N-Q 1 formnq.txt FORM N-Q UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-01402 _____________________________ CONTINENTAL ASSURANCE COMPANY SEPARATE ACCOUNT (B) ________________________________________________________________ (Exact name of registrant as specified in charter) 333 SOUTH WABASH AVENUE, CHICAGO, ILLINOIS 60604 ________________________________________________________________ (Address of principal executive offices) (Zip code) LYNNE GUGENHEIM, ESQ. 333 SOUTH WABASH AVENUE, CHICAGO, ILLINOIS 60604 ________________________________________________________________ (Name and address of agent for service) Registrant's telephone number, including area code: 312-822-5000 ____________ Date of fiscal year end: December 31 _________________ Date of reporting period: March 31, 2009 __________________ ITEM 1. Schedule of Investments March 31, 2009 - (Unