BUY	AUD	Barclays Bank PLC		7,000	7/12/11		$7,539		$7,501		$(38	)
BUY	AUD	Goldman Sachs International		6,000	7/12/11		6,518		6,430		(88	)
SELL	AUD	Barclays Bank PLC		12,000	7/12/11		12,685		12,859		(174	)
SELL	AUD	Citibank N.A.		3,000	7/12/11		3,214		3,215		(1	)
SELL	AUD	Westpac Banking Corp.		1,000	7/12/11		1,053		1,072		(19	)
BUY	CAD	Brown Brothers Harriman & Co.		9,000	7/12/11		9,437		9,330		(107	)
BUY	CAD	HSBC Bank		11,000	7/12/11		11,477		11,403		(74	)
SELL	CAD	Barclays Bank PLC		11,000	7/12/11		11,217		11,403		(186	)
SELL	CAD	Goldman Sachs International		50,136	7/12/11		51,837		51,975		(138	)
SELL	CAD	UBS AG		22,000	7/12/11		22,732		22,807		(75	)
BUY	CNY	Barclays Bank PLC		94,000	11/16/11		14,642		14,594		(48	)
BUY	CNY	Deutsche Bank AG		393,000	11/16/11		61,182		61,016		(166	)
BUY	EUR	Goldman Sachs International		23,000	7/12/11		33,628		33,347		(281	)
BUY	EUR	HSBC Bank		4,000	7/12/11		5,904		5,799		(105	)
SELL	EUR	Barclays Bank PLC		12,000	7/12/11		17,045		17,398		(353	)
SELL	EUR	Citibank N.A.		10,000	7/12/11		14,319		14,499		(180	)

12-WGVA

Portfolio of Investments (unaudited) — continued

Forward Foreign Currency Exchange Contracts at 6/30/11 - continued

Type	Currency	Counterparty	Contracts to Deliver/ Receive		Settlement Date Range	In Exchange For		Contracts at Value		Net Unrealized Appreciation (Depreciation)
Liability Derivatives - continued
SELL	EUR	Credit Suisse Group		8,000	7/12/11		$11,391		$11,599		$(208	)
SELL	EUR	Deutsche Bank AG		41,000	7/12/11		58,536		59,445		(909	)
SELL	EUR	Goldman Sachs International		6,000	7/12/11		8,514		8,699		(185	)
SELL	EUR	Morgan Stanley Capital Services, Inc.		6,000	7/12/11		8,639		8,699		(60	)
SELL	EUR	UBS AG		294,847	7/12/11-9/15/11		423,622		426,931		(3,309	)
BUY	GBP	Barclays Bank PLC		35,876	7/12/11		58,480		57,575		(905	)
BUY	GBP	Deutsche Bank AG		32,876	7/12/11		53,589		52,760		(829	)
BUY	GBP	Goldman Sachs International		1,000	7/12/11		1,633		1,605		(28	)
BUY	HUF	Barclays Bank PLC		1,695,000	7/12/11		9,255		9,241		(14	)
SELL	HUF	Barclays Bank PLC		4,452,000	7/12/11		22,952		24,272		(1,320	)
BUY	IDR	Merrill Lynch International Bank		132,291,000	9/06/11		15,431		15,276		(155	)
SELL	IDR	HSBC Bank		265,335,000	7/26/11		30,586		30,844		(258	)
BUY	JPY	Brown Brothers Harriman & Co.		288,000	7/12/11		3,587		3,577		(10	)
BUY	JPY	Goldman Sachs International		1,026,000	7/12/11		12,793		12,745		(48	)
BUY	JPY	Morgan Stanley Capital Services, Inc.		360,000	7/12/11		4,490		4,472		(18	)
SELL	JPY	Barclays Bank PLC		3,344,000	7/12/11		41,357		41,539		(182	)
SELL	JPY	Brown Brothers Harriman & Co.		1,129,000	7/12/11		13,849		14,024		(175	)
SELL	JPY	Citibank N.A.		1,755,000	7/12/11		21,765		21,801		(36	)
SELL	JPY	Credit Suisse Group		102,000	7/12/11		1,263		1,267		(4	)
SELL	JPY	HSBC Bank		186,000	7/12/11		2,287		2,311		(24	)
SELL	JPY	UBS AG		239,000	7/12/11		2,812		2,969		(157	)
SELL	MXN	Citibank N.A.		183,000	7/05/11-7/12/11		15,549		15,630		(81	)
BUY	MYR	JPMorgan Chase Bank N.A.		92,000	8/09/11		30,557		30,389		(168	)
SELL	MYR	JPMorgan Chase Bank N.A.		92,000	8/09/11		29,997		30,389		(392	)
SELL	NOK	Deutsche Bank AG		88,000	7/12/11		15,898		16,304		(406	)
SELL	NZD	Goldman Sachs International		19,000	7/12/11		14,879		15,734		(855	)
BUY	SEK	Barclays Bank PLC		40,000	7/12/11		6,633		6,321		(312	)
BUY	SEK	Credit Suisse Group		52,000	7/12/11		8,524		8,218		(306	)
SELL	SEK	Deutsche Bank AG		192,000	7/12/11		29,758		30,344		(586	)
BUY	SGD	Barclays Bank PLC		18,000	8/05/11		14,683		14,655		(28	)
BUY	SGD	JPMorgan Chase Bank N.A.		18,000	8/05/11		14,683		14,654		(29	)
SELL	SGD	UBS AG		38,000	7/12/11		30,688		30,937		(249	)
BUY	THB	HSBC Bank		458,000	7/25/11		15,323		14,892		(431	)
BUY	THB	JPMorgan Chase Bank N.A.		185,000	7/05/11		6,198		6,024		(174	)
											$(14,884	)

At June 30, 2011, the variable account had sufficient cash and/or securities to cover any commitments under these derivative contracts.

See portfolio footnotes and notes to financial statements.

13-WGVA

Portfolio of Investments (unaudited) — June 30, 2011

Government Securities Variable Account

Issuer	Shares/Par		Value ($)
BONDS - 94.4%
Agency - Other - 6.0%
Financing Corp., 9.4%, 2018	$	1,020,000	$	1,425,684
Financing Corp., 10.35%, 2018		500,000		736,354
Financing Corp., STRIPS, 0%, 2017		1,220,000		1,023,983
			$	3,186,021
Asset-Backed & Securitized - 2.2%
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049	$	151,000	$	160,217
Commercial Mortgage Pass-Through Certificates, “A4”, 5.306%, 2046		424,864		454,966
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.004%, 2049		249,825		269,436
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.186%, 2051		242,098		257,556
			$	1,142,175
Local Authorities - 0.6%
Nashville & Davidson County, TN, Metropolitan Government Convention Center Authority (Build America Bonds), 6.731%, 2043	$	180,000	$	185,549
University of California Rev. (Build America Bonds), 5.77%, 2043		125,000		124,199
			$	309,748
Mortgage-Backed - 46.7%
Fannie Mae, 5.503%, 2011	$	79,000	$	79,596
Fannie Mae, 4.73%, 2012		86,102		89,201
Fannie Mae, 4.791%, 2012		37,132		38,169
Fannie Mae, 4.542%, 2013		51,107		53,359
Fannie Mae, 4.845%, 2013		237,765		250,407
Fannie Mae, 5%, 2013-2041		2,839,998		3,031,288
Fannie Mae, 5.06%, 2013		95,641		98,346
Fannie Mae, 5.159%, 2013		92,059		97,997
Fannie Mae, 4.562%, 2014		76,246		81,255
Fannie Mae, 4.6%, 2014		115,218		122,461
Fannie Mae, 4.609%, 2014		349,324		375,029
Fannie Mae, 4.77%, 2014		97,154		104,161
Fannie Mae, 4.841%, 2014		689,802		738,282
Fannie Mae, 4.873%, 2014		429,773		453,817
Fannie Mae, 5.1%, 2014-2015		190,926		205,563
Fannie Mae, 4.56%, 2015		148,957		160,020
Fannie Mae, 4.62%, 2015		165,948		178,280
Fannie Mae, 4.665%, 2015		100,649		108,437
Fannie Mae, 4.74%, 2015		93,434		101,003
Fannie Mae, 4.79%, 2015		94,118		102,093
Fannie Mae, 4.81%, 2015		118,355		128,482
Fannie Mae, 4.815%, 2015		115,384		125,113
Fannie Mae, 4.82%, 2015		232,965		251,736
Fannie Mae, 4.89%, 2015		81,640		88,488
Fannie Mae, 4.922%, 2015		179,520		195,180
Fannie Mae, 5.465%, 2015		193,364		213,626
Fannie Mae, 4.5%, 2016-2041		1,698,861		1,797,051
Fannie Mae, 5.157%, 2016		36,960		40,626
Fannie Mae, 5.35%, 2016		53,637		58,678
Fannie Mae, 5.724%, 2016		92,454		102,617
Fannie Mae, 6.5%, 2016-2037		440,254		497,473
Fannie Mae, 5.5%, 2017-2035		3,708,380		4,035,925
Fannie Mae, 6%, 2017-2037		1,304,350		1,440,864
Fannie Mae, 5.68%, 2018		41,457		45,248
Fannie Mae, 4.874%, 2019		237,406		260,096
Fannie Mae, 5.6%, 2019		51,971		56,349
Fannie Mae, 3.87%, 2020		59,348		60,014
Fannie Mae, 4.14%, 2020		36,635		37,712
Fannie Mae, 4.88%, 2020		67,627		72,046

Issuer	Shares/Par		Value ($)
BONDS - continued
Mortgage-Backed - continued
Fannie Mae, 7.5%, 2022-2031	$	72,081	$	84,478
Freddie Mac, 4.375%, 2015		46,695		47,168
Freddie Mac, 5%, 2016-2040		1,011,638		1,076,777
Freddie Mac, 3.154%, 2018		181,000		180,448
Freddie Mac, 5.085%, 2019		312,000		333,393
Freddie Mac, 6%, 2019-2038		1,074,236		1,185,778
Freddie Mac, 4.224%, 2020		152,529		158,687
Freddie Mac, 4.251%, 2020		119,000		124,086
Freddie Mac, 4.5%, 2022-2025		150,290		159,397
Freddie Mac, 5.5%, 2022-2036		1,754,195		1,908,756
Freddie Mac, 4%, 2025		465,467		485,493
Freddie Mac, 6.5%, 2032-2037		267,147		302,635
Freddie Mac, FRN, 3.882%, 2017		166,000		173,550
Ginnie Mae, 5.5%, 2033		755,470		836,447
Ginnie Mae, 4.5%, 2039-2040		639,161		677,504
Ginnie Mae, 5.612%, 2058		550,591		589,205
Ginnie Mae, 6.357%, 2058		307,725		332,692
			$	24,632,582
U.S. Government Agencies and Equivalents - 6.0%
Aid-Egypt, 4.45%, 2015	$	335,000	$	372,135
Farmer Mac, 5.5%, 2011 (n)		690,000		691,415
FDIC Structured Sale Guarantee Note, 0%, 2012 (n)		43,000		42,355
Small Business Administration, 6.44%, 2021		208,240		227,676
Small Business Administration, 6.625%, 2021		281,262		307,474
Small Business Administration, 4.98%, 2023		148,512		157,706
Small Business Administration, 4.77%, 2024		336,379		358,454
Small Business Administration, 4.99%, 2024		165,275		177,189
Small Business Administration, 5.11%, 2025		194,092		207,562
U.S. Department of Housing & Urban Development, 6.36%, 2016		500,000		502,407
U.S. Department of Housing & Urban Development, 6.59%, 2016		109,000		109,544
			$	3,153,917
U.S. Treasury Obligations - 32.9%
U.S. Treasury Bonds, 9.25%, 2016	$	19,000	$	25,543
U.S. Treasury Bonds, 7.5%, 2016		218,000		281,237
U.S. Treasury Bonds, 7.875%, 2021		63,000		88,362
U.S. Treasury Bonds, 6.25%, 2023		16,000		20,298
U.S. Treasury Bonds, 6.75%, 2026		33,000		44,040
U.S. Treasury Bonds, 6.375%, 2027		326,000		422,170
U.S. Treasury Bonds, 5.25%, 2029 (f)		2,162,000		2,494,745
U.S. Treasury Bonds, 4.5%, 2036		124,000		128,146
U.S. Treasury Bonds, 4.375%, 2038		772,000		777,066
U.S. Treasury Bonds, 4.5%, 2039		1,280,000		1,308,800
U.S. Treasury Notes, 1.125%, 2012		1,170,000		1,176,307
U.S. Treasury Notes, 1.375%, 2012		2,014,900		2,030,405
U.S. Treasury Notes, 1.375%, 2013		57,000		57,882
U.S. Treasury Notes, 4%, 2014		211,000		229,199
U.S. Treasury Notes, 1.875%, 2014		2,043,000		2,106,844
U.S. Treasury Notes, 4%, 2015		610,000		672,335
U.S. Treasury Notes, 2.625%, 2016		201,000		210,029
U.S. Treasury Notes, 2.625%, 2018		1,429,000		1,446,863
U.S. Treasury Notes, 2.75%, 2019		778,400		785,880
U.S. Treasury Notes, 3.125%, 2019		825,000		851,813
U.S. Treasury Notes, 3.5%, 2020		689,000		719,302

14-GSVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par		Value ($)
BONDS - continued
U.S. Treasury Obligations - continued
U.S. Treasury Notes, TIPS, 1.25%, 2020	$	1,388,103	$	1,468,352
			$	17,345,618
Total Bonds (Identified Cost, $47,294,312)			$	49,770,061
MONEY MARKET FUNDS (v) - 5.0%
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value		2,638,907	$	2,638,907
Total Investments (Identified Cost, $49,933,219)			$	52,408,968
OTHER ASSETS, LESS LIABILITIES - 0.6%				337,515
NET ASSETS - 100.0%			$	52,746,483

Derivatives Contracts at 6/30/11

Futures Contracts Outstanding at 6/30/11

Description	Currency	Contracts		Value		Expiration Date	Unrealized Appreciation (Depreciation)
Asset Derivatives
Interest Rate Futures
U.S. Treasury Note 10 yr (Short)	USD		2	$	244,656	September - 2011	$	663

At June 30, 2011, the variable account had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.

See portfolio footnotes and notes to financial statements.

15-GSVA

Portfolio of Investments (unaudited) — June 30, 2011

High Yield Variable Account

Issuer	Shares/Par			Value ($)
BONDS - 93.7%
Aerospace - 2.2%
BE Aerospace, Inc., 8.5%, 2018		$	110,000	$	120,007
Bombardier, Inc., 7.5%, 2018 (n)			185,000		207,200
Bombardier, Inc., 7.75%, 2020 (n)			60,000		67,500
CPI International Acquisition, Inc., 8%, 2018 (n)			120,000		113,400
Hawker Beechcraft Acquisition Co. LLC, 8.5%, 2015			138,000		107,985
Heckler & Koch GmbH, 9.5%, 2018 (z)		EUR	100,000		137,764
Huntington Ingalls Industries, Inc., 7.125%, 2021 (n)		$	95,000		98,325
				$	852,181
Airlines - 0.0%
Continental Airlines, Inc., 6.748%, 2018		$	16,210	$	16,067
Apparel Manufacturers - 0.7%
Hanesbrands, Inc., 8%, 2016		$	110,000	$	117,425
Phillips-Van Heusen Corp., 7.375%, 2020			155,000		165,850
				$	283,275
Asset-Backed & Securitized - 1.3%
ARCap REIT, Inc., CDO, “H”, FRN, 6.1%, 2045 (d)(z)		$	122,401	$	4,590
Citigroup Commercial Mortgage Trust, FRN, 5.886%, 2049			148,212		85,203
Crest Ltd., CDO, 7%, 2040			165,066		8,253
First Union National Bank Commercial Mortgage Trust, 6.75%, 2032			165,000		112,625
JPMorgan Chase Commercial Mortgage Securities Corp., “C”, FRN, 6.258%, 2051			110,000		75,887
Wachovia Bank Commercial Mortgage Trust, FRN, 5.943%, 2047			87,180		34,399
Wachovia Credit, CDO, FRN, 1.596%, 2026 (z)			250,000		175,000
				$	495,957
Automotive - 3.0%
Accuride Corp., 9.5%, 2018		$	110,000	$	117,700
Allison Transmission, Inc., 7.125%, 2019 (n)			80,000		77,800
Ford Motor Credit Co. LLC, 8%, 2014			100,000		109,704
Ford Motor Credit Co. LLC, 12%, 2015			404,000		501,008
General Motors Financial Co., Inc., 6.75%, 2018 (z)			80,000		80,200
Goodyear Tire & Rubber Co., 10.5%, 2016			68,000		76,500
Jaguar Land Rover PLC, 8.125%, 2021 (z)			150,000		151,125
UCI International, Inc., 8.625%, 2019			30,000		30,900
				$	1,144,937
Basic Industry - 0.3%
Trimas Corp., 9.75%, 2017		$	115,000	$	125,925
Broadcasting - 5.1%
Allbritton Communications Co., 8%, 2018		$	100,000	$	101,750
Citadel Broadcasting Corp., 7.75%, 2018 (n)			15,000		15,938
Clear Channel Communications, Inc., 9%, 2021 (z)			45,000		43,088
EH Holding Corp., 7.625%, 2021 (z)			25,000		25,500
Entravision Communications Corp., 8.75%, 2017			30,000		31,050

Issuer	Shares/Par			Value ($)
BONDS - continued
Broadcasting - continued
Gray Television, Inc., 10.5%, 2015		$	30,000	$	31,200
Inmarsat Finance PLC, 7.375%, 2017 (n)			200,000		212,000
Intelsat Bermuda Ltd., 11.25%, 2017			105,000		112,744
Intelsat Jackson Holdings Ltd., 9.5%, 2016			315,000		330,356
Intelsat Jackson Holdings Ltd., 11.25%, 2016			45,000		47,700
Lamar Media Corp., 6.625%, 2015			85,000		86,275
Lamar Media Corp., “C”, 6.625%, 2015			35,000		35,394
LBI Media, Inc., 8.5%, 2017 (z)			100,000		78,500
Liberty Media Corp., 8.5%, 2029			105,000		101,325
Local TV Finance LLC, 9.25%, 2015 (p)(z)			172,529		172,745
Newport Television LLC, 13%, 2017 (n)(p)			50,920		50,543
Salem Communications Corp., 9.625%, 2016			18,000		18,968
Sinclair Broadcast Group, Inc., 9.25%, 2017 (n)			65,000		71,338
Sinclair Broadcast Group, Inc., 8.375%, 2018			20,000		21,000
SIRIUS XM Radio, Inc., 13%, 2014 (n)			30,000		35,175
SIRIUS XM Radio, Inc., 8.75%, 2015 (n)			120,000		132,300
SIRIUS XM Radio, Inc., 7.625%, 2018 (n)			80,000		83,600
Univision Communications, Inc., 6.875%, 2019 (n)			70,000		69,300
Univision Communications, Inc., 7.875%, 2020 (n)			55,000		56,375
				$	1,964,164
Brokerage & Asset Managers - 0.5%
E*TRADE Financial Corp., 7.875%, 2015		$	50,000	$	50,250
E*TRADE Financial Corp., 12.5%, 2017			135,000		157,950
				$	208,200
Building - 2.1%
Associated Materials LLC, 9.125%, 2017 (z)		$	30,000	$	29,925
Building Materials Holding Corp., 6.875%, 2018 (n)			85,000		86,700
Building Materials Holding Corp., 7%, 2020 (n)			55,000		57,613
Building Materials Holding Corp., 6.75%, 2021 (n)			45,000		45,225
CEMEX S.A., 9.25%, 2020			240,000		237,600
Masonite International Corp., 8.25%, 2021 (n)			45,000		44,719
Nortek, Inc., 10%, 2018 (n)			35,000		35,000
Nortek, Inc., 8.5%, 2021 (n)			115,000		106,375
Owens Corning, 9%, 2019			145,000		173,187
				$	816,344
Business Services - 1.5%
First Data Corp., 12.625%, 2021 (n)		$	55,000	$	58,850
Interactive Data Corp., 10.25%, 2018 (n)			110,000		119,625
Iron Mountain, Inc., 6.625%, 2016			145,000		145,000

16-HYVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par			Value ($)
BONDS - continued
Business Services - continued
SunGard Data Systems, Inc., 10.25%, 2015		$	156,000	$	161,460
SunGard Data Systems, Inc., 7.375%, 2018			50,000		50,000
SunGard Data Systems, Inc., 7.625%, 2020			60,000		60,600
				$	595,535
Cable TV - 4.0%
AMC Networks, Inc., 7.75%, 2021 (z)		$	23,000	$	24,035
Bresnan Broadband Holdings LLC, 8%, 2018 (n)			30,000		30,938
Cablevision Systems Corp., 8.625%, 2017			85,000		92,119
CCH II LLC, 13.5%, 2016			120,000		141,300
CCO Holdings LLC, 7.875%, 2018			130,000		136,988
CCO Holdings LLC, 8.125%, 2020			125,000		135,000
Cequel Communications Holdings, 8.625%, 2017 (n)			40,000		41,600
Charter Communications Operating LLC, 10.875%, 2014 (n)			80,000		88,000
CSC Holdings LLC, 8.5%, 2014			190,000		210,425
Insight Communications Co., Inc., 9.375%, 2018 (n)			100,000		109,750
Mediacom LLC, 9.125%, 2019			100,000		105,500
UPCB Finance III Ltd., 6.625%, 2020 (n)			170,000		167,875
Videotron LTEE, 6.875%, 2014			27,000		27,304
Virgin Media Finance PLC, 9.125%, 2016			228,000		239,970
				$	1,550,804
Chemicals - 3.8%
Ashland, Inc., 9.125%, 2017		$	80,000	$	90,000
Celanese U.S. Holdings LLC, 6.625%, 2018			165,000		174,075
Hexion U.S. Finance Corp/Hexion Nova Scotia Finance, 8.875%, 2018			95,000		98,800
Hexion U.S. Finance Corp/Hexion Nova Scotia Finance, 9%, 2020			30,000		30,750
Huntsman International LLC, 8.625%, 2021			110,000		119,625
Lyondell Chemical Co., 11%, 2018			377,972		423,329
Momentive Performance Materials, Inc., 12.5%, 2014			153,000		166,388
Momentive Performance Materials, Inc., 11.5%, 2016			150,000		159,750
Polypore International, Inc., 7.5%, 2017			110,000		116,325
Solutia, Inc., 7.875%, 2020			95,000		101,650
				$	1,480,692
Computer Software - 0.2%
Syniverse Holdings, Inc., 9.125%, 2019 (n)		$	80,000	$	83,200
Computer Software - Systems - 0.8%
Audatex North America, Inc., 6.75%, 2018 (z)		$	65,000	$	65,325
DuPont Fabros Technology, Inc., REIT, 8.5%, 2017			165,000		180,263
Eagle Parent, Inc., 8.625%, 2019 (z)			65,000		62,644
				$	308,232
Conglomerates - 1.2%
Amsted Industries, Inc., 8.125%, 2018 (n)		$	115,000	$	120,750
Griffon Corp., 7.125%, 2018 (n)			120,000		120,450
Pinafore LLC, 9%, 2018 (n)			195,000		210,113
				$	451,313

Issuer	Shares/Par			Value ($)
BONDS - continued
Consumer Products - 1.4%
ACCO Brands Corp., 10.625%, 2015		$	15,000	$	16,744
Easton-Bell Sports, Inc., 9.75%, 2016			95,000		104,738
Elizabeth Arden, Inc., 7.375%, 2021			75,000		78,094
Jarden Corp., 7.5%, 2020			125,000		130,000
Libbey Glass, Inc., 10%, 2015			90,000		97,650
Visant Corp., 10%, 2017			100,000		103,500
				$	530,726
Consumer Services - 1.2%
Realogy Corp., 10.5%, 2014		$	33,000	$	32,670
Realogy Corp., 11.5%, 2017			90,000		91,350
Service Corp. International, 6.75%, 2015			55,000		58,988
Service Corp. International, 7%, 2017			190,000		204,725
Service Corp. International, 7%, 2019			80,000		84,200
				$	471,933
Containers - 2.2%
Exopack Holding Corp., 10%, 2018 (z)		$	60,000	$	59,550
Graham Packaging Co. LP/GPC Capital Corp., 9.875%, 2014			75,000		76,969
Graham Packaging Co. LP/GPC Capital Corp., 8.25%, 2018			45,000		50,063
Greif, Inc., 6.75%, 2017			165,000		171,600
Owens-Illinois, Inc., 7.375%, 2016			75,000		81,563
Packaging Dynamics Corp., 8.75%, 2016 (z)			40,000		40,600
Reynolds Group, 7.125%, 2019 (n)			100,000		99,250
Reynolds Group, 9%, 2019 (n)			100,000		98,750
Reynolds Group, 8.25%, 2021 (n)			200,000		187,000
				$	865,345
Defense Electronics - 0.7%
Ducommun, Inc., 9.75%, 2018 (z)		$	51,000	$	52,403
ManTech International Corp., 7.25%, 2018			140,000		146,300
MOOG, Inc., 7.25%, 2018			60,000		63,675
				$	262,378
Electronics - 0.8%
Freescale Semiconductor, Inc., 10.125%, 2018 (n)		$	49,000	$	54,390
Freescale Semiconductor, Inc., 9.25%, 2018 (n)			75,000		80,813
Jabil Circuit, Inc., 7.75%, 2016			113,000		125,148
Sensata Technologies B.V., 6.5%, 2019 (z)			45,000		44,888
				$	305,239
Energy - Independent - 7.7%
ATP Oil & Gas Corp., 11.875%, 2015		$	65,000	$	65,975
Bill Barrett Corp., 9.875%, 2016			100,000		112,000
Carrizo Oil & Gas, Inc., 8.625%, 2018			95,000		97,850
Chaparral Energy, Inc., 8.875%, 2017			140,000		144,900
Concho Resources, Inc., 8.625%, 2017			70,000		76,300
Concho Resources, Inc., 6.5%, 2022			45,000		45,113
Connacher Oil & Gas Ltd., 8.5%, 2019 (z)			70,000		66,500
Continental Resources, Inc., 8.25%, 2019			105,000		114,713
Denbury Resources, Inc., 8.25%, 2020			110,000		119,900
Energy XXI Gulf Coast, Inc., 9.25%, 2017 (n)			110,000		117,150
EXCO Resources, Inc., 7.5%, 2018			40,000		38,900
Harvest Operations Corp., 6.875%, 2017 (n)			180,000		185,850
LINN Energy LLC, 6.5%, 2019 (z)			45,000		44,550
LINN Energy LLC, 8.625%, 2020			35,000		37,975

17-HYVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par			Value ($)
BONDS - continued
Energy - Independent - continued
LINN Energy LLC, 7.75%, 2021 (n)		$	88,000	$	91,520
Newfield Exploration Co., 6.625%, 2014			125,000		126,875
Newfield Exploration Co., 6.625%, 2016			60,000		61,950
Newfield Exploration Co., 6.875%, 2020			40,000		42,500
OPTI Canada, Inc., 9.75%, 2013 (n)			90,000		89,325
OPTI Canada, Inc., 8.25%, 2014 (d)			215,000		89,225
Petrohawk Energy Corp., 7.25%, 2018			40,000		41,050
Pioneer Natural Resources Co., 6.875%, 2018			130,000		140,359
Pioneer Natural Resources Co., 7.5%, 2020			135,000		152,119
Plains Exploration & Production Co., 7%, 2017			165,000		169,950
QEP Resources, Inc., 6.875%, 2021			205,000		216,275
Quicksilver Resources, Inc., 9.125%, 2019			105,000		114,450
Range Resources Corp., 8%, 2019			75,000		81,375
SandRidge Energy, Inc., 8%, 2018 (n)			185,000		188,700
W&T Offshore, Inc., 8.5%, 2019 (z)			60,000		60,750
Whiting Petroleum Corp., 6.5%, 2018			60,000		62,400
				$	2,996,499
Engineering - Construction - 0.2%
B-Corp. Merger Sub, Inc., 8.25%, 2019 (z)		$	90,000	$	89,100
Entertainment - 0.9%
AMC Entertainment, Inc., 8.75%, 2019		$	120,000	$	126,600
AMC Entertainment, Inc., 9.75%, 2020 (n)			60,000		61,350
Cinemark USA, Inc., 8.625%, 2019			95,000		104,025
NAI Entertainment Holdings LLC, 8.25%, 2017 (n)			50,000		53,625
				$	345,600
Financial Institutions - 5.6%
CIT Group, Inc., 5.25%, 2014 (n)		$	155,000	$	154,225
CIT Group, Inc., 7%, 2016			185,000		184,306
CIT Group, Inc., 7%, 2017			585,000		583,538
CIT Group, Inc., 6.625%, 2018 (n)			132,000		137,610
General Electric Capital Corp., 6.375% to 2017, FRN to 2067			170,000		174,250
International Lease Finance Corp., 8.75%, 2017			155,000		169,531
International Lease Finance Corp., 7.125%, 2018 (n)			154,000		164,780
International Lease Finance Corp., 8.25%, 2020			30,000		32,400
Nationstar Mortgage LLC, 10.875%, 2015 (n)			175,000		182,000
SLM Corp., 8.45%, 2018			50,000		54,881
SLM Corp., 8%, 2020			155,000		166,440
Springleaf Finance Corp., 6.9%, 2017			200,000		183,500
				$	2,187,461
Food & Beverages - 1.6%
ARAMARK Corp., 8.5%, 2015		$	115,000	$	119,456
B&G Foods, Inc., 7.625%, 2018			85,000		89,463
Constellation Brands, Inc., 7.25%, 2016			60,000		65,550
Pinnacle Foods Finance LLC, 9.25%, 2015			155,000		160,813
Pinnacle Foods Finance LLC, 10.625%, 2017			40,000		42,650
Pinnacle Foods Finance LLC, 8.25%, 2017			30,000		31,125
TreeHouse Foods, Inc., 7.75%, 2018			95,000		100,938
				$	609,995

Issuer	Shares/Par			Value ($)
BONDS - continued
Forest & Paper Products - 1.7%
Boise, Inc., 8%, 2020		$	115,000	$	120,750
Cascades, Inc., 7.75%, 2017			80,000		83,400
Georgia-Pacific Corp., 8%, 2024			95,000		112,817
Georgia-Pacific Corp., 7.25%, 2028			35,000		38,890
Graphic Packaging Holding Co., 7.875%, 2018			75,000		79,500
JSG Funding PLC, 7.75%, 2015			35,000		35,350
Smurfit Kappa Group PLC, 7.75%, 2019 (n)		EUR	100,000		149,728
Xerium Technologies, Inc., 8.875%, 2018 (z)		$	45,000		45,000
				$	665,435
Gaming & Lodging - 4.5%
American Casinos, Inc., 7.5%, 2021 (n)		$	95,000	$	97,969
Boyd Gaming Corp., 7.125%, 2016			80,000		73,800
Firekeepers Development Authority, 13.875%, 2015 (n)			100,000		115,500
Fontainebleau Las Vegas Holdings LLC, 10.25%, 2015 (d)(n)			180,000		90
GWR Operating Partnership LLP, 10.875%, 2017			55,000		59,538
Harrah’s Operating Co., Inc., 11.25%, 2017			150,000		165,563
Harrah’s Operating Co., Inc., 10%, 2018			55,000		47,438
Harrah’s Operating Co., Inc., 10%, 2018			43,000		38,808
Host Hotels & Resorts, Inc., 6.75%, 2016			140,000		144,550
Host Hotels & Resorts, Inc., 9%, 2017			135,000		151,875
MGM Mirage, 10.375%, 2014			20,000		22,700
MGM Mirage, 11.125%, 2017			60,000		68,550
MGM Resorts International, 11.375%, 2018			70,000		78,575
MGM Resorts International, 9%, 2020			115,000		125,925
Penn National Gaming, Inc., 8.75%, 2019			135,000		146,813
Seven Seas Cruises S. de R.L., 9.125%, 2019 (z)			40,000		41,200
Starwood Hotels & Resorts Worldwide, Inc., 6.75%, 2018			65,000		71,988
Station Casinos, Inc., 6.5%, 2014 (d)			330,000		33
Station Casinos, Inc., 6.875%, 2016 (d)			380,000		38
Station Casinos, Inc., 7.75%, 2049 (d)			70,000		7
Wyndham Worldwide Corp., 6%, 2016			45,000		47,789
Wyndham Worldwide Corp., 7.375%, 2020			110,000		121,977
Wynn Las Vegas LLC, 7.75%, 2020			105,000		114,056
				$	1,734,782
Industrial - 0.8%
Altra Holdings, Inc., 8.125%, 2016		$	85,000	$	91,800
Hillman Group, Inc., 10.875%, 2018 (z)			60,000		64,725
Mueller Water Products, Inc., 7.375%, 2017			35,000		32,900
Mueller Water Products, Inc., 8.75%, 2020			96,000		103,920
				$	293,345
Insurance - 0.8%
ING Capital Funding Trust III, FRN, 3.845%, 2049		$	95,000	$	89,716
ING Groep N.V., 5.775% to 2015, FRN to 2049			245,000		225,400
				$	315,116

18-HYVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par			Value ($)
BONDS - continued
Insurance - Property & Casualty - 1.3%
Liberty Mutual Group, Inc., 10.75% to 2038, FRN to 2088 (n)		$	180,000	$	238,950
USI Holdings Corp., 9.75%, 2015 (z)			90,000		90,225
XL Group PLC, 6.5% to 2017, FRN to 2049			200,000		183,500
				$	512,675
International Market Sovereign - 0.3%
Republic of Ireland, 4.5%, 2020		EUR	60,000	$	54,598
Republic of Ireland, 5.4%, 2025		EUR	60,000		53,054
				$	107,652
Machinery & Tools - 1.2%
Case Corp., 7.25%, 2016		$	60,000	$	65,325
Case New Holland, Inc., 7.875%, 2017 (n)			245,000		269,500
Rental Service Corp., 9.5%, 2014			65,000		66,625
RSC Equipment Rental, Inc., 8.25%, 2021			45,000		44,775
				$	446,225
Major Banks - 1.7%
Bank of America Corp., 8% to 2018, FRN to 2049		$	300,000	$	313,293
JPMorgan Chase & Co., 7.9% to 2018, FRN to 2049			175,000		187,966
Royal Bank of Scotland Group PLC, 7.648% to 2031, FRN to 2049			180,000		162,000
				$	663,259
Medical & Health Technology & Services - 5.4%
Biomet, Inc., 10%, 2017		$	170,000	$	185,300
Biomet, Inc., 10.375%, 2017 (p)			55,000		60,638
CDRT Merger Sub, Inc., 8.125%, 2019 (z)			35,000		35,000
Davita, Inc., 6.375%, 2018			165,000		167,063
Davita, Inc., 6.625%, 2020			50,000		50,875
Fresenius Medical Care AG & Co. KGaA, 9%, 2015 (n)			125,000		141,406
HCA, Inc., 9.25%, 2016			135,000		143,269
HCA, Inc., 8.5%, 2019			310,000		342,550
HealthSouth Corp., 8.125%, 2020			195,000		209,381
Teleflex, Inc., 6.875%, 2019			25,000		25,313
United Surgical Partners International, Inc., 8.875%, 2017			65,000		67,925
United Surgical Partners International, Inc., 9.25%, 2017 (p)			90,000		94,050
Universal Health Services, Inc., 7%, 2018			50,000		51,500
Universal Hospital Services, Inc., 8.5%, 2015 (p)			175,000		180,250
Universal Hospital Services, Inc., FRN, 3.777%, 2015			45,000		43,200
Vanguard Health Systems, Inc., 0%, 2016			2,000		1,318
Vanguard Health Systems, Inc., 8%, 2018			150,000		154,875
VWR Funding, Inc., 10.25%, 2015 (p)			147,375		154,007
				$	2,107,920
Metals & Mining - 1.9%
Arch Coal, Inc., 7%, 2019 (z)		$	105,000	$	104,738
Arch Coal, Inc., 7.25%, 2020			55,000		55,963
Arch Western Finance LLC, 6.75%, 2013			57,000		57,071
Cloud Peak Energy, Inc., 8.25%, 2017			120,000		128,400
Cloud Peak Energy, Inc., 8.5%, 2019			130,000		140,563
Consol Energy, Inc., 8%, 2017			85,000		92,650

Issuer	Shares/Par			Value ($)
BONDS - continued
Metals & Mining - continued
Consol Energy, Inc., 8.25%, 2020		$	55,000	$	59,950
Novelis, Inc., 8.375%, 2017			60,000		64,050
Novelis, Inc., 8.75%, 2020			30,000		32,400
				$	735,785
Natural Gas - Distribution - 0.4%
AmeriGas Partners LP, 7.125%, 2016		$	145,000	$	149,350
Natural Gas - Pipeline - 2.2%
Atlas Pipeline Partners LP, 8.75%, 2018		$	90,000	$	95,175
Crosstex Energy, Inc., 8.875%, 2018			150,000		159,750
El Paso Corp., 7%, 2017			100,000		113,138
El Paso Corp., 7.75%, 2032			130,000		151,225
Energy Transfer Equity LP, 7.5%, 2020			185,000		196,100
Enterprise Products Partners LP, 8.375% to 2016, FRN to 2066			73,000		79,023
Enterprise Products Partners LP, 7.034% to 2018, FRN to 2068			44,000		46,255
				$	840,666
Network & Telecom - 2.2%
CenturyLink, Inc., 7.6%, 2039		$	40,000	$	38,475
Cincinnati Bell, Inc., 8.25%, 2017			35,000		35,175
Cincinnati Bell, Inc., 8.75%, 2018			130,000		123,500
Citizens Communications Co., 9%, 2031			50,000		51,250
Frontier Communications Corp., 8.25%, 2017			30,000		32,625
Frontier Communications Corp., 8.125%, 2018			135,000		146,644
Qwest Communications International, Inc., 8%, 2015			55,000		59,813
Qwest Communications International, Inc., 7.125%, 2018 (n)			185,000		198,644
Windstream Corp., 8.125%, 2018			20,000		21,200
Windstream Corp., 7.75%, 2020			105,000		109,988
Windstream Corp., 7.75%, 2021			45,000		47,025
				$	864,339
Oil Services - 1.1%
Edgen Murray Corp., 12.25%, 2015		$	75,000	$	75,563
Expro Finance Luxembourg, 8.5%, 2016 (n)			100,000		96,500
McJunkin Red Man Holding Corp., 9.5%, 2016 (n)			85,000		86,488
Pioneer Drilling Co., 9.875%, 2018			150,000		160,500
Unit Corp., 6.625%, 2021			20,000		20,000
				$	439,051
Oils - 0.3%
Petroplus Holdings AG, 9.375%, 2019 (n)		$	100,000	$	100,500
Other Banks & Diversified Financials - 1.6%
Capital One Financial Corp., 10.25%, 2039		$	150,000	$	159,000
Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n)			100,000		114,436
LBG Capital No.1 PLC, 7.875%, 2020 (n)			100,000		93,500
Santander UK PLC, 8.963% to 2030, FRN to 2049			245,000		270,725
				$	637,661
Pollution Control - 0.1%
WCA Waste Corp., 7.5%, 2019 (z)		$	40,000	$	39,950
Printing & Publishing - 0.6%
American Media, Inc., 13.5%, 2018 (z)		$	14,489	$	15,612
McClatchy Co., 11.5%, 2017			65,000		69,063
Nielsen Finance LLC, 11.5%, 2016			65,000		76,050
Nielsen Finance LLC, 7.75%, 2018 (n)			50,000		52,500
				$	213,225

19-HYVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par			Value ($)
BONDS - continued
Railroad & Shipping - 0.5%
Kansas City Southern Railway, 8%, 2015		$	155,000	$	166,238
Kansas City Southern Railway, 6.125%, 2021 (z)			45,000		45,000
				$	211,238
Real Estate - 1.1%
CB Richard Ellis Group, Inc., 11.625%, 2017		$	70,000	$	81,113
CNL Lifestyle Properties, Inc., REIT, 7.25%, 2019 (n)			50,000		45,250
Entertainment Properties Trust, REIT, 7.75%, 2020			130,000		146,575
Kennedy Wilson, Inc., 8.75%, 2019 (n)			80,000		80,500
MPT Operating Partnership, 6.875%, 2021 (n)			65,000		63,863
				$	417,301
Restaurants - 0.1%
Dunkin Finance Corp., 9.625%, 2018 (n)		$	33,000	$	33,288
Retailers - 2.1%
Burlington Coat Factory Warehouse Corp., 10%, 2019 (n)		$	80,000	$	79,200
J. Crew Group, Inc., 8.125%, 2019 (n)			45,000		43,313
Limited Brands, Inc., 6.9%, 2017			85,000		91,056
Limited Brands, Inc., 6.95%, 2033			50,000		46,000
Neiman Marcus Group, Inc., 10.375%, 2015			115,000		120,750
QVC, Inc., 7.375%, 2020 (n)			80,000		84,200
Sally Beauty Holdings, Inc., 10.5%, 2016			145,000		154,788
Toys “R” Us Property Co. II LLC, 8.5%, 2017			75,000		78,375
Toys “R” Us, Inc., 10.75%, 2017			90,000		100,125
Yankee Holdings Corp., 10.25%, 2016 (n)(p)			30,000		30,075
				$	827,882
Specialty Stores - 0.4%
Michaels Stores, Inc., 11.375%, 2016		$	80,000	$	85,200
Michaels Stores, Inc., 7.75%, 2018 (n)			85,000		85,213
				$	170,413
Telecommunications - Wireless - 4.9%
Clearwire Corp., 12%, 2015 (n)		$	195,000	$	208,894
Cricket Communications, Inc., 7.75%, 2016			95,000		100,700
Cricket Communications, Inc., 7.75%, 2020			50,000		49,000
Crown Castle International Corp., 9%, 2015			75,000		81,375
Crown Castle International Corp., 7.125%, 2019			190,000		199,975
Digicel Group Ltd., 8.25%, 2017 (n)			135,000		140,063
Digicel Group Ltd., 10.5%, 2018 (n)			130,000		145,600
MetroPCS Wireless, Inc., 7.875%, 2018			100,000		105,875
Nextel Communications, Inc., 7.375%, 2015			110,000		110,000
NII Holdings, Inc., 8.875%, 2019			65,000		71,744
NII Holdings, Inc., 7.625%, 2021			40,000		41,800
SBA Communications Corp., 8%, 2016			40,000		42,550
SBA Communications Corp., 8.25%, 2019			75,000		80,250
Sprint Capital Corp., 6.875%, 2028			60,000		56,850
Sprint Nextel Corp., 8.375%, 2017			110,000		120,863

Issuer	Shares/Par			Value ($)
BONDS - continued
Telecommunications - Wireless - continued
Wind Acquisition Finance S.A., 11.75%, 2017 (n)		$	125,000	$	141,563
Wind Acquisition Finance S.A., 7.25%, 2018 (n)			200,000		208,000
				$	1,905,102
Telephone Services - 0.1%
Cogent Communications Group, Inc., 8.375%, 2018 (n)		$	50,000	$	51,375
Transportation - 0.1%
Navios South American Logistics, Inc., 9.25%, 2019 (n)		$	54,000	$	54,405
Transportation - Services - 2.2%
ACL I Corp., 10.625%, 2016 (p)(z)		$	95,000	$	84,593
American Petroleum Tankers LLC, 10.25%, 2015			54,000		56,430
Atlas Airlines, Inc. Pass-Through Certificates, “A-1”, 7.2%, 2019			68,232		64,820
Commercial Barge Line Co., 12.5%, 2017			195,000		218,888
Hertz Corp., 8.875%, 2014			19,000		19,475
Hertz Corp., 7.5%, 2018 (n)			80,000		82,400
Hertz Corp., 7.375%, 2021 (n)			60,000		61,050
Navios Maritime Acquisition Corp., 8.625%, 2017			50,000		49,250
Navios Maritime Acquisition Corp., 8.625%, 2017 (z)			55,000		54,175
Navios Maritime Holdings, Inc., 8.875%, 2017			60,000		61,800
Swift Services Holdings, Inc., 10%, 2018			105,000		111,038
				$	863,919
Utilities - Electric Power - 5.1%
AES Corp., 8%, 2017		$	195,000	$	206,700
Calpine Corp., 8%, 2016 (n)			130,000		140,400
Calpine Corp., 7.875%, 2020 (n)			140,000		146,300
Covanta Holding Corp., 7.25%, 2020			115,000		120,283
Dynegy Holdings, Inc., 7.5%, 2015			40,000		32,600
Dynegy Holdings, Inc., 7.75%, 2019			160,000		116,400
Edison Mission Energy, 7%, 2017			190,000		153,900
EDP Finance B.V., 6%, 2018 (n)			110,000		101,778
Energy Future Holdings Corp., 10%, 2020			145,000		153,912
Energy Future Holdings Corp., 10%, 2020			290,000		309,273
GenOn Energy, Inc., 9.875%, 2020			180,000		188,100
NRG Energy, Inc., 7.375%, 2017			105,000		109,988
NRG Energy, Inc., 8.25%, 2020			140,000		142,800
Texas Competitive Electric Holdings Co. LLC, 11.5%, 2020 (n)			65,000		63,863
				$	1,986,297
Total Bonds (Identified Cost, $36,067,500)				$	36,429,258
FLOATING RATE LOANS (g)(r) - 0.8%
Aerospace - 0.2%
Hawker Beechcraft Acquisition Co. LLC, Term Loan, 10.5%, 2014		$	74,628	$	75,328
Broadcasting - 0.3%
Gray Television, Inc., Term Loan B, 7.11%, 2014		$	51,770	$	50,761
Local TV Finance LLC, Term Loan B, 2.19%, 2013			11,307		11,038
New Young Broadcasting Holding Co., Inc., Term Loan, 8%, 2015			55,005		55,245
				$	117,044

20-HYVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par			Value ($)
FLOATING RATE LOANS (g)(r) - continued
Building - 0.0%
Goodman Global Holdings, Inc., 2nd Lien Term Loan, 9%, 2017		$	6,641	$	6,810
Financial Institutions - 0.1%
Springleaf Finance Corp., Term Loan, 5.5%, 2017		$	51,677	$	50,589
Gaming & Lodging - 0.2%
MGM Mirage, Term Loan, 7%, 2014		$	77,179	$	75,357
Total Floating Rate Loans (Identified Cost, $293,512)				$	325,128
COMMON STOCKS - 0.4%
Automotive - 0.1%
Accuride Corp. (a)			2,673	$	33,760
Oxford Automotive, Inc. (a)			53		0
				$	33,760
Broadcasting - 0.2%
New Young Broadcasting Holding Co., Inc. (a)			25	$	67,500
Printing & Publishing - 0.1%
American Media Operations, Inc. (a)			3,713	$	58,554
Golden Books Family Entertainment, Inc. (a)			21,250		0
				$	58,554
Special Products & Services - 0.0%
Mark IV Industries LLC, Common Units, “A” (a)			113	$	6,413
Total Common Stocks (Identified Cost, $281,646)				$	166,227

Issuer	Shares/Par		Value ($)
CONVERTIBLE PREFERRED STOCKS - 0.7%
Automotive - 0.4%
General Motors Co., 4.75%		2,820	$	137,447
Insurance - 0.3%
MetLife, Inc., 5%		1,500	$	123,645
Total Convertible Preferred Stocks (Identified Cost, $264,772)			$	261,092
PREFERRED STOCKS - 0.9%
Other Banks & Diversified Financials - 0.9%
Ally Financial, Inc., 7% (n)		60	$	56,389
Ally Financial, Inc., “A”, 8.5%		7,646		191,379
GMAC Capital Trust I, 8.125% (a)		3,600		92,160
Total Preferred Stocks (Identified Cost, $341,212)			$	339,928

	Strike Price		First Exercise
WARRANTS - 0.2%
Broadcasting - 0.2%
New Young Broadcasting Holding Co., Inc. (1 share for 1 warrant) (Identified Cost, $49,598) (a)	$	0.01		7/14/10	26	$	70,200
MONEY MARKET FUNDS (v) - 1.2%
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value					457,149	$	457,149
Total Investments (Identified Cost, $37,755,389)						$	38,048,982
OTHER ASSETS, LESS LIABILITIES - 2.1%							800,701
NET ASSETS - 100.0%						$	38,849,683

Derivative Contracts at 6/30/11

Forward Foreign Currency Exchange Contracts at 6/30/11

Type	Currency	Counterparty	Contracts to Deliver/ Receive		Settlement Date Range	In Exchange For		Contracts at Value		Net Unrealized Appreciation (Depreciation)
Asset Derivatives
SELL	EUR	HSBC Bank		13,905	7/12/11		$20,191		$20,160		$31
Liability Derivatives
SELL	EUR	Citibank N.A.		69,125	7/12/11		$99,084		$100,222		$(1,138	)
SELL	EUR	Deutsche Bank AG		28,591	7/12/11		40,567		41,453		(886	)
SELL	EUR	Goldman Sachs International		29,625	7/12/11		42,587		42,952		(365	)
SELL	EUR	JPMorgan Chase Bank N.A.		131,592	7/12/11		187,776		190,791		(3,016	)
SELL	EUR	UBS AG		13,946	7/12/11		20,154		20,220		(65	)
											$(5,470	)

Futures Contracts Outstanding at 6/30/11

Description	Currency	Contracts		Value		Expiration Date	Unrealized Appreciation (Depreciation)
Asset Derivatives
Interest Rate Futures
U.S. Treasury Note 10 yr (Short)	USD		3	$	366,984	September - 2011	$	1,161
U.S. Treasury Bond 30 yr (Short)	USD		1		123,031	September - 2011		1,411
							$	2,572

At June 30, 2011, the variable account had sufficient cash and/or other liquid securities to cover any commitments under these derivative contracts.

See portfolio footnotes and notes to financial statements.

21-HYVA

Portfolio of Investments (unaudited) — June 30, 2011

Money Market Variable Account

Issuer	Shares/Par		Value ($)
CERTIFICATES OF DEPOSIT - 2.8%
Major Banks - 2.8%
Abbey National Treasury Services PLC/US Branch, 0.25%, due 7/19/11, at Cost and Value	$	750,000	$	750,000
COMMERCIAL PAPER (y) - 53.4%
Automotive - 2.8%
Toyota Motor Credit Corp., 0.17%, due 7/15/11	$	752,000	$	751,950
Computer Software - Systems - 3.0%
International Business Machines Corp., 0.06%, due 7/12/11 (t)	$	789,000	$	788,985
Conglomerates - 3.0%
United Technologies Corp., 0.03%, due 7/01/11 (t)	$	801,000	$	801,000
Electrical Equipment - 1.8%
General Electric Co., 0.12%, due 7/01/11	$	477,000	$	477,000
Food & Beverages - 5.9%
Coca-Cola Co., 0.2%, due 8/02/11 (t)	$	750,000	$	749,867
Pepsico, Inc., 0.1%, due 8/02/11 (t)		488,000		487,957
Pepsico, Inc., 0.1%, due 8/08/11 (t)		327,000		326,965
			$	1,564,789
Major Banks - 22.7%
Abbey National North America LLC, 0.04%, due 7/01/11	$	51,000	$	51,000
ANZ National (International) Ltd., 0.2%, due 7/19/11 (t)		757,000		756,924
BNP Paribas Finance, Inc., 0.03%, due 7/01/11		51,000		51,000
BNP Paribas Finance, Inc., 0.4%, due 9/12/11		750,000		749,392
Credit Suisse First Boston, Inc., 0.2%, due 7/14/11		397,000		396,971
Credit Suisse First Boston, Inc., 0.25%, due 11/14/11		350,000		349,669
HSBC USA, Inc., 0.17%, due 9/06/11		750,000		749,763
JPMorgan Chase & Co., 0.15%, due 8/15/11		753,000		752,859
National Australia Funding (Delaware), Inc., 0.01%, due 7/01/11 (t)		534,000		534,000
Royal Bank of Canada, 0.1%, due 10/27/11		100,000		99,967
Toronto Dominion Holdings (USA), Inc., 0.2%, due 12/23/11 (t)		812,000		811,211
Westpac Banking Corp., 0.16%, due 7/29/11 (t)		750,000		749,907
			$	6,052,663
Other Banks & Diversified Financials - 5.8%
Bank of Nova Scotia, 0.04%, due 7/06/11	$	49,000	$	49,000
Bank of Nova Scotia, 0.175%, due 8/16/11		275,000		274,939
Bank of Nova Scotia, 0.195%, due 7/19/11		477,000		476,953
Rabobank USA Financial Corp., 0.19%, due 9/12/11		754,000		753,710
			$	1,554,602

Issuer	Shares/Par		Value ($)
COMMERCIAL PAPER (y) - continued
Pharmaceuticals - 5.4%
Novartis Finance Corp., 0.18%, due 8/12/11 (t)	$	631,000	$	630,867
Sanofi-Aventis, 0.28%, due 7/13/11 (t)		809,000		808,924
			$	1,439,791
Retailers - 3.0%
Wal-Mart Stores, Inc., 0.08%, due 8/08/11 (t)	$	807,000	$	806,932
Total Commercial Paper, at Amortized Cost and Value			$	14,237,712
U.S. GOVERNMENT AGENCIES AND EQUIVALENTS (y) - 29.2%
Fannie Mae, 0.17%, due 7/01/11	$	660,000	$	660,000
Fannie Mae, 0.16%, due 9/01/11		740,000		739,796
Freddie Mac, 0.07%, due 7/22/11		461,000		460,981
Freddie Mac, 0.21%, due 7/26/11		840,000		839,878
Freddie Mac, 0.001%, due 7/27/11		800,000		799,999
Freddie Mac, 0.24%, due 8/16/11		330,000		329,899
Freddie Mac, 0.025%, due 8/18/11		400,000		399,987
Freddie Mac, 0.18%, due 9/15/11		800,000		799,696
Freddie Mac, 0.095%, due 10/12/11		815,000		814,778
Freddie Mac, 0.116%, due 11/21/11		820,000		819,622
Freddie Mac, 0.13%, due 12/05/11		815,000		814,538
Freddie Mac, 0.13%, due 2/08/12		300,000		299,760
Total U.S. Government Agencies and Equivalents, at Amortized Cost and Value			$	7,778,934
FLOATING RATE DEMAND NOTES - 3.0%
East Baton Rouge, LA, Pollution Control Rev. (Exxon Mobil Corp.), 0.02%, due 7/01/11		500,000	$	500,000
Lincoln County, WY, Pollution Control Rev. (Exxon Mobil Corp.), 0.02%, due 7/01/11		300,000		300,000
Total Floating Rate Demand Notes, at Cost and Value			$	800,000
REPURCHASE AGREEMENTS - 11.9%
Bank of America Corp., 0.01%, dated 6/30/11, due 7/01/11, total to be received $487,000.14 (secured by U.S. Treasury and Federal Agency obligations valued at $496,749 in a jointly traded account)	$	487,000	$	487,000
Goldman Sachs, 0.02%, dated 6/30/11, due 7/01/11, total to be received $2,671,001 (secured by U.S. Treasury and Federal Agency obligations valued at $2,724,420 in a jointly traded account)		2,671,000	$	2,671,000
Total Repurchase Agreements, at Cost and Value			$	3,158,000
Total Investments, at Amortized Cost and Value			$	26,724,646
OTHER ASSETS, LESS LIABILITIES - (0.3)%				(76,012	)
NET ASSETS - 100.0%			$	26,648,634

See portfolio footnotes and notes to financial statements.

22-MMVA

Portfolio of Investments (unaudited) — June 30, 2011

Total Return Variable Account

Issuer	Shares/Par		Value ($)
COMMON STOCKS - 59.9%
Aerospace - 4.5%
Honeywell International, Inc.		11,890	$	708,528
Huntington Ingalls Industries, Inc. (a)		933		32,189
Lockheed Martin Corp.		19,720		1,596,728
Northrop Grumman Corp.		5,560		385,586
Precision Castparts Corp.		1,160		190,994
United Technologies Corp.		15,910		1,408,194
			$	4,322,219
Alcoholic Beverages - 0.9%
Diageo PLC		33,794	$	690,446
Heineken N.V.		2,729		164,116
			$	854,562
Apparel Manufacturers - 0.2%
NIKE, Inc., “B”		1,640	$	147,567
Automotive - 0.7%
General Motors Co. (a)		4,790	$	145,424
Johnson Controls, Inc.		11,840		493,254
			$	638,678
Broadcasting - 2.1%
Omnicom Group, Inc.		11,440	$	550,950
Viacom, Inc., “B”		13,820		704,820
Walt Disney Co.		19,230		750,739
			$	2,006,509
Brokerage & Asset Managers - 0.6%
Blackrock, Inc.		1,166	$	223,650
Charles Schwab Corp.		9,230		151,834
Franklin Resources, Inc.		1,920		252,077
			$	627,561
Business Services - 1.0%
Accenture PLC, “A”		10,560	$	638,035
Dun & Bradstreet Corp.		2,040		154,102
Western Union Co.		8,750		175,263
			$	967,400
Cable TV - 0.5%
Comcast Corp., “Special A”		18,330	$	444,136
Chemicals - 2.0%
3M Co.		8,470	$	803,380
Celanese Corp.		4,540		242,027
E.I. du Pont de Nemours & Co.		3,660		197,823
PPG Industries, Inc.		7,410		672,754
			$	1,915,984
Computer Software - 1.3%
Check Point Software Technologies Ltd. (a)		3,090	$	175,667
Microsoft Corp.		5,220		135,720
Oracle Corp.		29,110		958,010
			$	1,269,397
Computer Software - Systems - 1.5%
Hewlett-Packard Co.		13,300	$	484,120
International Business Machines Corp.		5,900		1,012,145
			$	1,496,265
Construction - 0.6%
Pulte Homes, Inc. (a)		7,440	$	56,990
Sherwin-Williams Co.		3,270		274,255
Stanley Black & Decker, Inc.		4,053		292,019
			$	623,264
Consumer Products - 1.0%
Avon Products, Inc.		7,620	$	213,360
Procter & Gamble Co.		8,853		562,785

Issuer	Shares/Par		Value ($)
COMMON STOCKS - continued
Consumer Products - continued
Reckitt Benckiser Group PLC		2,643	$	145,921
			$	922,066
Electrical Equipment - 1.1%
Danaher Corp.		18,230	$	966,008
Tyco International Ltd.		2,780		137,415
			$	1,103,423
Electronics - 0.5%
ASML Holding N.V.		1,450	$	53,592
Intel Corp.		13,590		301,154
Microchip Technology, Inc.		4,100		155,431
			$	510,177
Energy - Independent - 3.0%
Anadarko Petroleum Corp.		2,760	$	211,858
Apache Corp.		10,190		1,257,344
EOG Resources, Inc.		4,000		418,200
Noble Energy, Inc.		3,300		295,779
Occidental Petroleum Corp.		6,860		713,714
			$	2,896,895
Energy - Integrated - 3.8%
Chevron Corp.		10,925	$	1,123,527
EQT Corp.		3,660		192,223
Exxon Mobil Corp.		21,342		1,736,812
Hess Corp.		6,380		476,969
QEP Resources, Inc.		2,690		112,523
			$	3,642,054
Engineering - Construction - 0.3%
Fluor Corp.		4,210	$	272,219
Food & Beverages - 2.7%
General Mills, Inc.		11,450	$	426,169
Groupe Danone		3,145		234,649
J.M. Smucker Co.		1,678		128,266
Kellogg Co.		4,170		230,684
Nestle S.A.		13,937		866,141
PepsiCo, Inc.		10,890		766,983
			$	2,652,892
Food & Drug Stores - 0.8%
CVS Caremark Corp.		12,364	$	464,639
Kroger Co.		6,180		153,264
Walgreen Co.		3,380		143,515
			$	761,418
General Merchandise - 1.1%
Kohl’s Corp.		7,290	$	364,573
Target Corp.		14,230		667,529
			$	1,032,102
Health Maintenance Organizations - 0.1%
WellPoint, Inc.		1,070	$	84,284
Insurance - 4.2%
ACE Ltd.		10,200	$	671,364
Aon Corp.		9,560		490,428
Chubb Corp.		3,170		198,474
MetLife, Inc.		26,410		1,158,607
Prudential Financial, Inc.		14,060		894,075
Travelers Cos., Inc.		10,720		625,834
			$	4,038,782
Leisure & Toys - 0.5%
Hasbro, Inc.		7,110	$	312,342
Mattel, Inc.		4,480		123,155
			$	435,497

23-TRVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par		Value ($)
COMMON STOCKS - continued
Machinery & Tools - 0.4%
Eaton Corp.		8,000	$	411,600
Major Banks - 7.3%
Bank of America Corp.		69,780	$	764,789
Bank of New York Mellon Corp.		40,924		1,048,473
Goldman Sachs Group, Inc.		9,750		1,297,628
JPMorgan Chase & Co.		48,372		1,980,350
PNC Financial Services Group, Inc.		6,300		375,543
State Street Corp.		12,660		570,839
SunTrust Banks, Inc.		3,300		85,140
Wells Fargo & Co.		33,560		941,694
			$	7,064,456
Medical & Health Technology & Services - 0.3%
AmerisourceBergen Corp.		4,070	$	168,498
Quest Diagnostics, Inc.		2,830		167,253
			$	335,751
Medical Equipment - 2.3%
Becton, Dickinson & Co.		6,070	$	523,052
Covidien PLC		5,000		266,150
Medtronic, Inc.		15,030		579,106
St. Jude Medical, Inc.		9,000		429,120
Thermo Fisher Scientific, Inc. (a)		6,710		432,057
			$	2,229,485
Metals & Mining - 0.1%
Cliffs Natural Resources, Inc.		1,420	$	131,279
Natural Gas - Pipeline - 0.4%
Kinder Morgan, Inc.		2,790	$	80,157
Williams Cos., Inc.		9,420		284,955
			$	365,112
Network & Telecom - 0.4%
Cisco Systems, Inc.		23,080	$	360,279
Oil Services - 0.3%
Schlumberger Ltd.		1,730	$	149,472
Transocean, Inc.		2,850		183,996
			$	333,468
Other Banks & Diversified Financials - 0.8%
MasterCard, Inc., “A”		990	$	298,327
TCF Financial Corp.		7,260		100,188
Visa, Inc., “A”		2,920		246,039
Zions Bancorporation		6,490		155,825
			$	800,379
Pharmaceuticals - 4.1%
Abbott Laboratories		18,820	$	990,308
Bayer AG		1,810		145,517
GlaxoSmithKline PLC		5,723		122,530
Johnson & Johnson		19,830		1,319,092
Merck & Co., Inc.		3,460		122,103
Pfizer, Inc.		54,057		1,113,574
Roche Holding AG		897		150,113
			$	3,963,237
Railroad & Shipping - 0.3%
Canadian National Railway Co.		2,080	$	166,192
CSX Corp.		4,730		124,021
			$	290,213
Restaurants - 0.4%
McDonald’s Corp.		5,120	$	431,718
Specialty Chemicals - 0.7%
Air Products & Chemicals, Inc.		6,620	$	632,740
Airgas, Inc.		900		63,036
			$	695,776

Issuer	Shares/Par		Value ($)
COMMON STOCKS - continued
Specialty Stores - 0.4%
Advance Auto Parts, Inc.		2,680	$	156,753
Staples, Inc.		13,790		217,882
			$	374,635
Telecommunications - Wireless - 0.7%
Vodafone Group PLC		262,756	$	697,087
Telephone Services - 1.5%
AT&T, Inc.		41,004	$	1,287,936
CenturyLink, Inc.		3,995		161,518
			$	1,449,454
Tobacco - 2.3%
Altria Group, Inc.		7,330	$	193,585
Philip Morris International, Inc.		24,900		1,662,573
Reynolds American, Inc.		8,760		324,558
			$	2,180,716
Trucking - 0.2%
United Parcel Service, Inc., “B”		2,900	$	211,497
Utilities - Electric Power - 2.0%
American Electric Power Co., Inc.		5,410	$	203,849
Dominion Resources, Inc.		1,514		73,081
Entergy Corp.		3,160		215,765
NextEra Energy, Inc.		2,710		155,717
NRG Energy, Inc. (a)		6,690		164,440
PG&E Corp.		8,730		366,922
PPL Corp.		12,280		341,752
Public Service Enterprise Group, Inc.		13,630		444,883
			$	1,966,409
Total Common Stocks (Identified Cost, $45,922,061)			$	57,957,902
BONDS - 38.9%
Agency - Other - 0.1%
Financing Corp., 9.65%, 2018	$	45,000	$	64,650
Asset-Backed & Securitized - 2.5%
Anthracite Ltd., “A”, CDO, FRN, 0.635%, 2017 (z)	$	112,137	$	108,773
Banc of America Commercial Mortgage, Inc., FRN, 5.93%, 2051		210,000		228,192
Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.785%, 2040 (z)		180,426		100,914
BlackRock Capital Finance LP, 7.75%, 2026 (n)		29,745		3,569
Citigroup Commercial Mortgage Trust, FRN, 5.886%, 2049		142,000		155,036
Citigroup/Deutsche Bank Commercial Mortgage Trust, 5.322%, 2049		237,638		252,144
Credit Suisse Mortgage Capital Certificate, FRN, 5.695%, 2040		152,515		161,673
GMAC Mortgage Corp. Loan Trust, FRN, 5.805%, 2036		79,111		52,025
JPMorgan Chase Commercial Mortgage Securities Corp., 4.78%, 2042		152,000		156,501
JPMorgan Chase Commercial Mortgage Securities Corp., 5.552%, 2045		97,000		105,635
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 5.388%, 2041		39,903		42,845
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.067%, 2045		110,000		122,084
JPMorgan Chase Commercial Mortgage Securities Corp., FRN, 6.004%, 2049		200,000		215,700
Merrill Lynch Mortgage Trust, FRN, “A3”, 6.019%, 2050		28,792		30,822

24-TRVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par		Value ($)
BONDS - continued
Asset-Backed & Securitized - continued
Merrill Lynch/Countrywide Commercial Mortgage Trust, FRN, 5.81%, 2050	$	152,515	$	163,228
Morgan Stanley Capital I, Inc., FRN, 1.185%, 2030 (i)(z)		963,285		24,275
Residential Asset Mortgage Products, Inc., FRN, 4.97%, 2034		51,548		51,991
Residential Funding Mortgage Securities, Inc., FRN, 5.32%, 2035		129,000		54,956
Spirit Master Funding LLC, 5.05%, 2023 (z)		140,849		125,111
Structured Asset Securities Corp., FRN, 4.67%, 2035		5,523		5,512
Wachovia Bank Commercial Mortgage Trust, “A4”, FRN, 6.096%, 2051		245,000		266,546
			$	2,427,532
Automotive - 0.1%
Toyota Motor Credit Corp., 3.2%, 2015	$	50,000	$	51,966
Broadcasting - 0.1%
News America, Inc., 8.5%, 2025	$	99,000	$	125,243
Cable TV - 0.4%
Cox Communications, Inc., 4.625%, 2013	$	115,000	$	122,111
DIRECTV Holdings LLC, 4.6%, 2021		110,000		110,522
Time Warner Entertainment Co. LP, 8.375%, 2033		110,000		140,592
			$	373,225
Conglomerates - 0.2%
Kennametal, Inc., 7.2%, 2012	$	211,000	$	222,537
Consumer Services - 0.2%
Western Union Co., 5.4%, 2011	$	165,000	$	167,975
Defense Electronics - 0.1%
BAE Systems Holdings, Inc., 5.2%, 2015 (n)	$	103,000	$	111,827
Electronics - 0.2%
Tyco Electronics Group S.A., 6.55%, 2017	$	128,000	$	150,816
Emerging Market Quasi-Sovereign - 0.1%
Petrobras International Finance Co., 6.75%, 2041	$	23,000	$	24,544
Petroleos Mexicanos, 8%, 2019		66,000		81,378
			$	105,922
Emerging Market Sovereign - 0.2%
Russian Federation, 3.625%, 2015 (z)	$	200,000	$	205,500
Energy - Independent - 0.1%
Anadarko Petroleum Corp., 6.45%, 2036	$	120,000	$	125,214
Energy - Integrated - 0.5%
BP Capital Markets PLC, 4.5%, 2020	$	25,000	$	25,495
BP Capital Markets PLC, 4.742%, 2021		110,000		113,476
Hess Corp., 8.125%, 2019		20,000		25,306
Husky Energy, Inc., 5.9%, 2014		69,000		76,796
Husky Energy, Inc., 7.25%, 2019		71,000		85,093
Petro-Canada, 6.05%, 2018		148,000		167,568
			$	493,734
Financial Institutions - 0.1%
General Electric Capital Corp., 4.625%, 2021	$	100,000	$	100,589

Issuer	Shares/Par		Value ($)
BONDS - continued
Food & Beverages - 0.3%
Anheuser-Busch InBev Worldwide, Inc., 8%, 2039	$	110,000	$	148,679
Miller Brewing Co., 5.5%, 2013 (n)		126,000		136,480
			$	285,159
Food & Drug Stores - 0.1%
CVS Caremark Corp., 6.125%, 2016	$	110,000	$	126,104
Gaming & Lodging - 0.1%
Wyndham Worldwide Corp., 6%, 2016	$	100,000	$	106,198
Insurance - 0.3%
ING Groep N.V., 5.775% to 2015, FRN to 2049	$	133,000	$	122,360
Metropolitan Life Global Funding, 5.125%, 2013 (n)		100,000		106,403
Metropolitan Life Global Funding, 5.125%, 2014 (n)		40,000		43,702
Prudential Financial, Inc., 6.625%, 2040		30,000		32,390
			$	304,855
Insurance - Property & Casualty - 0.2%
Chubb Corp., 6.375% to 2017, FRN to 2067	$	200,000	$	207,000
International Market Quasi-Sovereign - 0.8%
Achmea Hypotheekbank N.V., 3.2%, 2014 (n)	$	110,000	$	115,456
ING Bank N.V., 3.9%, 2014 (n)		110,000		117,692
Irish Life & Permanent PLC, 3.6%, 2013 (e)(n)		100,000		84,071
KFW International Finance, Inc., 4.875%, 2019		120,000		135,721
Royal Bank of Scotland Group PLC, 2.625%, 2012 (n)		200,000		203,777
Societe Financement de l’ Economie Francaise, 3.375%, 2014 (n)		107,000		113,487
			$	770,204
Local Authorities - 0.1%
New Jersey Turnpike Authority Rev. (Build America Bonds), “F”, 7.414%, 2040	$	90,000	$	108,634
Machinery & Tools - 0.1%
Atlas Copco AB, 5.6%, 2017 (n)	$	90,000	$	100,125
Major Banks - 1.6%
Bank of America Corp., 7.375%, 2014	$	40,000	$	44,968
Bank of America Corp., 5.49%, 2019		100,000		100,190
Bank of America Corp., 7.625%, 2019		60,000		69,504
BNP Paribas, 7.195% to 2037, FRN to 2049 (n)		100,000		96,500
Commonwealth Bank of Australia, 5%, 2019 (n)		60,000		62,437
Credit Suisse New York, 5.5%, 2014		120,000		131,801
Goldman Sachs Group, Inc., 5.625%, 2017		101,000		106,922
JPMorgan Chase & Co., 6.3%, 2019		100,000		112,714
JPMorgan Chase Capital XXII, 6.45%, 2087		47,000		47,356
JPMorgan Chase Capital XXVII, 7%, 2039		13,000		12,984
Merrill Lynch & Co., Inc., 6.15%, 2013		100,000		107,373
Morgan Stanley, 5.75%, 2016		100,000		106,213
Morgan Stanley, 6.625%, 2018		140,000		154,223
PNC Funding Corp., 5.625%, 2017		90,000		99,100
Royal Bank of Scotland PLC, 6.125%, 2021		100,000		102,511

25-TRVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par		Value ($)
BONDS - continued
Major Banks - continued
UniCredito Luxembourg Finance S.A., 6%, 2017 (n)	$	100,000	$	96,098
Wachovia Corp., 5.25%, 2014		81,000		86,821
			$	1,537,715
Medical & Health Technology & Services - 0.2%
CareFusion Corp., 6.375%, 2019	$	100,000	$	112,869
Hospira, Inc., 6.05%, 2017		93,000		105,555
			$	218,424
Metals & Mining - 0.2%
ArcelorMittal, 9.85%, 2019	$	55,000	$	69,725
ArcelorMittal, 5.25%, 2020		90,000		88,986
			$	158,711
Mortgage-Backed - 12.6%
Fannie Mae, 4.01%, 2013	$	17,340	$	18,076
Fannie Mae, 4.562%, 2014		82,494		87,914
Fannie Mae, 4.63%, 2014		43,147		45,942
Fannie Mae, 4.841%, 2014		55,215		59,095
Fannie Mae, 4.56%, 2015		36,099		38,780
Fannie Mae, 4.78%, 2015		36,321		39,394
Fannie Mae, 4.922%, 2015		55,708		60,568
Fannie Mae, 5.09%, 2016		40,000		43,638
Fannie Mae, 5.5%, 2016-2038		2,170,267		2,362,011
Fannie Mae, 5.724%, 2016		23,113		25,654
Fannie Mae, 4.989%, 2017		79,165		85,723
Fannie Mae, 5.05%, 2017		38,276		41,769
Fannie Mae, 6%, 2017-2037		1,215,367		1,345,516
Fannie Mae, 4.5%, 2018-2041		405,928		424,494
Fannie Mae, 5%, 2018-2040		1,273,616		1,363,110
Fannie Mae, 6.5%, 2031-2037		379,344		431,414
Fannie Mae, 7.5%, 2031		13,604		15,978
Freddie Mac, 6%, 2016-2037		544,829		603,017
Freddie Mac, 3.154%, 2018		8,000		7,976
Freddie Mac, 4.5%, 2018-2039		777,214		816,358
Freddie Mac, 5%, 2018-2039		741,066		792,164
Freddie Mac, 5.085%, 2019		106,000		113,268
Freddie Mac, 3.808%, 2020		86,000		86,377
Freddie Mac, 5.5%, 2021-2034		428,890		466,608
Freddie Mac, 4%, 2024		177,447		185,248
Freddie Mac, 6.5%, 2034-2037		174,067		196,828
Freddie Mac, 4%, 2041		548,457		548,794
Freddie Mac, FRN, 3.882%, 2017		23,811		24,894
Ginnie Mae, 4.5%, 2033-2040		424,361		450,299
Ginnie Mae, 5%, 2033-2039		522,924		567,941
Ginnie Mae, 5.5%, 2033-2035		256,006		283,372
Ginnie Mae, 6%, 2033-2038		260,232		291,205
Ginnie Mae, 4%, 2041		281,608		286,551
			$	12,209,976
Natural Gas - Pipeline - 0.3%
Enterprise Products Operating LLC, 6.5%, 2019	$	76,000	$	87,057
Kinder Morgan Energy Partners LP, 7.75%, 2032		71,000		84,290
Spectra Energy Capital LLC, 8%, 2019		53,000		64,833
			$	236,180
Network & Telecom - 0.4%
AT&T, Inc., 6.55%, 2039	$	100,000	$	109,683
Telecom Italia Capital, 5.25%, 2013		60,000		62,986
Verizon New York, Inc., 6.875%, 2012		196,000		204,726
			$	377,395

Issuer	Shares/Par		Value ($)
BONDS - continued
Other Banks & Diversified Financials - 1.1%
American Express Co., 5.5%, 2016	$	96,000	$	107,013
Banco Santander U.S. Debt S.A.U., 3.781%, 2015 (n)		100,000		96,426
Capital One Financial Corp., 6.15%, 2016		130,000		143,419
Groupe BPCE S.A., 12.5% to 2019, FRN to 2049 (n)		118,000		135,034
HSBC Holdings PLC, 5.1%, 2021		57,000		58,413
Lloyds TSB Bank PLC, 4.875%, 2016		90,000		92,049
Nordea Bank AB, 5.424% to 2015, FRN to 2049 (n)		100,000		95,000
Svenska Handelsbanken AB, 4.875%, 2014 (n)		120,000		129,619
UBS Preferred Funding Trust V, 6.243% to 2016, FRN to 2049		190,000		186,200
			$	1,043,173
Pharmaceuticals - 0.3%
Pfizer, Inc., 7.2%, 2039	$	50,000	$	62,774
Roche Holdings, Inc., 6%, 2019 (n)		160,000		184,346
			$	247,120
Real Estate - 0.4%
Boston Properties, Inc., REIT, 5%, 2015	$	42,000	$	45,527
HCP, Inc., REIT, 5.375%, 2021		62,000		63,948
HRPT Properties Trust, REIT, 6.25%, 2016		180,000		197,087
WEA Finance LLC, REIT, 6.75%, 2019 (n)		31,000		35,154
WEA Finance LLC, REIT, 4.625%, 2021 (z)		80,000		77,637
			$	419,353
Retailers - 0.3%
Home Depot, Inc., 5.95%, 2041	$	93,000	$	95,774
Limited Brands, Inc., 5.25%, 2014		36,000		37,620
Wal-Mart Stores, Inc., 5.25%, 2035		194,000		194,012
			$	327,406
Supranational - 0.1%
Asian Development Bank, 2.75%, 2014	$	80,000	$	83,748
Telecommunications - Wireless - 0.3%
Crown Castle Towers LLC, 6.113%, 2040 (n)	$	105,000	$	114,568
Crown Castle Towers LLC, 4.883%, 2040 (n)		20,000		20,111
Rogers Communications, Inc., 6.8%, 2018		132,000		155,756
			$	290,435
Transportation - Services - 0.1%
Erac USA Finance Co., 7%, 2037 (n)	$	98,000	$	107,832
U.S. Government Agencies and Equivalents - 0.7%
Aid-Egypt, 4.45%, 2015	$	152,000	$	168,849
Small Business Administration, 4.35%, 2023		23,473		24,626
Small Business Administration, 4.77%, 2024		59,361		63,257
Small Business Administration, 5.18%, 2024		97,505		104,498
Small Business Administration, 5.52%, 2024		135,747		146,070
Small Business Administration, 4.99%, 2024		84,534		90,628

26-TRVA

Portfolio of Investments (unaudited) — continued

Issuer	Shares/Par		Value ($)
BONDS - continued
U.S. Government Agencies and Equivalents - continued
Small Business Administration, 4.95%, 2025	$	58,514	$	62,713
			$	660,641
U.S. Treasury Obligations - 12.5%
U.S. Treasury Bonds, 2%, 2013	$	197,000	$	203,556
U.S. Treasury Bonds, 8.5%, 2020		50,000		71,844
U.S. Treasury Bonds, 8%, 2021		37,000		52,685
U.S. Treasury Bonds, 6%, 2026		125,000		155,586
U.S. Treasury Bonds, 6.75%, 2026		32,000		42,705
U.S. Treasury Bonds, 5.25%, 2029		749,000		864,276
U.S. Treasury Bonds, 5.375%, 2031		79,000		92,590
U.S. Treasury Bonds, 4.5%, 2036		94,000		97,143
U.S. Treasury Bonds, 5%, 2037		440,000		488,744
U.S. Treasury Bonds, 4.5%, 2039		964,000		985,690
U.S. Treasury Notes, 1.375%, 2012		459,000		465,311
U.S. Treasury Notes, 1.375%, 2013		733,000		744,339
U.S. Treasury Notes, 3.875%, 2013		281,000		296,839
U.S. Treasury Notes, 1.375%, 2013		1,884,000		1,914,916
U.S. Treasury Notes, 3.5%, 2013		420,000		444,331
U.S. Treasury Notes, 3.125%, 2013		57,000		60,295
U.S. Treasury Notes, 2.75%, 2013		138,000		144,900
U.S. Treasury Notes, 1.5%, 2013		280,000		286,016
U.S. Treasury Notes, 1.875%, 2014		1,630,000		1,680,938
U.S. Treasury Notes, 4.75%, 2014		150,000		167,004
U.S. Treasury Notes, 2.625%, 2016		68,000		71,166
U.S. Treasury Notes, 4.75%, 2017		146,000		167,923
U.S. Treasury Notes, 3.75%, 2018		1,293,000		1,400,682
U.S. Treasury Notes, 2.75%, 2019		405,500		409,396
U.S. Treasury Notes, TIPS, 1.25%, 2020		763,147		807,266
			$	12,116,141
Utilities - Electric Power - 0.9%
Bruce Mansfield Unit, 6.85%, 2034	$	203,637	$	218,312
MidAmerican Funding LLC, 6.927%, 2029		54,000		62,294
Oncor Electric Delivery Co., 7%, 2022		76,000		90,608
PSEG Power LLC, 6.95%, 2012		111,000		117,028
PSEG Power LLC, 5.32%, 2016		91,000		100,307
System Energy Resources, Inc., 5.129%, 2014 (z)		32,201		33,051
Waterford 3 Funding Corp., 8.09%, 2017		217,059		218,565
			$	840,165
Total Bonds (Identified Cost, $36,008,029)			$	37,609,424

Issuer	Shares/Par		Value ($)
CONVERTIBLE PREFERRED STOCKS - 0.2%
Automotive - 0.1%
General Motors Co., 4.75%		3,100	$	151,094
Utilities - Electric Power - 0.1%
PPL Corp., 9.5%		960	$	53,664
Total Convertible Preferred Stocks (Identified Cost, $203,000)			$	204,758

MONEY MARKET FUNDS (v) - 0.6%
MFS Institutional Money Market Portfolio, 0.1%, at Cost and Net Asset Value	541,449	$	541,449
Total Investments (Identified Cost, $82,674,539)		$	96,313,533
OTHER ASSETS, LESS LIABILITIES - 0.4%			365,322
NET ASSETS - 100.0%		$	96,678,855

See portfolio footnotes and notes to financial statements.

27-TRVA

Portfolio of Investments (unaudited) — continued

Portfolio Footnotes:

(a) Non-income producing security.

(d) Non-income producing security – in default.

(e) Guaranteed by Minister for Finance of Ireland.

(f) All or a portion of the security has been segregated as collateral for open futures contracts.

(g) The rate shown represents a weighted average coupon rate on settled positions at period end, unless otherwise indicated.

(i) Interest only security for which the variable account receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.

(n) Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in the ordinary course of business in transactions exempt from registration, normally to qualified institutional buyers. At period end, the aggregate value of these securities was:

Variable Account	Value		% of Net Assets
Global Governments Variable Account	$	116,485		1.9	%
Government Securities Variable Account		733,770		1.4
High Yield Variable Account		8,666,608		22.3
Total Return Variable Account		2,309,714		2.4

(p) Payment-in-kind security.

(r) Remaining maturities of floating rate loans may be less than stated maturities shown as a result of contractual or optional prepayments by the borrower. Such prepayments cannot be predicted with certainty. These loans may be subject to restrictions on resale. Floating rate loans generally have rates of interest which are determined periodically by reference to a base lending rate plus a premium.

(t) Security exempt from registration with the U.S. Securities and Exchange Commission under Section 4(2) of the Securities Act of 1933.

(v) Underlying affiliated fund that is available only to investment companies managed by MFS. The rate quoted is the annualized seven-day yield of the fund at period end.

(y) The rate shown represents an annualized yield at time of purchase.

(z) Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on resale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered. Disposal of these securities may involve time-consuming negotiations and prompt sale at an acceptable price may be difficult. The variable accounts hold the following restricted securities:

Variable Account	Restricted Securities	Acquisition Date Range	Cost		Value
Global Governments Variable Account	Bayview Commercial Asset Trust, FRN, 1.699%, 2023	5/25/06	$	30,044	$	27,144
	Commercial Mortgage Asset Trust, FRN, 0.991%, 2032	8/25/03		12,457		7,948
	First Union National Bank Commercial Mortgage Trust, FRN, 1.636%, 2043	12/11/03		150		2
	Total Restricted Securities				$	35,094
	% of Net Assets					0.6%
High Yield Variable Account	ACL I Corp., 10.625%, 2016	2/10/11	$	93,434	$	84,593
	AMC Networks, Inc., 7.75%, 2021	6/22/11		23,000		24,035
	American Media, Inc., 13.5%, 2018	12/22/10		14,711		15,612
	ARCap REIT, Inc., CDO, “H”, FRN, 6.1%, 2045	9/21/04		4,590		4,590
	Arch Coal, Inc., 7%, 2019	6/08/11 - 6/14/11		105,510		104,738
	Associated Materials LLC, 9.125%, 2017	6/09/11		29,329		29,925
	Audatex North America, Inc., 6.75%, 2018	6/10/11		65,000		65,325
	B-Corp. Merger Sub, Inc., 8.25%, 2019	5/17/11		90,348		89,100
	CDRT Merger Sub, Inc., 8.125%, 2019	5/13/11		35,000		35,000
	Clear Channel Communications, Inc., 9%, 2021	6/08/11		43,131		43,088
	Connacher Oil & Gas Ltd., 8.5%, 2019	5/20/11		70,000		66,500
	Ducommun, Inc., 9.75%, 2018	6/23/11		51,550		52,403
	EH Holding Corp., 7.625%, 2021	5/17/11		25,000		25,500
	Eagle Parent, Inc., 8.625%, 2019	5/11/11		65,768		62,644
	Exopack Holding Corp., 10%, 2018	5/25/11		60,242		59,550
	General Motors Financial Co., Inc., 6.75%, 2018	5/26/11 - 6/06/11		80,447		80,200
	Heckler & Koch GmbH, 9.5%, 2018	5/06/11		141,776		137,764
	Hillman Group, Inc., 10.875%, 2018	3/11/11		65,384		64,725
	Jaguar Land Rover PLC, 8.125%, 2021	5/16/11		154,278		151,125
	Kansas City Southern Railway, 6.125%, 2021	5/06/11		45,421		45,000
	LBI Media, Inc., 8.5%, 2017	7/18/07		98,837		78,500
	LINN Energy LLC, 6.5%, 2019	5/10/11		44,659		44,550
	Local TV Finance LLC, 9.25%, 2015	11/09/07 - 11/30/10		168,762		172,745
	Navios Maritime Acquisition Corp., 8.625%, 2017	5/12/11		56,223		54,175
	Packaging Dynamics Corp., 8.75%, 2016	1/25/11 - 2/01/11		40,664		40,600
	Sensata Technologies B.V., 6.5%, 2019	5/06/11		45,247		44,888
	Seven Seas Cruises S. de R.L., 9.125%, 2019	5/13/11		40,000		41,200
	USI Holdings Corp., 9.75%, 2015	5/07/07 - 11/28/07		86,034		90,225
	W&T Offshore, Inc., 8.5%, 2019	6/03/11		60,000		60,750

28

Portfolio of Investments (unaudited) — continued

Variable Account	Restricted Securities - continued	Acquisition Date	Cost		Value
High Yield Variable Account (continued)	WCA Waste Corp., 7.5%, 2019	5/26/11	$	40,000	$	39,950
	Wachovia Credit, CDO, FRN, 1.596%, 2026	6/08/06		250,000		175,000
	Xerium Technologies, Inc., 8.875%, 2018	5/20/11		45,000		45,000
	Total Restricted Securities				$	2,129,000
	% of Net Assets					5.5%
Total Return Variable Account	Anthracite Ltd., “A”, CDO, FRN, 0.635%, 2017	3/19/10	$	105,127	$	108,773
	Bayview Financial Revolving Mortgage Loan Trust, FRN, 1.785%, 2040	3/01/06		180,426		100,914
	Morgan Stanley Capital I, Inc., FRN, 1.185%, 2030	4/02/02		34,215		24,275
	Russian Federation, 3.625%, 2015	4/22/10		199,179		205,500
	Spirit Master Funding LLC, 5.05%, 2023	10/04/05		139,547		125,111
	System Energy Resources, Inc., 5.129%, 2014					33,051
	WEA Finance LLC, REIT, 4.625%, 2021					77,637
	Total Restricted Securities				$	675,261
	% of Net Assets					0.7%

The following abbreviations are used in this report and are defined:

ADR American Depository Receipt

CDO Collateralized Debt Obligation

FRN Floating Rate Note. Interest rate resets periodically and may not be the rate reported at period end.

PLC Public Limited Company

REIT Real Estate Investment Trust

STRIPS Separate Trading of Registered Interest and Principal of Securities

TIPS Treasury Inflation Protected Security

Abbreviations indicate amounts shown in currencies other than the U.S. dollar. All amounts are stated in U.S. dollars unless otherwise indicated. A list of abbreviations is shown below:

AUD Australian Dollar

CAD Canadian Dollar

CNY Chinese Yuan Renminbi

DKK Danish Krone

EUR Euro

GBP British Pound

HUF Hungarian Forint

IDR Indonesian Rupiah

JPY Japanese Yen

MXN Mexican Peso

MYR Malaysian Ringgit

NOK Norwegian Krone

NZD New Zealand Dollar

SEK Swedish Krona

SGD Singapore Dollar

THB Thai Baht

See notes to financial statements.

29

Statements of Assets and Liabilities (unaudited) — June 30, 2011

(000 Omitted)

	Capital Appreciation Variable Account		Global Governments Variable Account			Government Securities Variable Account		High Yield Variable Account			Money Market Variable Account			Total Return Variable Account
Assets:
Investments —
Non-affiliated issuers, at identified cost	$	100,760	$	5,178		$	47,294	$	37,298		$	23,567		$	82,133
Underlying affiliated funds, at cost and net asset value		421		305			2,639		457			—			542
Repurchase agreements, at cost and value		—		—			—		—			3,158			—
Total investments, at identified cost	$	101,181	$	5,483		$	49,933	$	37,755		$	26,725		$	82,675
Unrealized appreciation		28,325		462			2,476		294			—			13,639
Total investments, at value	$	129,506	$	5,945		$	52,409	$	38,049		$	26,725		$	96,314
Cash		—		—			—		23			1			1
Restricted Cash		—		—			—		5			—			—
Foreign currency, at value (identified cost, $—, $1, $—, $—, $—, $—)		—		1			—		—			—			—
Receivables for
Forward foreign currency exchange contracts		—		32			—		0	*		—			—
Daily variation on open futures contracts		—		—			1		2			—			—
Investments sold		—		41			—		319			—			95
Units sold		—		—			—		15			—			—
Interest and dividends		182		83			387		684			0	*		420
Receivable from investment adviser		—		7			—		2			4			2
Receivable from sponsor		22		—			—		19			2			—
Other assets		35		0	*		1		1			1			2
Total assets	$	129,745	$	6,109		$	52,798	$	39,119		$	26,733		$	96,834
Liabilities:
Payables for
Forward foreign currency exchange contracts	$	—	$	15		$	—	$	5		$	—		$	—
Investments purchased		—		—			—		215			—			81
Units surrendered		19		1			11		10			63			19
Payable to affiliates —
Investment adviser		5		—			2		—			—			—
Sponsor		—		0	*		3		—			—			6
Board of Managers fees		2		0	*		1		1			0	*		2
Accrued expenses and other liabilities		30		35			35		38			21			47
Total liabilities	$	56	$	51		$	52	$	269		$	84		$	155
Net assets	$	129,689	$	6,058		$	52,746	$	38,850		$	26,649		$	96,679

* Amount is less than $500.

See notes to financial statements.

30

Statements of Assets and Liabilities (unaudited) — June 30, 2011 — continued

(000 Omitted except for unit values which are rounded for presentation purposes)

	Units		Unit Value		Capital Appreciation Variable Account		Global Governments Variable Account		Government Securities Variable Account		High Yield Variable Account		Money Market Variable Account		Total Return Variable Account
Net assets applicable to contract owners:
Capital Appreciation Variable Account —
Compass 2		1,287	$	64.986	$	83,612
Compass 3		17		42.577		711
Compass 3 – Level 2		2,425		17.894		43,385
Global Governments Variable Account —
Compass 2		56	$	32.334			$	1,825
Compass 3		5		31.225				144
Compass 3 – Level 2		218		18.493				4,039
Government Securities Variable Account —
Compass 2		823	$	47.450					$	39,040
Compass 3		3		32.934						84
Compass 3 – Level 2		634		19.473						12,341
High Yield Variable Account —
Compass 2		622	$	49.810							$	30,996
Compass 3		4		36.365								157
Compass 3 – Level 2		355		19.652								6,969
Money Market Variable Account —
Compass 2		599	$	21.111									$	12,631
Compass 3		9		17.183										148
Compass 3 – Level 2		1,050		13.005										13,659
Total Return Variable Account —
Compass 2		549	$	53.271											$	29,243
Compass 3		19		51.448												955
Compass 3 – Level 2		2,601		25.114												65,319
Net assets applicable to owners of deferred contracts						127,708		6,008		51,465		38,122		26,438		95,517
Reserve for variable annuities —
Compass 2 Contracts						1,754		11		1,243		693		170		859
Compass 3 Contracts						—		—		—		—		—		—
Compass 3 – Level 2 Contracts						227		39		38		35		41		303
Net assets					$	129,689	$	6,058	$	52,746	$	38,850	$	26,649	$	96,679

See notes to financial statements.

31

Statements of Operations (unaudited) — Six Months Ended June 30, 2011

(000 Omitted)

	Capital Appreciation Variable Account			Global Governments Variable Account			Government Securities Variable Account			High Yield Variable Account			Money Market Variable Account			Total Return Variable Account
Net Investment income (loss):
Income —
Interest	$	—		$	81		$	1,060		$	1,587		$	26		$	832
Dividends		988			—			—			7			—			696
Dividends from underlying affiliated funds		1			0	*		3			1			—			1
Foreign taxes withheld		(38	)		—			—			—			—			(8	)
Total investment income	$	951		$	81		$	1,063		$	1,595		$	26		$	1,521
Expenses —
Mortality and expense risk charges	$	816		$	37		$	335		$	258		$	165		$	604
Management fee		488			22			147			154			66			369
Boards of Managers fees		7			0	*		3			2			2			6
Distribution expense charge		1			0	*		0	*		0	*		0	*		1
Administrative fee		22			9			9			9			9			17
Custodian fee		11			9			13			9			3			21
Printing		5			5			4			4			7			5
Auditing fees		19			24			21			26			11			25
Legal fees		4			4			4			4			4			4
Miscellaneous		6			4			5			4			3			5
Total expenses	$	1,379		$	114		$	541		$	470		$	270		$	1,057
Fees paid indirectly		(0	)*		(0	)*		(0	)*		(0	)*		(0	)*		(0	)*
Reduction of expenses by investment adviser		(19	)		(39	)		—			(27	)		(79	)		(33	)
Net expenses	$	1,360		$	75		$	541		$	443		$	191		$	1,024
Net investment income (loss)	$	(409	)	$	6		$	522		$	1,152		$	(165	)	$	497
Realized and unrealized gain (loss) on investments:
Realized gain (loss) (identified cost basis) —
Investment transactions	$	4,571		$	51		$	(76	)	$	893		$	0	*	$	1,757
Futures contracts		—			—			(18	)		(20	)		—			—
Foreign currency transactions		6			(57	)		—			(18	)		—			2
Net realized gain (loss) on investments and foreign currency transactions	$	4,577		$	(6	)	$	(94	)	$	855		$	0	*	$	1,759
Change in unrealized appreciation (depreciation) —
Investments	$	3,155		$	131		$	399		$	(522	)	$	—		$	1,294
Futures contracts		—			—			15			(9	)		—			—
Translation of assets and liabilities in foreign currencies		(2	)		32			—			(2	)		—			1
Net unrealized gain (loss) on investments and foreign currency translation	$	3,153		$	163		$	414		$	(533	)	$	—		$	1,295
Net realized and unrealized gain (loss) on investments and foreign currency	$	7,730		$	157		$	320		$	322		$	0	*	$	3,054
Change in net assets from operations	$	7,321		$	163		$	842		$	1,474		$	(165	)	$	3,551

* Amount is less than $500.

See notes to financial statements.

32

Statements of Changes in Net Assets

(000 Omitted)

	Capital Appreciation Variable Account						Global Governments Variable Account						Government Securities Variable Account
	Six Months Ended 6/30/11 (unaudited)			Year Ended 12/31/10			Six Months Ended 6/30/11 (unaudited)			Year Ended 12/31/10			Six Months Ended 6/30/11 (unaudited)			Year Ended 12/31/10
Change in net assets:
From operations:
Net investment income (loss)	$	(409	)	$	(895	)	$	6		$	4		$	522		$	1,381
Net realized gain (loss) on investments and foreign currency transactions		4,577			9,740			(6	)		173			(94	)		797
Net unrealized gain (loss) on investments and foreign currency translation		3,153			4,771			163			41			414			(100	)
Change in net assets from operations	$	7,321		$	13,616		$	163		$	218		$	842		$	2,078
Participant transactions:
Accumulation activity:
Purchase payments received	$	448		$	753		$	8		$	19		$	69		$	696
Net transfers between variable and fixed accumulation accounts		(129	)		(1,374	)		184			(241	)		(795	)		144
Withdrawals, surrenders, annuitizations, and contract charges		(7,959	)		(14,998	)		(386	)		(1,531	)		(3,025	)		(7,933	)
Net accumulation activity	$	(7,640	)	$	(15,619	)	$	(194	)	$	(1,753	)	$	(3,751	)	$	(7,093	)
Annuitization activity:
Annuitizations	$	—		$	76		$	—		$	—		$	49		$	28
Annuity payments and contract charges		(152	)		(302	)		(2	)		(5	)		(128	)		(261	)
Adjustments to annuity reserves		16			5			(0	)*		(11	)		(10	)		0	*
Net annuitization activity	$	(136	)	$	(221	)	$	(2	)	$	(16	)	$	(89	)	$	(233	)
Change in net assets from participant transactions	$	(7,776	)	$	(15,840	)	$	(196	)	$	(1,769	)	$	(3,840	)	$	(7,326	)
Total change in net assets	$	(455	)	$	(2,224	)	$	(33	)	$	(1,551	)	$	(2,998	)	$	(5,248	)
Net assets:
At beginning of period		130,144			132,368			6,091			7,642			55,744			60,992
At end of period	$	129,689		$	130,144		$	6,058		$	6,091		$	52,746		$	55,744

* Amount is less than $500.

See notes to financial statements.

33

Statements of Changes in Net Assets — continued

(000 Omitted)

	High Yield Variable Account						Money Market Variable Account						Total Return Variable Account
	Six Months Ended 6/30/11 (unaudited)			Year Ended 12/31/10			Six Months Ended 6/30/11 (unaudited)			Year Ended 12/31/10			Six Months Ended 6/30/11 (unaudited)			Year Ended 12/31/10
Change in net assets:
From operations:
Net investment income (loss)	$	1,152		$	2,577		$	(165	)	$	(395	)	$	497		$	1,123
Net realized gain (loss) on investments and foreign currency transactions		855			1,263			0	*		0	*		1,759			1,584
Net unrealized gain (loss) on investments and foreign currency translation		(533	)		1,267			—			—			1,295			5,666
Change in net assets from operations	$	1,474		$	5,107		$	(165	)	$	(395	)	$	3,551		$	8,373
Participant transactions:
Accumulation activity:
Purchase payments received	$	177		$	255		$	312		$	235		$	235		$	510
Net transfers between variable and fixed accumulation accounts		(1,633	)		(510	)		1,773			927			(384	)		(1,099	)
Withdrawals, surrenders, annuitizations, and contract charges		(2,018	)		(4,980	)		(3,324	)		(6,646	)		(5,968	)		(14,004	)
Net accumulation activity	$	(3,474	)	$	(5,235	)	$	(1,239	)	$	(5,484	)	$	(6,117	)	$	(14,593	)
Annuitization activity:
Annuitizations	$	—		$	31		$	—		$	18		$	—		$	16
Annuity payments and contract charges		(66	)		(127	)		(16	)		(44	)		(87	)		(167	)
Adjustments to annuity reserves		23			(0	)*		7			(1	)		(7	)		46
Net annuitization activity	$	(43	)	$	(96	)	$	(9	)	$	(27	)	$	(94	)	$	(105	)
Change in net assets from participant transactions	$	(3,517	)	$	(5,331	)	$	(1,248	)	$	(5,511	)	$	(6,211	)	$	(14,698	)
Total change in net assets	$	(2,043	)	$	(224	)	$	(1,413	)	$	(5,906	)	$	(2,660	)	$	(6,325	)
Net assets:
At beginning of period		40,893			41,117			28,062			33,968			99,339			105,664
At end of period	$	38,850		$	40,893		$	26,649		$	28,062		$	96,679		$	99,339

* Amount is less than $500.

See notes to financial statements.

34

Financial Highlights

The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.

	Capital Appreciation Variable Account
	Compass 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	61.454		$	55.063		$	39.750		$	63.669		$	58.101		$	55.446
Investment income	$	0.470		$	0.768		$	0.685		$	0.780		$	0.751		$	0.560
Expenses		(0.676	)		(1.176	)		(0.965	)		(1.154	)		(1.319	)		(1.198	)
Net investment loss	$	(0.206	)	$	(0.408	)	$	(0.280	)	$	(0.374	)	$	(0.568	)	$	(0.638	)
Net realized and unrealized gain (loss) on investments and foreign currency		3.738			6.799			15.593			(23.545	)		6.136			3.293
Change in unit value	$	3.532		$	6.391		$	15.313		$	(23.919	)	$	5.568		$	2.655
Unit value:
Net asset value — end of period	$	64.986		$	61.454		$	55.063		$	39.750		$	63.669		$	58.101
Total Return (%) (k)(r)(s)		5.75	(n)		11.61			38.52			(37.57	)		9.58			4.79
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.16	(a)		2.18			2.18			2.17			2.15			2.15
Expenses after expense reductions (f)		2.13	(a)		2.12			2.12			2.12			2.14			N/A
Net investment loss		(0.64	)(a)		(0.72	)		(0.60	)		(0.68	)		(0.91	)		(1.11	)
Portfolio turnover (%)		15			43			47			49			63			61
Number of units outstanding at end of period (000 omitted)		1,287			1,360			1,539			1,761			1,980			2,419
	Capital Appreciation Variable Account
	Compass 3
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	40.282		$	36.129		$	26.107		$	41.858		$	38.235		$	36.524
Investment income	$	0.295		$	0.488		$	0.425		$	0.497		$	0.490		$	0.355
Expenses		(0.455	)		(0.796	)		(0.635	)		(0.783	)		(0.903	)		(0.807	)
Net investment loss	$	(0.160	)	$	(0.308	)	$	(0.210	)	$	(0.286	)	$	(0.413	)	$	(0.452	)
Net realized and unrealized gain (loss) on investments and foreign currency		2.455			4.461			10.232			(15.465	)		4.036			2.163
Change in unit value	$	2.295		$	4.153		$	10.022		$	(15.751	)	$	3.623		$	1.711
Unit value:
Net asset value — end of period	$	42.577		$	40.282		$	36.129		$	26.107		$	41.858		$	38.235
Total Return (%) (k)(r)(s)		5.70	(n)		11.49			38.39			(37.63	)		9.48			4.69
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.26	(a)		2.28			2.28			2.27			2.25			2.25
Expenses after expense reductions (f)		2.23	(a)		2.22			2.22			2.22			2.24			N/A
Net investment loss		(0.78	)(a)		(0.85	)		(0.73	)		(0.81	)		(1.04	)		(1.30	)
Portfolio turnover (%)		15			43			47			49			63			61
Number of units outstanding at end of period (000 omitted)		17			20			27			46			73			128

35

Financial Highlights — continued

	Capital Appreciation Variable Account
	Compass 3 – Level 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	16.917		$	15.151		$	10.932		$	17.501		$	15.963		$	15.226
Investment income	$	0.127		$	0.208		$	0.186		$	0.211		$	0.203		$	0.152
Expenses		(0.180	)		(0.314	)		(0.258	)		(0.308	)		(0.352	)		(0.320	)
Net investment loss	$	(0.053	)	$	(0.106	)	$	(0.072	)	$	(0.097	)	$	(0.149	)	$	(0.168	)
Net realized and unrealized gain (loss) on investments and foreign currency		1.030			1.872			4.291			(6.472	)		1.687			0.905
Change in unit value	$	0.977		$	1.766		$	4.219		$	(6.569	)	$	1.538		$	0.737
Unit value:
Net asset value — end of period	$	17.894		$	16.917		$	15.151		$	10.932		$	17.501		$	15.963
Total Return (%) (k)(r)(s)		5.78	(n)		11.66			38.59			(37.54	)		9.64			4.84
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.11	(a)		2.13			2.13			2.12			2.10			2.10
Expenses after expense reductions (f)		2.08	(a)		2.07			2.07			2.07			2.09			N/A
Net investment loss		(0.61	)(a)		(0.70	)		(0.58	)		(0.65	)		(0.88	)		(1.13	)
Portfolio turnover (%)		15			43			47			49			63			61
Number of units outstanding at end of period (000 omitted)		2,425			2,588			2,945			3,335			3,671			4,378

(a) Annualized.

(d) Per unit data is based on the average number of units outstanding during each period.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown.

(n) Not annualized.

(r) Certain expenses have been reduced without which performance would have been lower.

(s) From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower.

See notes to financial statements.

36

Financial Highlights — continued

The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.

	Global Governments Variable Account
	Compass 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	31.477		$	30.488		$	29.979		$	27.622		$	25.732		$	24.865
Investment income	$	0.430		$	0.781		$	0.885		$	0.944		$	1.052		$	1.003
Expenses		(0.394	)		(0.763	)		(0.742	)		(0.716	)		(0.653	)		(0.629	)
Net investment income	$	0.036		$	0.018		$	0.143		$	0.228		$	0.399		$	0.374
Net realized and unrealized gain (loss) on investments and foreign currency		0.821			0.971			0.366			2.129			1.491			0.493
Change in unit value	$	0.857		$	0.989		$	0.509		$	2.357		$	1.890		$	0.867
Unit value:
Net asset value — end of period	$	32.334		$	31.477		$	30.488		$	29.979		$	27.622		$	25.732
Total Return (%) (k)(r)(s)		2.72	(n)		3.24			1.70			8.54			7.34			3.49
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		3.79	(a)		3.64			3.33			3.50			3.35			3.39
Expenses after expense reductions (f)		2.50	(a)		2.50			2.50			2.50			2.50			2.50
Net investment income		0.22	(a)		0.06			0.48			0.79			1.52			1.48
Portfolio turnover (%)		31			55			87			111			141			118
Number of units outstanding at end of period (000 omitted)		56			55			85			91			85			104
	Global Governments Variable Account
	Compass 3
	Six Months Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	30.421		$	29.508		$	29.059		$	26.814		$	25.017		$	24.209
Investment income	$	0.408		$	0.740		$	0.834		$	0.904		$	1.044		$	1.025
Expenses		(0.396	)		(0.768	)		(0.746	)		(0.727	)		(0.678	)		(0.659	)
Net investment income (loss)	$	0.012		$	(0.028	)	$	0.088		$	0.177		$	0.366		$	0.366
Net realized and unrealized gain (loss) on investments and foreign currency		0.792			0.941			0.361			2.068			1.431			0.442
Change in unit value	$	0.804		$	0.913		$	0.449		$	2.245		$	1.797		$	0.808
Unit value:
Net asset value — end of period	$	31.225		$	30.421		$	29.508		$	29.059		$	26.814		$	25.017
Total Return (%) (k)(r)(s)		2.64	(n)		3.09			1.55			8.38			7.18			3.34
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		3.94	(a)		3.79			3.48			3.65			3.50			3.54
Expenses after expense reductions (f)		2.65	(a)		2.65			2.65			2.65			2.65			2.65
Net investment income (loss)		0.08	(a)		(0.09	)		0.31			0.65			1.44			1.41
Portfolio turnover (%)		31			55			87			111			141			118
Number of units outstanding at end of period (000 omitted)		5			6			7			11			15			18

37

Financial Highlights — continued

	Global Governments Variable Account
	Compass 3 – Level 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	18.003		$	17.438		$	17.147		$	15.798		$	14.718		$	14.221
Investment income	$	0.243		$	0.454		$	0.508		$	0.541		$	0.608		$	0.574
Expenses		(0.225	)		(0.444	)		(0.426	)		(0.410	)		(0.377	)		(0.361	)
Net investment income	$	0.018		$	0.010		$	0.082		$	0.131		$	0.231		$	0.213
Net realized and unrealized gain (loss) on investments and foreign currency		0.472			0.555			0.209			1.218			0.849			0.284
Change in unit value	$	0.490		$	0.565		$	0.291		$	1.349		$	1.080		$	0.497
Unit value:
Net asset value — end of period	$	18.493		$	18.003		$	17.438		$	17.147		$	15.798		$	14.718
Total Return (%) (k)(r)(s)		2.72	(n)		3.24			1.70			8.54			7.34			3.49
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		3.79	(a)		3.64			3.33			3.50			3.35			3.39
Expenses after expense reductions (f)		2.50	(a)		2.50			2.50			2.50			2.50			2.50
Net investment income		0.20	(a)		0.06			0.48			0.79			1.53			1.47
Portfolio turnover (%)		31			55			87			111			141			118
Number of units outstanding at end of period (000 omitted)		218			230			274			306			332			403

(a) Annualized.

(d) Per unit data is based on the average number of units outstanding during each period.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown.

(n) Not annualized.

(r) Certain expenses have been reduced without which performance would have been lower.

(s) From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower.

See notes to financial statements.

38

Financial Highlights — continued

The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.

	Government Securities Variable Account
	Compass 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	46.717		$	45.185		$	43.715		$	40.804		$	38.619		$	37.679
Investment income	$	0.952		$	2.100		$	2.152		$	2.116		$	2.117		$	2.024
Expenses		(0.486	)		(0.976	)		(0.917	)		(0.860	)		(0.802	)		(0.757	)
Net investment income	$	0.466		$	1.124		$	1.235		$	1.256		$	1.315		$	1.267
Net realized and unrealized gain (loss) on investments		0.267			0.408			0.235			1.655			0.870			(0.327	)
Change in unit value	$	0.733		$	1.532		$	1.470		$	2.911		$	2.185		$	0.940
Unit value:
Net asset value — end of period	$	47.450		$	46.717		$	45.185		$	43.715		$	40.804		$	38.619
Total Return (%) (k)(s)		1.57	(n)		3.39			3.36			7.14			5.66			2.50
Ratios (%) (to average net assets):
Expenses (f)		2.07	(a)		2.07			2.04			2.05			2.02			2.01
Net investment income		1.94	(a)		2.33			2.70			2.93			3.26			3.28
Portfolio turnover (%)		13			33			27			45			35			17
Number of units outstanding at end of period (000 omitted)		823			889			1,010			1,151			1,269			1,538
	Government Securities Variable Account
	Compass 3
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	32.441		$	31.409		$	30.417		$	28.419		$	26.924		$	26.295
Investment income	$	0.632		$	1.401		$	1.442		$	1.427		$	1.470		$	1.352
Expenses		(0.344	)		(0.671	)		(0.651	)		(0.618	)		(0.583	)		(0.538	)
Net investment income	$	0.288		$	0.730		$	0.791		$	0.809		$	0.887		$	0.814
Net realized and unrealized gain (loss) on investments		0.205			0.302			0.201			1.189			0.608			(0.185	)
Change in unit value	$	0.493		$	1.032		$	0.992		$	1.998		$	1.495		$	0.629
Unit value:
Net asset value — end of period	$	32.934		$	32.441		$	31.409		$	30.417		$	28.419		$	26.924
Total Return (%) (k)(s)		1.52	(n)		3.29			3.26			7.03			5.55			2.40
Ratios (%) (to average net assets):
Expenses (f)		2.17	(a)		2.17			2.14			2.15			2.12			2.11
Net investment income		1.80	(a)		2.34			2.60			2.80			3.25			3.15
Portfolio turnover (%)		13			33			27			45			35			17
Number of units outstanding at end of period (000 omitted)		3			3			10			20			28			40

39

Financial Highlights — continued

	Government Securities Variable Account
	Compass 3 – Level 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	19.168		$	18.530		$	17.918		$	16.717		$	15.814		$	15.421
Investment income	$	0.381		$	0.837		$	0.862		$	0.848		$	0.848		$	0.813
Expenses		(0.193	)		(0.387	)		(0.364	)		(0.342	)		(0.318	)		(0.300	)
Net investment income	$	0.188		$	0.450		$	0.498		$	0.506		$	0.530		$	0.513
Net realized and unrealized gain (loss) on investments		0.117			0.188			0.114			0.695			0.373			(0.120	)
Change in unit value	$	0.305		$	0.638		$	0.612		$	1.201		$	0.903		$	0.393
Unit value:
Net asset value — end of period	$	19.473		$	19.168		$	18.530		$	17.918		$	16.717		$	15.814
Total Return (%) (k)(s)		1.59	(n)		3.44			3.41			7.19			5.71			2.55
Ratios (%) (to average net assets):
Expenses (f)		2.02	(a)		2.02			1.99			2.00			1.97			1.96
Net investment income		1.96	(a)		2.34			2.72			2.94			3.29			3.30
Portfolio turnover (%)		13			33			27			45			35			17
Number of units outstanding at end of period (000 omitted)		634			667			731			831			889			1,054

(a) Annualized.

(d) Per unit data is based on the average number of units outstanding during each period.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown.

(n) Not annualized.

(s) From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower.

See notes to financial statements.

40

Financial Highlights — continued

The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.

	High Yield Variable Account
	Compass 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	48.077		$	42.360		$	29.057		$	40.344		$	40.172		$	36.840
Investment income	$	1.964		$	3.913		$	3.733		$	3.568		$	3.391		$	3.121
Expenses		(0.547	)		(0.995	)		(0.781	)		(0.817	)		(0.901	)		(0.847	)
Net investment income	$	1.417		$	2.918		$	2.952		$	2.751		$	2.490		$	2.274
Net realized and unrealized gain (loss) on investments and foreign currency		0.316			2.799			10.351			(14.038	)		(2.318	)		1.058
Change in unit value	$	1.733		$	5.717		$	13.303		$	(11.287	)	$	0.172		$	3.332
Unit value:
Net asset value — end of period	$	49.810		$	48.077		$	42.360		$	29.057		$	40.344		$	40.172
Total Return (%) (k)(r)(s)		3.60	(n)		13.50			45.78			(27.98	)		0.43			9.04
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.34	(a)		2.37			2.35			2.36			2.25			2.32
Expenses after expense reductions (f)		2.20	(a)		2.20			2.20			2.20			2.20			2.22
Net investment income		5.61	(a)		6.36			8.18			7.28			5.96			5.84
Portfolio turnover (%)		31			66			56			62			66			88
Number of units outstanding at end of period (000 omitted)		622			662			753			862			958			1,119
	High Yield Variable Account
	Compass 3
	Six Months Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	35.117		$	30.972		$	21.266		$	29.556		$	29.459		$	27.043
Investment income	$	1.369		$	2.791		$	2.629		$	2.515		$	2.445		$	2.212
Expenses		(0.401	)		(0.749	)		(0.580	)		(0.613	)		(0.681	)		(0.635	)
Net investment income	$	0.968		$	2.042		$	2.049		$	1.902		$	1.764		$	1.577
Net realized and unrealized gain (loss) on investments and foreign currency		0.280			2.103			7.657			(10.192	)		(1.667	)		0.839
Change in unit value	$	1.248		$	4.145		$	9.706		$	(8.290	)	$	0.097		$	2.416
Unit value:
Net asset value — end of period	$	36.365		$	35.117		$	30.972		$	21.266		$	29.556		$	29.459
Total Return (%) (k)(r)(s)		3.55	(n)		13.38			45.64			(28.05	)		0.33			8.94
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.44	(a)		2.47			2.45			2.46			2.35			2.42
Expenses after expense reductions (f)		2.30	(a)		2.30			2.30			2.30			2.30			2.32
Net investment income		5.52	(a)		6.26			8.08			7.09			5.93			5.71
Portfolio turnover (%)		31			66			56			62			66			88
Number of units outstanding at end of period (000 omitted)		4			6			8			13			21			34

41

Financial Highlights — continued

	High Yield Variable Account
	Compass 3 – Level 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	18.963		$	16.700		$	11.450		$	15.890		$	15.814		$	14.495
Investment income	$	0.767		$	1.507		$	1.416		$	1.380		$	1.310		$	1.202
Expenses		(0.211	)		(0.379	)		(0.298	)		(0.313	)		(0.344	)		(0.323	)
Net investment income	$	0.556		$	1.128		$	1.118		$	1.067		$	0.966		$	0.879
Net realized and unrealized gain (loss) on investments and foreign currency		0.133			1.135			4.132			(5.507	)		(0.890	)		0.440
Change in unit value	$	0.689		$	2.263		$	5.250		$	(4.440	)	$	0.076		$	1.319
Unit value:
Net asset value — end of period	$	19.652		$	18.963		$	16.700		$	11.450		$	15.890		$	15.814
Total Return (%) (k)(r)(s)		3.63	(n)		13.55			45.86			(27.94	)		0.48			9.10
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.29	(a)		2.32			2.30			2.31			2.20			2.27
Expenses after expense reductions (f)		2.15	(a)		2.15			2.15			2.15			2.15			2.17
Net investment income		5.65	(a)		6.37			8.03			7.27			5.98			5.86
Portfolio turnover (%)		31			66			56			62			66			88
Number of units outstanding at end of period (000 omitted)		355			428			493			558			579			774

(a) Annualized.

(d) Per unit data is based on the average number of units outstanding during each period.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown.

(n) Not annualized.

(r) Certain expenses have been reduced without which performance would have been lower.

(s) From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower.

See notes to financial statements.

42

Financial Highlights — continued

The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.

	Money Market Variable Account
	Compass 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	21.247		$	21.523		$	21.803		$	21.676		$	20.979		$	20.331
Investment income	$	0.021		$	0.058		$	0.078		$	0.567		$	1.145		$	1.051
Expenses		(0.157	)		(0.334	)		(0.357	)		(0.432	)		(0.431	)		(0.403	)
Net investment income (loss)	$	(0.136	)	$	(0.276	)	$	(0.279	)	$	0.135		$	0.714		$	0.648
Net realized and unrealized gain (loss) on investments		(0.000	)(w)		0.000	(w)		(0.001	)		(0.008	)		(0.017	)(g)		—
Change in unit value	$	(0.136	)	$	(0.276	)	$	(0.280	)	$	0.127		$	0.697		$	0.648
Unit value:
Net asset value — end of period	$	21.111		$	21.247		$	21.523		$	21.803		$	21.676		$	20.979
Total Return (%) (k)(r)(s)		(0.64	)(n)		(1.28	)		(1.28	)		0.58			3.32			3.19
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.10	(a)		2.06			2.01			1.99			2.00			1.95
Expenses after expense reductions (f)		1.50	(a)		1.56			1.66			1.97			N/A			N/A
Net investment income (loss)		(1.27	)(a)		(1.28	)		(1.27	)		0.61			3.29			3.15
Number of units outstanding at end of period (000 omitted)		599			621			732			793			887			928
	Money Market Variable Account
	Compass 3
	Six Months Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	17.302		$	17.544		$	17.790		$	17.704		$	17.152		$	16.638
Investment income	$	0.017		$	0.045		$	0.066		$	0.468		$	0.902		$	0.852
Expenses		(0.133	)		(0.284	)		(0.308	)		(0.364	)		(0.356	)		(0.338	)
Net investment income (loss)	$	(0.116	)	$	(0.239	)	$	(0.242	)	$	0.104		$	0.546		$	0.514
Net realized and unrealized gain (loss) on investments		(0.003	)		(0.003	)		(0.004	)		(0.018	)		0.006	(g)		—
Change in unit value	$	(0.119	)	$	(0.242	)	$	(0.246	)	$	0.086		$	0.552		$	0.514
Unit value:
Net asset value — end of period	$	17.183		$	17.302		$	17.544		$	17.790		$	17.704		$	17.152
Total Return (%) (k)(r)(s)		(0.69	)(n)		(1.38	)		(1.38	)		0.49			3.22			3.09
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.20	(a)		2.16			2.11			2.09			2.10			2.05
Expenses after expense reductions (f)		1.60	(a)		1.66			1.76			2.07			N/A			N/A
Net investment income (loss)		(1.39	)(a)		(1.39	)		(1.38	)		0.59			3.20			3.00
Number of units outstanding at end of period (000 omitted)		9			11			18			45			64			131

43

Financial Highlights — continued

	Money Market Variable Account
	Compass 3 – Level 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	13.086		$	13.249		$	13.415		$	13.330		$	12.895		$	12.491
Investment income	$	0.013		$	0.036		$	0.048		$	0.344		$	0.695		$	0.644
Expenses		(0.093	)		(0.199	)		(0.213	)		(0.257	)		(0.257	)		(0.240	)
Net investment income (loss)	$	(0.080	)	$	(0.163	)	$	(0.165	)	$	0.087		$	0.438		$	0.404
Net realized and unrealized gain (loss) on investments		(0.001	)		0.000	(w)		(0.001	)		(0.002	)		(0.003	)(g)		—
Change in unit value	$	(0.081	)	$	(0.163	)	$	(0.166	)	$	0.085		$	0.435		$	0.404
Unit value:
Net asset value — end of period	$	13.005		$	13.086		$	13.249		$	13.415		$	13.330		$	12.895
Total Return (%) (k)(r)(s)		(0.62	)(n)		(1.23	)		(1.23	)		0.63			3.38			3.24
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.05	(a)		2.01			1.96			1.94			1.95			1.90
Expenses after expense reductions (f)		1.45	(a)		1.51			1.61			1.92			N/A			N/A
Net investment income (loss)		(1.24	)(a)		(1.24	)		(1.24	)		0.65			3.32			3.18
Number of units outstanding at end of period (000 omitted)		1,050			1,106			1,332			1,673			1,871			1,969

(a) Annualized.

(d) Per unit data is based on the average number of units outstanding during each period.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(g) The per unit amount varies from the net realized and unrealized gain/loss for the period because of the timing of sales of variable account units and the per unit amount of realized and unrealized gains and losses at such time.

(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown.

(n) Not annualized.

(r) Certain expenses have been reduced without which performance would have been lower.

(s) From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower.

(w) Per unit amount was less than $0.001.

See notes to financial statements.

44

Financial Highlights — continued

The financial highlights table is intended to help you understand the variable account’s financial performance for the semiannual period and the past 5 years. Certain information reflects financial results for a single unit value. The total returns in the table represent the rate by which an investor would have earned (or lost) on an investment in the variable account held for the entire period.

	Total Return Variable Account
	Compass 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	51.412		$	47.266		$	40.464		$	52.709		$	51.373		$	46.459
Investment income	$	0.834		$	1.590		$	1.601		$	1.748		$	1.832		$	1.749
Expenses		(0.556	)		(1.026	)		(0.892	)		(1.008	)		(1.126	)		(1.033	)
Net investment income	$	0.278		$	0.564		$	0.709		$	0.740		$	0.706		$	0.716
Net realized and unrealized gain (loss) on investments and foreign currency		1.581			3.582			6.093			(12.985	)		0.630			4.198
Change in unit value	$	1.859		$	4.146		$	6.802		$	(12.245	)	$	1.336		$	4.914
Unit value:
Net asset value — end of period	$	53.271		$	51.412		$	47.266		$	40.464		$	52.709		$	51.373
Total Return (%) (k)(r)(s)		3.62	(n)		8.77			16.81			(23.23	)		2.60			10.58
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.17	(a)		2.18			2.18			2.16			2.12			2.14
Expenses after expense reductions (f)		2.10	(a)		2.10			2.10			2.10			2.11			N/A
Net investment income		1.03	(a)		1.13			1.64			1.52			1.30			1.46
Portfolio turnover (%)		9			32			41			57			54			45
Number of units outstanding at end of period (000 omitted)		549			587			685			807			948			1,156
	Total Return Variable Account
	Compass 3
	Six Months Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	49.689		$	45.750		$	39.224		$	51.169		$	49.947		$	45.236
Investment income	$	0.774		$	1.485		$	1.505		$	1.645		$	1.770		$	1.645
Expenses		(0.562	)		(1.038	)		(0.902	)		(1.033	)		(1.165	)		(1.051	)
Net investment income	$	0.212		$	0.447		$	0.603		$	0.612		$	0.605		$	0.594
Net realized and unrealized gain (loss) on investments and foreign currency		1.547			3.492			5.923			(12.557	)		0.617			4.117
Change in unit value	$	1.759		$	3.939		$	6.526		$	(11.945	)	$	1.222		$	4.711
Unit value:
Net asset value — end of period	$	51.448		$	49.689		$	45.750		$	39.224		$	51.169		$	49.947
Total Return (%) (k)(r)(s)		3.54	(n)		8.61			16.64			(23.34	)		2.45			10.42
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.32	(a)		2.33			2.33			2.31			2.27			2.29
Expenses after expense reductions (f)		2.25	(a)		2.25			2.25			2.25			2.26			N/A
Net investment income		0.84	(a)		0.96			1.50			1.33			1.18			1.28
Portfolio turnover (%)		9			32			41			57			54			45
Number of units outstanding at end of period (000 omitted)		19			23			48			74			107			142

45

Financial Highlights — continued

	Total Return Variable Account
	Compass 3 – Level 2
	Six Months  Ended 6/30/11 (Unaudited)			Years Ended 12/31
				2010			2009			2008			2007			2006
Per unit data: (d)
Net asset value — beginning of period	$	24.238		$	22.284		$	19.077		$	24.850		$	24.220		$	21.903
Investment income	$	0.384		$	0.732		$	0.740		$	0.807		$	0.849		$	0.812
Expenses		(0.259	)		(0.479	)		(0.417	)		(0.471	)		(0.527	)		(0.484	)
Net investment income	$	0.125		$	0.253		$	0.323		$	0.336		$	0.322		$	0.328
Net realized and unrealized gain (loss) on investments and foreign currency		0.751			1.701			2.884			(6.109	)		0.308			1.989
Change in unit value	$	0.876		$	1.954		$	3.207		$	(5.773	)	$	0.630		$	2.317
Unit value:
Net asset value — end of period	$	25.114		$	24.238		$	22.284		$	19.077		$	24.850		$	24.220
Total Return (%) (k)(r)(s)		3.61	(n)		8.77			16.81			(23.23	)		2.60			10.58
Ratios (%) (to average net assets):
Expenses before expense reductions (f)		2.17	(a)		2.18			2.18			2.16			2.12			2.14
Expenses after expense reductions (f)		2.10	(a)		2.10			2.10			2.10			2.11			N/A
Net investment income		1.00	(a)		1.10			1.61			1.49			1.28			1.44
Portfolio turnover (%)		9			32			41			57			54			45
Number of units outstanding at end of period (000 omitted)		2,601			2,757			3,136			3,572			4,116			4,695

(a) Annualized.

(d) Per unit data is based on the average number of units outstanding during each period.

(f) Ratios do not reflect reductions from fees paid indirectly, if applicable.

(k) The total return does not reflect expenses that apply to separate accounts. Inclusion of these charges would reduce the total return figures for all periods shown.

(n) Not annualized.

(r) Certain expenses have been reduced without which performance would have been lower.

(s) From time to time the variable account may receive proceeds from litigation settlements, without which performance would be lower.

See notes to financial statements.

46

Notes to Financial Statements (unaudited)

(1) Business and Organization

Capital Appreciation Variable Account, Global Governments Variable Account, Government Securities Variable Account, High Yield Variable Account, Money Market Variable Account, and Total Return Variable Account (the variable account(s)) are separate accounts established by Sun Life Assurance Company of Canada (U.S.), the Sponsor, in connection with the issuance of Compass 2 and Compass 3 combination fixed/variable annuity contracts. The variable accounts operate as open-end management investment companies as those terms are defined in the Investment Company Act of 1940, as amended.

(2) Significant Accounting Policies

General – The preparation of financial statements in conformity with U.S. generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates. In the preparation of these financial statements, management has evaluated subsequent events occurring after the date of the variable accounts’ Statements of Assets and Liabilities through the date that the financial statements were issued. The High Yield Variable Account invests in high-yield securities rated below investment grade. Investments in high-yield securities involve greater degrees of credit and market risk than investments in higher-rated securities and tend to be more sensitive to economic conditions. The Government Securities Variable Account and Total Return Variable Account invest a significant portion of its assets in asset-backed and/or mortgage-backed securities. The value of these securities may depend, in part, on the issuer’s or borrower’s credit quality or ability to pay principal and interest when due and may fall if an issuer or borrower defaults on its obligation to pay principal or interest or if the instrument’s credit rating is downgraded by a credit rating agency. U.S. Government securities not supported as to the payment of principal or interest by the U.S. Treasury, such as those issued by Fannie Mae, Freddie Mac, and the Federal Home Loan Banks, are subject to greater credit risk than are U.S. Government securities supported by the U.S. Treasury, such as those issued by Ginnie Mae. The Global Governments Variable Account and High Yield Variable Account invest in foreign securities. Investments in foreign securities are vulnerable to the effects of changes in the relative values of the local currency and the U.S. dollar and to the effects of changes in each country’s legal, political, and economic environment.

Investment Valuations – Pursuant to procedures approved by the Board of Managers, investments held by the Money Market Variable Account are generally valued at amortized cost, which approximates market value. Amortized cost involves valuing an instrument at its cost as adjusted for amortization of premium or accretion of discount rather than its current market value. The amortized cost value of an instrument can be different from the market value of an instrument. Equity securities, including restricted equity securities, are generally valued at the last sale or official closing price as provided by a third-party pricing service on the market or exchange on which they are primarily traded. Equity securities, for which there were no sales reported that day, are generally valued at the last quoted daily bid quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Equity securities held short, for which there were no sales reported for that day, are generally valued at the last quoted daily ask quotation as provided by a third-party pricing service on the market or exchange on which such securities are primarily traded. Debt instruments and floating rate loans (other than short-term instruments), including restricted debt instruments, are generally valued at an evaluated or composite bid as provided by a third-party pricing service. Short-term instruments with a maturity at issuance of 60 days or less generally are valued at amortized cost, which approximates market value. Exchange-traded options are generally valued at the last sale or official closing price as provided by a third-party pricing service on the exchange on which such options are primarily traded. Exchange-traded options for which there were no sales reported that day are generally valued at the last daily bid quotation as provided by a third-party pricing service on the exchange on which such options are primarily traded. Options not traded on an exchange are generally valued at a broker/dealer bid quotation. Foreign currency options are generally valued at valuations provided by a third-party pricing service. Futures contracts are generally valued at last posted settlement price as provided by a third-party pricing service on the market on which they are primarily traded. Futures contracts for which there were no trades that day for a particular position are generally valued at the closing bid quotation as provided by a third-party pricing service on the market on which such futures contracts are primarily traded. Forward foreign currency contracts are generally valued at the mean of bid and asked prices for the time period interpolated from rates provided by a third-party pricing service for proximate time periods. Open-end investment companies are generally valued at net asset value per share. Securities and other assets generally valued on the basis of information from a third-party pricing service may also be valued at a broker/dealer bid quotation. Values obtained from third-party pricing services can utilize both transaction data and market information such as yield, quality, coupon rate, maturity, type of issue, trading characteristics, and other market data. The values of foreign securities and other assets and liabilities expressed in foreign currencies are converted to U.S. dollars using the mean of bid and asked prices for rates provided by a third-party pricing service.

The Board of Managers has delegated primary responsibility for determining or causing to be determined the value of the variable accounts’ investments (including any fair valuation) to the adviser pursuant to valuation policies and procedures approved by the Board. If the adviser determines that reliable market quotations are not readily available, investments are valued at fair value as determined in good faith by the adviser in accordance with such procedures under the oversight of the Board of Managers. Under the variable accounts’ valuation policies and procedures, market quotations are not considered to be readily available for most types of debt instruments and floating rate loans and many types of derivatives. These investments are generally valued at fair value based on information from third-party pricing services. In addition, investments may be valued at fair value if the adviser determines that an investment’s value has been materially affected by events occurring after the close of the exchange or market on which the investment is principally traded (such as foreign exchange or market) and prior to the determination of the variable accounts’

47

Notes to Financial Statements (unaudited) — continued

net asset value, or after the halting of trading of a specific security where trading does not resume prior to the close of the exchange or market on which the security is principally traded. Events that occur on a frequent basis after foreign markets close (such as developments in foreign markets and significant movements in the U.S. markets) and prior to the determination of the variable accounts’ net asset value may be deemed to have a material effect on the value of securities traded in foreign markets. Accordingly, the variable accounts’ foreign equity securities may often be valued at fair value. The adviser generally relies on third-party pricing services or other information (such as the correlation with price movements of similar securities in the same or other markets; the type, cost and investment characteristics of the security; the business and financial condition of the issuer; and trading and other market data) to assist in determining whether to fair value and at what value to fair value an investment. The value of an investment for purposes of calculating each variable accounts’ net asset value can differ depending on the source and method used to determine value. When fair valuation is used, the value of an investment used to determine each variable accounts’ net asset value may differ from quoted or published prices for the same investment. There can be no assurance that the variable accounts could obtain the fair value assigned to an investment if it were to sell the investment at the same time at which each variable account determines its net asset value per share.

Various inputs are used in determining the value of each variable account’s assets or liabilities. These inputs are categorized into three broad levels. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, an investment’s level within the fair value hierarchy is based on the lowest level of input that is significant to the fair value measurement. The variable accounts’ assessment of the significance of a particular input to the fair value measurement in its entirety requires judgment, and considers factors specific to the investment. Level 1 includes unadjusted quoted prices in active markets for identical assets or liabilities. Level 2 includes other significant observable market-based inputs (including quoted prices for similar securities, interest rates, prepayment speed, and credit risk). Level 3 includes unobservable inputs, which may include the adviser’s own assumptions in determining the fair value of investments. Other financial instruments are derivative instruments not reflected in total investments, such as futures and forwards. The following is a summary of the levels used as of June 30, 2011 in valuing each variable account’s assets or liabilities:

Capital Appreciation Variable Account

Investments at Value	Level 1		Level 2		Level 3		Total
Equity Securities		$129,085,238		$—		$—		$129,085,238
Mutual Funds		420,980		—		—		420,980
Total Investments		$129,506,218		$—		$—		$129,506,218

Global Governments Variable Account

Investments at Value	Level 1		Level 2		Level 3		Total
U.S. Treasury Bonds & U.S. Government Agency & Equivalents		$—		$1,373,728		$—		$1,373,728
Non-U.S. Sovereign Debt		—		3,937,187		—		3,937,187
Residential Mortgage-Backed Securities		—		237,497		—		237,497
Commercial Mortgage-Backed Securities		—		92,074		—		92,074
Mutual Funds		304,534		—		—		304,534
Total Investments		$304,534		$5,640,486		$—		$5,945,020
Other Financial Instruments	Level 1		Level 2		Level 3		Total
Forward Foreign Currency Exchange Contracts		$—		$17,506		$—		$17,506

Government Securities Variable Account

Investments at Value	Level 1		Level 2		Level 3		Total
U.S. Treasury Bonds & U.S. Government Agency & Equivalents		$—		$23,685,556		$—		$23,685,556
Corporate Bonds		—		309,748		—		309,748
Residential Mortgage-Backed Securities		—		24,632,582		—		24,632,582
Commercial Mortgage-Backed Securities		—		1,142,175		—		1,142,175
Mutual Funds		2,638,907		—		—		2,638,907
Total Investments		$2,638,907		$49,770,061		$—		$52,408,968
Other Financial Instruments	Level 1		Level 2		Level 3		Total
Futures		$663		$—		$—		$663

48

Notes to Financial Statements (unaudited) — continued

High Yield Variable Account

Investments at Value	Level 1		Level 2			Level 3		Total
Equity Securities:
United States		$578,391		$200,502			$58,554		$837,447
Non-U.S. Sovereign Debt		—		107,652			—		107,652
Corporate Bonds		—		30,763,717			—		30,763,717
Commercial Mortgage-Backed Securities		—		308,114			—		308,114
Floating Rate Loans		—		325,128			—		325,128
Asset-Backed Securities (including CDO’s)		—		187,843			—		187,843
Foreign Bonds		—		5,061,932			—		5,061,932
Mutual Funds		457,149		—			—		457,149
Total Investments		$1,035,540		$36,954,888			$58,554		$38,048,982
Other Financial Instruments	Level 1		Level 2			Level 3		Total
Futures		$2,572		$—			$—		$2,572
Forward Foreign Currency Exchange Contracts		—		(5,439	)		—		(5,439	)

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value. The variable account’s policy is to recognize transfers between the levels as of the end of the period. The table presents the activity of Level 3 securities held at the beginning and the end of the period.

	Equity Securities		Corporate Bonds			Total
Balance as of 12/31/10		$0		$14,721			$14,721
Realized gain (loss)		—		(57,242	)		(57,242	)
Change in unrealized appreciation (depreciation)		—		58,133			58,133
Sales		—		0			0
Transfers into Level 3		58,554		—			58,554
Transfers out of Level 3		—		(15,612	)		(15,612	)
Balance as of 6/30/11		$58,554		$—			$58,554

The net change in unrealized appreciation (depreciation) from investments still held as Level 3 at June 30, 2011 is $0.

Money Market Variable Account

Investments at Value	Level 1		Level 2		Level 3		Total
Short Term Securities		$—		$26,724,646		$—		$26,724,646

Total Return Variable Account

Investments at Value	Level 1		Level 2		Level 3		Total
Equity Securities		$58,162,660		$—		$—		$58,162,660
U.S. Treasury Bonds & U.S. Government Agency & Equivalents		—		12,841,432		—		12,841,432
Non-U.S. Sovereign Debt		—		1,165,373		—		1,165,373
Corporate Bonds		—		6,499,619		—		6,499,619
Residential Mortgage-Backed Securities		—		12,378,033		—		12,378,033
Commercial Mortgage-Backed Securities		—		2,049,792		—		2,049,792
Asset-Backed Securities (including CDOs)		—		209,683		—		209,683
Foreign Bonds		—		2,465,492		—		2,465,492
Mutual Funds		541,449		—		—		541,449
Total Investments		$58,704,109		$37,609,424		$—		$96,313,533

For further information regarding security characteristics, see the Portfolios of Investments.

Repurchase Agreements – The Money Market Variable Account entered into repurchase agreements with approved counterparties. Each repurchase agreement is recorded at cost. The variable account requires that the securities collateral in a repurchase transaction be transferred to a custodian. The variable account monitors, on a daily basis, the value of the collateral to ensure that its value, including accrued interest, is greater than amounts owed to the variable account under each such repurchase agreement. The variable account and other funds managed by MFS may utilize a joint trading account for the purpose of entering into one or more repurchase agreements.

Inflation-Adjusted Debt Securities – The Global Governments Variable Account, Government Securities Variable Account, and Total Return Variable Account invest in inflation-adjusted debt securities issued by the U.S. Treasury. The variable accounts may also invest in inflation-adjusted debt securities issued by U.S. Government agencies and instrumentalities other than the U.S. Treasury and by other entities such as U.S. and foreign

49

Notes to Financial Statements (unaudited) — continued

corporations and foreign governments. The principal value of these debt securities is adjusted through income according to changes in the Consumer Price Index or another general price or wage index. These debt securities typically pay a fixed rate of interest, but this fixed rate is applied to the inflation-adjusted principal amount. The principal paid at maturity of the debt security is typically equal to the inflation-adjusted principal amount, or the security’s original par value, whichever is greater. Other types of inflation-adjusted securities may use other methods to adjust for other measures of inflation.

Foreign Currency Translation – Purchases and sales of foreign investments, income, and expenses are converted into U.S. dollars based upon currency exchange rates prevailing on the respective dates of such transactions or on the reporting date for foreign denominated receivables and payables. Gains and losses attributable to foreign currency exchange rates on sales of securities are recorded for financial statement purposes as net realized gains and losses on investments. Gains and losses attributable to foreign exchange rate movements on receivables, payables, income and expenses are recorded for financial statement purposes as foreign currency transaction gains and losses. That portion of both realized and unrealized gains and losses on investments that results from fluctuations in foreign currency exchange rates is not separately disclosed.

Derivatives – The Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account use derivatives for different purposes, including to earn income and enhance returns, to increase or decrease exposure to a particular market, to manage or adjust the risk profile of the variable accounts, or as alternatives to direct investments. Derivatives may be used for hedging or non-hedging purposes. While hedging can reduce or eliminate losses, it can also reduce or eliminate gains. When the variable accounts use derivatives as an investment to increase market exposure, or for hedging purposes, gains and losses from derivative instruments may be substantially greater than the derivative’s original cost.

Derivative instruments used by the variable accounts were purchased options, futures contracts, and forward foreign currency exchange contracts. The Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account period end derivatives, as presented in the Portfolios of Investments and the associated Derivative Contract Tables, generally are indicative of the volume of their derivative activity during the period.

The following tables present, by major type of derivative contract, the fair value, on a gross basis, of the asset and liability components of derivatives held by the Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account at June 30, 2011 as reported in the Statements of Assets and Liabilities:

Global Governments Variable Account

		Fair Value
Risk	Derivative Contracts	Asset Derivatives		Liability Derivatives
Foreign Exchange	Forward Foreign Currency Exchange		$32,390		$(14,884	)

Government Securities Variable Account

		Fair Value (a)
Risk	Derivative Contracts	Asset Derivatives
Interest Rate	Interest Rate Futures	$663

High Yield Variable Account

		Fair Value (a)
Risk	Derivative Contracts	Asset Derivatives		Liability Derivatives
Interest Rate	Interest Rate Futures		$2,572		$—
Foreign Exchange	Forward Foreign Currency Exchange		31		(5,470	)
Total			$2,603		$(5,470	)

(a) The value of futures contracts outstanding includes cumulative appreciation (depreciation) as reported in the variable account’s Portfolio of Investments. Only the current day variation margin for futures contracts is separately reported within the variable account’s Statement of Assets and Liabilities.

The following tables present, by major type of derivative contract, the realized gain (loss) on derivatives held by the Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account for the six months ended June 30, 2011 as reported in the Statements of Operations:

Global Governments Variable Account

Risk	Foreign Currency Transactions
Foreign Exchange		$(58,672	)

50

Notes to Financial Statements (unaudited) — continued

Government Securities Variable Account

Risk	Futures Contracts			Investment Transactions (Purchased Options)
Interest Rate		$(17,858	)		$107

High Yield Variable Account

Risk	Futures Contracts			Foreign Currency Transactions			Investment Transactions (Purchased Options)
Interest Rate		$(20,316	)		$—			$—
Foreign Exchange		—			(18,328	)		—
Equity		—			—			38,068
Total		$(20,316	)		$(18,328	)		$38,068

The following tables present, by major type of derivative contract, the change in unrealized appreciation (depreciation) on derivatives held by the Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account for the six months ended June 30, 2011 as reported in the Statements of Operations:

Global Governments Variable Account

Risk	Translation of Assets and Liabilities in Foreign Currencies
Foreign Exchange		$29,575

Government Securities Variable Account

Risk	Futures Contracts
Interest Rate		$15,441

High Yield Variable Account

Risk	Futures Contracts			Translation of Assets and Liabilities in Foreign Currencies			Investments (Purchased Options)
Interest Rate		$(9,394	)		$—			$—
Foreign Exchange		—			(2,698	)		—
Equity		—			—			(22,764	)
Total		$(9,394	)		$(2,698	)		$(22,764	)

For the six months ended June 30, 2011, the Capital Appreciation Variable Account, Money Market Variable Account, and Total Return Variable Account did not invest in any derivative instruments.

Derivative counterparty credit risk is managed through formal evaluation of the creditworthiness of all potential counterparties. On certain over-the-counter derivatives, the Global Governments Variable Account, Government Securities Variable Account, and High Yield Variable Account attempt to reduce their exposure to counterparty credit risk whenever possible by entering into an International Swaps and Derivatives Association (ISDA) Master Agreement on a bilateral basis with each of the counterparties with whom it undertakes a significant volume of transactions. The ISDA Master Agreement gives each party to the agreement the right to terminate all transactions traded under such agreement if there is a certain deterioration in the credit quality of the other party. The ISDA Master Agreement gives the variable accounts the right, upon an event of default by the applicable counterparty or a termination of the agreement, to close out all transactions traded under such agreement and to net amounts owed under each transaction to one net amount payable by one party to the other. This right to close out and net payments across all transactions traded under the ISDA Master Agreement could result in a reduction of the variable accounts’ credit risk to such counterparty equal to any amounts payable by the variable account under the applicable transactions, if any. However, absent an event of default by the counterparty or a termination of the agreement, the ISDA Master Agreement does not result in an offset of reported amounts of assets and liabilities in the Statements of Assets and Liabilities across transactions between the variable accounts and the applicable counterparty.

Collateral requirements differ by type of derivative. Collateral or margin requirements are set by the broker or exchange clearing house for exchange traded derivatives (i.e., futures and exchange-traded options) while collateral terms are contract specific for over-the-counter traded derivatives (i.e., forwards, swaps and over-the-counter options). For derivatives traded under an ISDA Master Agreement, the collateral requirements are netted across all transactions traded under such agreement and one amount is posted from one party to the other to collateralize such obligations. Cash collateral that has been pledged

51

Notes to Financial Statements (unaudited) — continued

to cover obligations of the variable accounts under derivative contracts, if any, will be reported separately on the Statements of Assets and Liabilities as restricted cash. Securities collateral pledged for the same purpose, if any, is noted in the Portfolios of Investments.

Purchased Options – The Government Securities Variable Account purchased call and put options for a premium. The High Yield Variable Account purchased call options for a premium. Purchased call and put options entitle the holder to buy and sell a specified number of shares or units of a particular security, currency or index at a specified price at a specified date or within a specified period of time. Purchasing call options may be used to hedge against an anticipated increase in the dollar cost of securities or currency to be acquired or to increase the variable accounts’ exposure to an underlying instrument. Purchasing put options may hedge against a decline in the value of portfolio securities or currency.

The premium paid is initially recorded as an investment in the Statements of Assets and Liabilities. That investment is subsequently marked-to-market daily with the difference between the premium paid and the market value of the purchased option being recorded as unrealized appreciation or depreciation. Premiums paid for purchased call and put options which have expired are treated as realized losses on investments in the Statements of Operations. Upon the exercise or closing of a purchased call option, the premium paid is added to the cost of the security or financial instrument. Upon the exercise or closing of a purchased put option, the premium paid is offset against the proceeds on the sale of the underlying security or financial instrument in order to determine the realized gain or loss on investments.

The risk in purchasing an option is that the variable accounts pay a premium whether or not the option is exercised. The variable accounts’ maximum risk of loss due to counterparty credit risk is limited to the market value of the option. For over-the-counter options, this risk is mitigated in cases where there is an ISDA Master Agreement between the variable accounts and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the variable accounts to cover the variable accounts’ exposure to the counterparty under such ISDA Master Agreement.

Futures Contracts – The Government Securities Variable Account and High Yield Variable Account entered into futures contracts which may be used to hedge against or obtain broad market, interest rate or currency exposure. A futures contract represents a commitment for the future purchase or sale of an asset at a specified price on a specified date.

Upon entering into a futures contract, the variable accounts are required to deposit with the broker, either in cash or securities, an initial margin in an amount equal to a certain percentage of the notional amount of the contract. Subsequent payments (variation margin) are made or received by the variable accounts each day, depending on the daily fluctuations in the value of the contract, and are recorded for financial statement purposes as unrealized gain or loss by the variable accounts until the contract is closed or expires at which point the gain or loss on futures is realized.

The variable accounts bear the risk of interest rates, exchange rates or securities prices moving unexpectedly, in which case, the variable accounts may not achieve the anticipated benefits of the futures contracts and may realize a loss. While futures may present less counterparty risk to the variable accounts since the contracts are exchange traded and the exchange’s clearinghouse guarantees payments to the broker, there is still counterparty credit risk due to the insolvency of the broker. The variable accounts’ maximum risk of loss due to counterparty credit risk is equal to the margin posted by the variable accounts to the broker plus any gains or minus any losses on the outstanding futures contracts.

Forward Foreign Currency Exchange Contracts – The Global Governments Variable Account and High Yield Variable Account entered into forward foreign currency exchange contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date. These contracts may be used to hedge the variable accounts’ currency risk or for non-hedging purposes. For hedging purposes, the variable accounts may enter into contracts to deliver or receive foreign currency that the variable accounts will receive from or use in its normal investment activities. The variable accounts may also use contracts to hedge against declines in the value of foreign currency denominated securities due to unfavorable exchange rate movements. For non-hedging purposes, the variable accounts may enter into contracts with the intent of changing the relative exposure of the variable accounts’ portfolios of securities to different currencies to take advantage of anticipated exchange rate changes.

Forward foreign currency exchange contracts are adjusted by the daily exchange rate of the underlying currency and any unrealized gains or losses are recorded as a receivable or payable for forward foreign currency exchange contracts until the contract settlement date. On contract settlement date, any gain or loss on the contract is recorded as realized gains or losses on foreign currency transactions.

Risks may arise upon entering into these contracts from unanticipated movements in the value of the contract and from the potential inability of counterparties to meet the terms of their contracts. Generally, the variable accounts’ maximum risk due to counterparty credit risk is the unrealized gain on the contract due to the use of Continuous Linked Settlement, an industry accepted settlement system. This risk is mitigated in cases where there is an ISDA Master Agreement between the variable accounts and the counterparty providing for netting as described above and for posting of collateral by the counterparty to the variable accounts to cover the variable accounts’ exposure to the counterparty under such ISDA Master Agreement.

Loans and Other Direct Debt Instruments – The High Yield Variable Account invests in loans and loan participations or other receivables. These investments may include standby financing commitments, including revolving credit facilities, which obligate the variable account to supply additional cash to the borrower on demand. Loan participations involve a risk of insolvency of the lending bank or other financial intermediary.

Indemnifications – Under the variable accounts’ organizational documents, its officers and Managers may be indemnified against certain liabilities and expenses arising out of the performance of their duties to the variable accounts. Additionally, in the normal course of business, the variable accounts enter into agreements with service providers that may contain indemnification clauses. The variable accounts’ maximum exposure under these agreements is unknown as this would involve future claims that may be made against the variable accounts that have not yet occurred.

52

Notes to Financial Statements (unaudited) — continued

Investment Transactions and Income – Investment transactions are recorded on the trade date. Interest income is recorded on the accrual basis. All premium and discount is amortized or accreted for financial statement purposes in accordance with U.S. generally accepted accounting principles. Certain variable accounts earn certain fees in connection with its floating rate loan purchasing activities. These fees are in addition to interest payments earned and may include amendment fees, commitment fees, facility fees, consent fees, and prepayment fees. Commitment fees are recorded on an accrual basis as income in the accompanying financial statements. Inflation-indexed bonds are fixed-income securities whose principal value is periodically adjusted upward or downward to the rate of inflation. Interest is accrued based on the principal value, which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond is generally recorded as an increase or decrease in interest income, respectively, even though the adjusted principal is not received until maturity. Dividends received in cash are recorded on the ex-dividend date. Certain dividends from foreign securities will be recorded when the variable account is informed of the dividend if such information is obtained subsequent to the ex-dividend date. Dividend and interest payments received in additional securities are recorded on the ex-dividend or ex-interest date in an amount equal to the value of the security on such date. Debt obligations may be placed on non-accrual status or set to accrue at a rate of interest less than the contractual coupon when the collection of all or a portion of interest has become doubtful. Interest income for those debt obligations may be further reduced by the write-off of the related interest receivables when deemed uncollectible.

The variable accounts may receive proceeds from litigation settlements. Any proceeds received from litigation involving portfolio holdings are reflected in the Statements of Operations in realized gain/loss if the security has been disposed of by the variable account or in unrealized gain/loss if the security is still held by the variable accounts. Any other proceeds from litigation not related to portfolio holdings are reflected as other income in the Statements of Operations.

The Global Governments Variable Account, Government Securities Variable Account, and Total Return Variable Account entered into “TBA” (to be announced) purchase commitments to purchase securities for a fixed unit price at a future date. Although the unit price has been established, the principal value has not been finalized. However, the principal amount of the commitments will not fluctuate more than 0.01%. The variable accounts hold, and maintains until settlement date, cash or high-grade debt obligations in an amount sufficient to meet the purchase price, or the variable account may enter into offsetting contracts for the forward sale of other securities it owns. Income on the securities will not be earned until settlement date. TBA purchase commitments may be considered securities in themselves, and involve a risk of loss if the value of the security to be purchased declines prior to settlement date, which is in addition to the risk of decline in the value of the variable accounts’ other assets. Unsettled TBA purchase commitments are valued at the current market value of the underlying securities.

The Global Governments Variable Account, Government Securities Variable Account, and Total Return Variable Account entered into “TBA” sale commitments to hedge its portfolio positions or to sell mortgage-backed securities it owns under delayed delivery arrangements. Proceeds of TBA sale commitments are not received until the contractual settlement date. During the time a TBA sale commitment is outstanding, equivalent deliverable securities, or an offsetting TBA purchase commitment deliverable on or before the sale commitment date, are held as “cover” for the transaction.

Fees Paid Indirectly – The variable accounts’ custody fee may be reduced according to an arrangement that measures the value of cash deposited with the custodian by the variable accounts. This amount, for the six months ended June 30, 2011, is shown as a reduction of total expenses on the Statements of Operations.

Federal Income Taxes – The variable accounts are funding vehicles for individual variable annuities. The operations of the variable accounts are part of the operations of Sun Life Assurance Company of Canada (U.S.), the Sponsor, and are not taxed separately; the variable accounts are not taxed as regulated investment companies. The Sponsor qualifies for the federal income tax treatment granted to life insurance companies under Subchapter L of the Internal Revenue Code. Accordingly, no provision for federal income or excise tax is necessary. Foreign taxes have been provided for on interest and dividend income earned on foreign investments in accordance with the applicable country’s tax rates and to the extent unrecoverable are recorded as a reduction of investment income.

(3) Annuity Reserves

Annuity reserves for contracts with annuity commencement dates prior to January 1, 1987 have been calculated using the 1971 Individual Annuitant Mortality Table. Annuity reserves for contracts with annuity commencement dates between January 1, 1987 and December 31, 1998 have been calculated using the 1983 Individual Annuitant Mortality Table. Annuity reserves for contracts with annuity commencement dates on or after January 1, 1999 have been calculated using the Annuity Mortality 2000 table. Annuity reserves for contracts in payment period are calculated using an assumed interest rate of 4%. Required adjustments are accomplished by transfers to or from the Sponsor.

53

Notes to Financial Statements (unaudited) — continued

(4) Transactions with Affiliates

Investment Adviser – Each variable account has an investment advisory agreement with MFS to provide overall investment management and related administrative services and facilities to the variable accounts. The management fee is computed daily and paid monthly at the following annual rates based on a percentage of each variable account’s average daily net assets:

	Annual Rate of Management Fee Based on Average Daily Net Assets Not Exceeding $300 Million			Annual Rate of Management Fee Based on Average Daily Net Assets In Excess of $300 Million			Effective Management Fees
Capital Appreciation Variable Account		0.75	%		0.675	%(a)		0.75	%
Global Governments Variable Account		0.75	%		0.675	%		0.75	%
Government Securities Variable Account		0.55	%		0.495	%(b)		0.55	%
High Yield Variable Account		0.75	%(c)		0.675	%(c)		0.70	%
Money Market Variable Account		0.50	%		0.500	%(d)		0.05	%(e)
Total Return Variable Account		0.75	%		0.675	%		0.75	%

(a) The investment adviser has agreed in writing to reduce its management fee to 0.675% of average daily net assets in excess of $300 million. This agreement will continue until modified or rescinded by the variable account’s contract holders. For the six months ended June 30, 2011, the variable account’s average daily net assets did not exceed $300 million, and therefore, the management fee was not reduced under this agreement.

(b) The investment adviser has agreed in writing to reduce its management fee to 0.495% of average daily net assets in excess of $300 million. This agreement will continue until modified or rescinded by the variable account’s contract holders. For the six months ended June 30, 2011, the variable account’s average daily net assets did not exceed $300 million, and therefore, the management fee was not reduced under this agreement.

(c) The investment adviser has agreed in writing to reduce its management fee to 0.70% for the first $300 million of average daily net assets. This written agreement will continue until modified or rescinded by the variable account’s Board of Managers, but such agreement will continue at least until April 30, 2013. For the six months ended June 30, 2011, this management fee reduction under this agreement amounted to $10,245, which is shown as a reduction of total expenses in the Statement of Operations. The investment adviser has also agreed in writing to reduce its management fee to 0.675% of average daily net assets in excess of $300 million. This agreement will continue until modified or rescinded by the variable account’s contract holders. For the six months ended June 30, 2011, the variable account’s average daily net assets did not exceed $300 million, and therefore, the management fee was not reduced under this agreement.

(d) The investment adviser has agreed in writing to reduce its management fee to 0.45% of average daily net assets in excess of $500 million. This written agreement will continue until modified or rescinded by the variable account’s contract holders. For the six months ended June 30, 2011, the variable account’s average daily net assets did not exceed $500 million, and therefore, the management fee was not reduced under this agreement.

(e) During the six months ended June 30, 2011, MFS voluntarily waived receipt of $59,326, of the variable account’s management fee in order to avoid a negative yield. For the six months ended June 30, 2011, this voluntary waiver had the effect of reducing the management fee by 0.45% of average daily net assets on an annualized basis.

The investment adviser has agreed in writing to pay a portion of the variable accounts’ total annual operating expenses, exclusive of interest, taxes, brokerage commissions, to the extent permitted, extraordinary expenses, mortality and expense risk and distribution expense risk charges, and contract maintenance charges, such that total annual operating expenses do not exceed 1.25% annually of the average daily net assets of each variable account. These agreements are contained in the investment advisory agreement between MFS and the variable accounts and may not be rescinded without contract holder approval. For the six months ended June 30, 2011, this reduction amounted to $38,532 for the Global Governments Variable Account and is reflected as a reduction of total expenses in the Statements of Operations. Each of the other variable accounts did not exceed the limit and therefore, the investment adviser did not pay any portion of the variable accounts’ expenses under this agreement. In addition, the investment adviser has agreed in writing to pay a portion of total annual operating expenses of the variable accounts listed below, exclusive of interest, taxes, extraordinary expenses, brokerage and transaction costs, mortality and expense risk and distribution expense risk charges, contract maintenance charges, and investment-related expenses, such that the total annual operating expenses of these variable accounts do not exceed the expense limitations indicated below, based on the average daily net assets of such variable accounts. These written agreements, with the exception of the Capital Appreciation Variable Account, will continue until April 30, 2013. For the Capital Appreciation Variable Account this written agreement terminated on April 30, 2011. For the six months ended June 30, 2011, these reductions under this agreement amounted to the following for each variable account and are reflected as a reduction of total expenses in the Statements of Operations:

	Expense Limitation			Expense Reduction
Capital Appreciation Variable Account		0.82	%		$18,943
High Yield Variable Account		0.90	%		16,896
Money Market Variable Account		0.65	%		19,590
Total Return Variable Account		0.85	%		33,435

Contract Charges – The Sponsor makes a deduction from the variable accounts at the end of each valuation period, during both the accumulation period and after annuity payments begin, for assuming the mortality and expense risks under the contracts. The rate of the deduction may be changed annually but in no event may it exceed 1.25% of the average net assets of each variable account attributable to Compass 3 contracts, or, with respect to Compass 2 contracts, 1.30% of the assets of Capital Appreciation Variable Account, Government Securities Variable Account, High Yield Variable Account, and Money Market Variable Account, or 1.25% of the assets of Global Governments Variable Account, and Total Return Variable Account attributable to such contracts.

54

Notes to Financial Statements (unaudited) — continued

For assuming the distribution expense risk under Compass 3 contracts, the Sponsor makes a deduction from the variable accounts at the end of each valuation period for the first seven contract years at an effective annual rate of 0.15% of the net assets of the variable accounts attributable to such contracts. Contracts are transferred from Compass 3 to Compass 3 – Level 2 in the month following the seventh contract anniversary. No deduction is made after the seventh contract anniversary. No deduction is made with respect to assets attributable to Compass 2 contracts.

Each year, on the contract anniversary, a contract maintenance charge of $25 with respect to Compass 2 contracts and $30 with respect to Compass 3 contracts is deducted from each contract’s accumulation account and paid the Sponsor to cover administrative expenses relating to the contract. After the annuity commencement date, the annual contract maintenance charge is deducted pro rata from each annuity payment made during the year.

The Sponsor does not deduct a sales charge from purchase payments. However, a withdrawal charge (contingent deferred sales charge) may be deducted to cover certain expenses relating to the sale of the contract. In no event shall the aggregate withdrawal charges (including the distribution expense charge described above applicable to Compass 3 contracts) exceed 5% of the purchase payments made under a Compass 2 contract or 9% of the purchase payments made under a Compass 3 contract.

Administrator – MFS provides certain financial, legal, shareholder communications, compliance, and other administrative services to the variable accounts. Under an administrative services agreement, the variable accounts partially reimburse MFS the costs incurred to provide these services. The variable accounts are charged an annual fixed amount of $17,500 plus a fee based on average daily net assets. The administrative services fee incurred for the six months ended June 30, 2011 was equivalent to the following annual effective rate of each variable account’s average daily net assets:

	Capital Appreciation Variable Account			Global Governments Variable Account			Government Securities Variable Account			High Yield Variable Account			Money Market Variable Account			Total Return Variable Account
Percent of average daily net assets		0.0341	%		0.2895	%		0.0349	%		0.0423	%		0.0661	%		0.0342	%

Managers’ and Officers’ Compensation – Each variable account pays compensation to managers in the form of a retainer, attendance fees, and additional compensation to the Board chairperson. Each variable account does not pay compensation directly to officers who are affiliated with the Investment Adviser or the Sponsor all of whom receive remuneration for their services to the variable account from MFS. Certain officers of the variable accounts are officers or directors of MFS, MFD (MFS Distributors, Inc.), and MFSC (MFS Service Center, Inc.).

Other – These variable accounts and certain other funds managed by MFS (the funds) have entered into services agreements (the Agreements) which provide for payment of fees by the funds to Tarantino LLC and Griffin Compliance LLC in return for the provision of services of an Independent Chief Compliance Officer (ICCO) and Assistant ICCO, respectively, for the funds. The ICCO and Assistant ICCO are officers of the funds and the sole members of Tarantino LLC and Griffin Compliance LLC, respectively. The funds can terminate the Agreements with Tarantino LLC and Griffin Compliance LLC at any time under the terms of the Agreements. MFS has agreed to bear all expenses associated with office space, other administrative support, and supplies provided to the ICCO and Assistant ICCO. For the six months ended June 30, 2011, the aggregate fees paid by the variable accounts to Tarantino LLC and Griffin Compliance LLC which are included in miscellaneous expense on the Statements of Operations were as follows:

Capital Appreciation Variable Account	$1,070
Global Governments Variable Account	49
Government Securities Variable Account	447
High Yield Variable Account	335
Money Market Variable Account	223
Total Return Variable Account	813

All variable accounts, except the Money Market Variable Account, invest in the MFS Institutional Money Market Portfolio which is managed by MFS and seeks a high level of current income consistent with preservation of capital and liquidity. Income earned on this investment is included in dividends from underlying affiliated funds on the Statements of Operations. This money market fund does not pay a management fee to MFS.

(5) Portfolio Securities

Purchases and sales of investments, other than U.S. Government securities, purchased option transactions, and short-term obligations, were as follows:

	Purchases		Sales
Capital Appreciation Variable Account	$	19,635,841	$	26,892,695
Global Governments Variable Account		799,829		790,794
Government Securities Variable		182,807		1,519,108
High Yield Variable Account		11,901,867		14,350,681
Total Return Variable Account		6,978,228		11,482,972

55

Notes to Financial Statements (unaudited) — continued

Purchases and sales of money market securities for the Money Market Variable Account, exclusive of securities subject to repurchase agreements, aggregated $497,411,656 and $498,742,604, respectively.

Purchases and sales of U.S. Government Securities, other than purchased option transactions, and short-term obligations, were as follows:

	Purchases		Sales
Global Governments Variable Account		$940,124		$1,375,565
Government Securities Variable Account		6,727,668		8,804,845
High Yield Variable Account		120,044		—
Total Return Variable Account		2,004,610		2,826,262

(6) Participant Transactions

The changes in net assets from changes in numbers of outstanding units were as follows:

	Six Months Ended 6/30/11 (000 Omitted)
	Purchase Payments Received						Transfers Between Variable Accounts and Fixed Accumulation Account						Withdrawals, Surrenders, Annuitizations, and Contract Charges						Net Accumulation Activity						Net Annuitization Activity			Net Increases (Decreases)
	Units			Dollars			Units			Dollars			Units			Dollars			Units			Dollars			Dollars			Dollars
Capital Appreciation Variable Account
Compass 2 Contracts		4		$	220			(3	)	$	(175	)		(74	)	$	(4,694	)		(73	)	$	(4,649	)	$	(123	)	$	(4,772	)
Compass 3 Contracts		1			27			(3	)		(108	)		(1	)		(58	)		(3	)		(139	)		—			(139	)
Compass 3 Level 2 Contracts		14			201			6			154			(183	)		(3,207	)		(163	)		(2,852	)		(13	)		(2,865	)
				$	448					$	(129	)				$	(7,959	)				$	(7,640	)	$	(136	)	$	(7,776	)
Global Governments Variable Account
Compass 2 Contracts		0	*	$	0	*		4		$	113			(2	)	$	(69	)		2		$	44		$	(0	)*	$	44
Compass 3 Contracts		0	*		3			(1	)		(25	)		(0	)*		(12	)		(1	)		(34	)		—			(34	)
Compass 3 Level 2 Contracts		0	*		5			5			96			(17	)		(305	)		(33	)		(204	)		(2	)		(206	)
				$	8					$	184					$	(386	)				$	(194	)	$	(2	)	$	(196	)
Government Securities Variable Account
Compass 2 Contracts		1		$	38			(16	)	$	(764	)		(51	)	$	(2,367	)		(66	)	$	(3,093	)	$	(88	)	$	(3,181	)
Compass 3 Contracts		0	*		3			(1	)		(19	)		(0	)*		(5	)		(1	)		(21	)		—			(21	)
Compass 3 Level 2 Contracts		2			28			(1	)		(12	)		(34	)		(653	)		(33	)		(637	)		(1	)		(638	)
				$	69					$	(795	)				$	(3,025	)				$	(3,751	)	$	(89	)	$	(3,840	)
High Yield Variable Account
Compass 2 Contracts		3		$	163			(10	)	$	(507	)		(33	)	$	(1,627	)		(40	)	$	(1,971	)	$	(38	)	$	(2,009	)
Compass 3 Contracts		0	*		4			(2	)		(67	)		(0	)*		(6	)		(2	)		(69	)		—			(69	)
Compass 3 Level 2 Contracts		1			10			(54	)		(1,059	)		(20	)		(385	)		(73	)		(1,434	)		(5	)		(1,439	)
				$	177					$	(1,633	)				$	(2,018	)				$	(3,474	)	$	(43	)	$	(3,517	)
Money Market Variable Account
Compass 2 Contracts		13		$	281			36		$	772			(71	)	$	(1,522	)		(22	)	$	(469	)	$	(7	)	$	(476	)
Compass 3 Contracts		0	*		3			(2	)		(38	)		(0	)*		(3	)		(2	)		(38	)		—			(38	)
Compass 3 Level 2 Contracts		3			28			79			1,039			(138	)		(1,799	)		(56	)		(732	)		(2	)		(734	)
				$	312					$	1,773					$	(3,324	)				$	(1,239	)	$	(9	)	$	(1,248	)
Total Return Variable Account
Compass 2 Contracts		3		$	136			(8	)	$	(430	)		(33	)	$	(1,719	)		(38	)	$	(2,013	)	$	(72	)	$	(2,085	)
Compass 3 Contracts		0	*		19			(3	)		(171	)		(1	)		(52	)		(4	)		(204	)		—			(204	)
Compass 3 Level 2 Contracts		4			80			8			217			(168	)		(4,197	)		(156	)		(3,900	)		(22	)		(3,922	)
				$	235					$	(384	)				$	(5,968	)				$	(6,117	)	$	(94	)	$	(6,211	)

* Amount is less than $500.

56

Notes to Financial Statements (unaudited) — continued

	Year Ended 12/31/10 (000 Omitted)
	Purchase Payments Received						Transfers Between Variable Accounts and Fixed Accumulation Account						Withdrawals, Surrenders, Annuitizations, and Contract Charges						Net Accumulation Activity						Net Annuitization Activity			Net Increases (Decreases)
	Units			Dollars			Units			Dollars			Units			Dollars			Units			Dollars			Dollars			Dollars
Capital Appreciation Variable Account
Compass 2 Contracts		10		$	452			(16	)	$	(763	)		(173	)	$	(9,653	)		(179	)	$	(9,964	)	$	(223	)	$	(10,187	)
Compass 3 Contracts		3			108			(7	)		(265	)		(3	)		(75	)		(7	)		(232	)		—			(232	)
Compass 3 Level 2 Contracts		18			193			(28	)		(346	)		(347	)		(5,270	)		(357	)		(5,423	)		2			(5,421	)
				$	753					$	(1,374	)				$	(14,998	)				$	(15,619	)	$	(221	)	$	(15,840	)
Global Governments Variable Account
Compass 2 Contracts		0	*	$	0	*		(3	)	$	(85	)		(27	)	$	(835	)		(30	)	$	(920	)	$	(3	)	$	(923	)
Compass 3 Contracts		0	*		13			(0	)*		(40	)		(1	)		(17	)		(1	)		(44	)		—			(44	)
Compass 3 Level 2 Contracts		1			6			(7	)		(116	)		(38	)		(679	)		(44	)		(789	)		(13	)		(802	)
				$	19					$	(241	)				$	(1,531	)				$	(1,753	)	$	(16	)	$	(1,769	)
Government Securities Variable Account
Compass 2 Contracts		14		$	628			(8	)	$	(346	)		(127	)	$	(5,906	)		(121	)	$	(5,624	)	$	(229	)	$	(5,853	)
Compass 3 Contracts		0	*		14			(7	)		(232	)		(0	)*		(7	)		(7	)		(225	)		—			(225	)
Compass 3 Level 2 Contracts		4			54			37			722			(105	)		(2,020	)		(64	)		(1,244	)		(4	)		(1,248	)
				$	696					$	144					$	(7,933	)				$	(7,093	)	$	(233	)	$	(7,326	)
High Yield Variable Account
Compass 2 Contracts		5		$	223			(10	)	$	(435	)		(86	)	$	(3,880	)		(91	)	$	(4,092	)	$	(85	)	$	(4,177	)
Compass 3 Contracts		0	*		18			(1	)		(45	)		(1	)		(39	)		(2	)		(66	)		—			(66	)
Compass 3 Level 2 Contracts		1			14			(6	)		(30	)		(60	)		(1,061	)		(65	)		(1,077	)		(11	)		(1,088	)
				$	255					$	(510	)				$	(4,980	)				$	(5,235	)	$	(96	)	$	(5,331	)
Money Market Variable Account
Compass 2 Contracts		4		$	76			38		$	828			(153	)	$	(3,286	)		(111	)	$	(2,382	)	$	(23	)	$	(2,405	)
Compass 3 Contracts		1			14			(6	)		(107	)		(2	)		(38	)		(7	)		(131	)		—			(131	)
Compass 3 Level 2 Contracts		13			145			13			206			(252	)		(3,322	)		(226	)		(2,971	)		(4	)		(2,975	)
				$	235					$	927					$	(6,646	)				$	(5,484	)	$	(27	)	$	(5,511	)
Total Return Variable Account
Compass 2 Contracts		4		$	211			(10	)	$	(495	)		(92	)	$	(4,488	)		(98	)	$	(4,772	)	$	(73	)	$	(4,845	)
Compass 3 Contracts		2			96			(21	)		(984	)		(6	)		(295	)		(25	)		(1,183	)		—			(1,183	)
Compass 3 Level 2 Contracts		14			203			11			380			(404	)		(9,221	)		(379	)		(8,638	)		(32	)		(8,670	)
				$	510					$	(1,099	)				$	(14,004	)				$	(14,593	)	$	(105	)	$	(14,698	)

* Amount is less than $500.

(7) Line of Credit

The variable accounts and certain other funds managed by MFS participate in a $1.1 billion unsecured committed line of credit, subject to a $1 billion sublimit, provided by a syndication of banks under a credit agreement. Borrowings may be made for temporary financing needs. Interest is charged to each fund, based on its borrowings, generally at a rate equal to the higher of the Federal Reserve funds rate or one month LIBOR plus an agreed upon spread. A commitment fee, based on the average daily, unused portion of the committed line of credit, is allocated among the participating funds at the end of each calendar quarter. In addition, the variable accounts and other funds managed by MFS have established unsecured uncommitted borrowing arrangements with certain banks for temporary financing needs. Interest is charged to each fund, based on its borrowings, at a rate equal to the Federal Reserve funds rate plus an agreed upon spread. For the six months ended June 30, 2011, the variable accounts’ commitment fee and interest expense are included in miscellaneous expense on the Statements of Operations and were as follows:

	Commitment fee		Interest expense
Capital Appreciation Variable Account		$528		$—
Global Governments Variable Account		25		—
Government Securities Variable Account		219		—
High Yield Variable Account		164		—
Money Market Variable Account		111		—
Total Return Variable Account		401		—

57

Notes to Financial Statements (unaudited) — continued

(8) Transactions in Underlying Affiliated Funds – Affiliated Issuers

An affiliated issuer may be considered one in which the variable account owns 5% or more of the outstanding voting securities, or a company which is under common control. For the purposes of this report, the variable accounts assume the MFS Institutional Money Market Portfolio to be an affiliated issuer. The variable accounts’ transactions in the MFS Institutional Money Market Portfolio for the six months ended June 30, 2011 are as follows:

	Underlying Affiliated Funds – MFS Institutional Money Market Portfolio
	Beginning Share/Par Amount		Acquisitions Share/Par Amount		Dispositions Share/Par Amount			Ending Share/Par Amount
Capital Appreciation Variable Account		1,555,872		7,199,972		(8,334,864	)		420,980
Global Governments Variable Account		246,397		1,601,152		(1,543,015	)		304,534
Government Securities Variable Account		4,438,810		6,045,821		(7,845,724	)		2,638,907
High Yield Variable Account		459,698		6,984,436		(6,986,985	)		457,149
Total Return Variable Account		1,598,744		6,919,530		(7,976,825	)		541,449
	Underlying Affiliated Funds – MFS Institutional Money Market Portfolio
	Realized Gain (Loss)		Capital Gain Distributions		Dividend Income			Ending Value
Capital Appreciation Variable Account		$—		$—		$1,231			$420,980
Global Governments Variable Account		$—		$—		$312			$304,534
Government Securities Variable Account		$—		$—		$3,191			$2,638,907
High Yield Variable Account		$—		$—		$1,033			$457,149
Total Return Variable Account		$—		$—		$695			$541,449

(9) Subsequent Event

On July 14, 2011, the Board of Managers of each variable account approved a proposal (the “Proposed Transaction”) whereby each variable account would be restructured as a separate account registered with the Securities and Exchange Commission (“SEC”) as a unit investment trust (“UIT”) that invests its assets entirely in a series MFS Variable Insurance Trust II (the “acquiring funds”) as described below:

Variable Accounts	Acquiring Funds
Capital Appreciation Variable Account	MFS Massachusetts Investors Growth Stock Portfolio
Global Governments Variable Account	MFS Global Governments Portfolio
Government Securities Variable Account	MFS Government Securities Portfolio
High Yield Variable Account	MFS High Yield Portfolio
Money Market Variable Account	MFS Money Market Portfolio
Total Return Variable Account	MFS Total Return Portfolio

The Proposed Transaction is subject to the approval of the contract holders of the variable accounts. The Proposed Transaction provides for the transfer of the investment-related assets of the variable accounts to the applicable acquiring fund and the assumption by such acquiring fund of the variable account’s investment-related liabilities in exchange for shares of beneficial interest in the acquiring fund (the “transfer”). Simultaneously or immediately following the transfer, the SEC registration status of each variable account will change from a managed separate account to a UIT. If approved by contract holders, it is expected that the reorganization will occur in December, 2011.

58

rev. 3/11

FACTS WHAT DOES MFS DO WITH YOUR
PERSONAL INFORMATION?

Why? Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.

What? The types of personal information we collect and share depend on the product or service you have with us. This information can include:   •Social Security number and account balances •Account transactions and transaction history •Checking account information and wire transfer instructions   When you are no longer our customer, we continue to share your information as described in this notice.

How? All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons MFS chooses to share; and whether you can limit this sharing.

Reasons we can share your personal information	Does MFS share?	Can you limit this sharing?
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus	Yes	No
For our marketing purposes – to offer our products and services to you	No	We don’t share
For joint marketing with other financial companies	No	We don’t share
For our affiliates’ everyday business purposes – information about your transactions and experiences	No	We don’t share
For our affiliates’ everyday business purposes – information about your creditworthiness	No	We don’t share
For nonaffiliates to market to you	No	We don’t share

Questions? Call 800-225-2606 or go to mfs.com.

59

Page 2

Who we are
Who is providing this notice?	MFS Funds, MFS Investment Management, MFS Institutional Advisors, Inc., MFS Fund Distributors, Inc., MFS Heritage Trust Company, and MFS Service Center, Inc.

What we do
How does MFS protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include procedural, electronic, and physical safeguards for the protection of the personal information we collect about you.
How does MFS collect my personal information?	We collect your personal information, for example, when you •open an account or provide account information •direct us to buy securities or direct us to sell your securities •make a wire transfer We also collect your personal information from others, such as credit bureaus, affiliates and other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only •sharing for affiliates’ everyday business purposes – information about your creditworthiness •affiliates from using your information to market to you •sharing for nonaffiliates to market to you State laws and individual companies may give you additional rights to limit sharing.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and nonfinancial companies. •MFS does not share personal information with affiliates, except for everyday business purposes as described on page one of this notice.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies. •MFS does not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you. •MFS doesn’t jointly market.

Other important information

If you own an MFS product or receive an MFS service in the name of a third party such as a bank or broker-dealer, their privacy policy may apply to you instead of ours.

60

Investment Adviser

Massachusetts Financial Services Company

500 Boylston Street, Boston, MA 02116-3741

Custodian

State Street Bank and Trust

1 Lincoln Street, Boston, MA 02111-2900

Board Review of Investment Advisory Agreement

A discussion regarding the Board’s most recent review and renewal of each variable account’s Investment Advisory Agreement with MFS will be available on or about November 1, 2011 by clicking on the variable account’s name under “Compass” in the “Products and Performance” section of the MFS Web site (mfs.com).

Proxy Voting Policies and Information

A general description of the variable accounts’ proxy voting policies and procedures is available without charge, upon request, by calling 1-800-225-2606, by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s website at http://www.sec.gov.

Information regarding how the accounts voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 is available without charge by visiting the Proxy Voting section of mfs.com or by visiting the SEC’s website at http://www.sec.gov.

Quarterly Portfolio Disclosure

The accounts will file a complete schedule of portfolio holdings with the Securities and Exchange Commission (the Commission) for the first and third quarters of each fiscal year on Form N-Q. The accounts’ Form N-Q may be reviewed and copied at the:

Public Reference Room

Securities and Exchange Commission

Washington, D.C. 20549 0102

Information on the operation of the Public Reference Room may be obtained by calling the Commission at 1-800-SEC-0330. The accounts’ Form N-Q is available on the EDGAR database on the Commission’s Internet website at http://www.sec.gov, and copies of this information may be obtained, upon payment of a duplicating fee, by electronic request at the following e-mail address: publicinfor@sec.gov or by writing the Public Reference Section at the above address.

Further Information

From time to time, MFS may post important information about a variable account or the MFS funds on the MFS web site (mfs.com). This information is available by visiting the “News & Commentary” section of mfs.com or by clicking on the variable account’s name under “Compass” in the “Products and Performance” section of mfs.com.

cous-sem-8/11

Sun Life Financial Distributors Inc.

ITEM 2. CODE OF ETHICS.

During the period covered by this report, the Registrant has not amended any provision in its Code of Ethics (the “Code”) that relates to an element of the Code’s definitions enumerated in paragraph (b) of Item 2 of this Form N-CSR. During the period covered by this report, the Registrant did not grant a waiver, including an implicit waiver, from any provision of the Code.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

Not applicable for semi-annual reports.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

Not applicable for semi-annual reports.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable to the Registrant.

ITEM 6. INVESTMENTS

A schedule of investments for each series of the Registrant is included as part of the report to shareholders of such series under Item 1 of this Form N-CSR.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the Registrant.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable to the Registrant.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable to the Registrant.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

There were no material changes to the procedures by which shareholders may send recommendations to the Board for nominees to the Registrant’s Board since the Registrant last provided disclosure as to such procedures in response to the requirements of Item 407 (c)(2)(iv) of Regulation S-K or this Item.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Based upon their evaluation of the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (the “Act”)) as conducted within 90 days of the filing date of this report on Form N-CSR, the registrant’s principal financial officer and principal executive officer have concluded that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms.

(b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Act) that occurred during the second fiscal quarter of the period covered by the report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a) File the exhibits listed below as part of this form. Letter or number the exhibits in the sequence indicated.

(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2): Attached hereto.

(b) If the report is filed under Section 13(a) or 15(d) of the Exchange Act, provide the certifications required by Rule 30a-2(b) under the Act (17 CFR 270.30a-2(b)), Rule 13a-14(b) or Rule 15d-14(b) under the Exchange Act (17 CFR 240.13a-14(b) or 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) as an exhibit. A certification furnished pursuant to this paragraph will not be deemed “filed” for the purposes of Section 18 of the Exchange Act (15 U.S.C. 78r), or otherwise subject to the liability of that section. Such certification will not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act, except to the extent that the registrant specifically incorporates it by reference: Attached hereto.

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) CAPITAL APPRECIATION VARIABLE ACCOUNT

By (Signature and Title)*	MARIA F. DIORIODWYER
	Maria F. DiOrioDwyer, President

Date: August 16, 2011

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

By (Signature and Title)*	MARIA F. DIORIODWYER
	Maria F. DiOrioDwyer, President (Principal Executive Officer)

Date: August 16, 2011

By (Signature and Title)*	JOHN M. CORCORAN
	John M. Corcoran, Treasurer (Principal Financial Officer and Accounting Officer)

Date: August 16, 2011

* Print name and title of each signing officer under his or her signature.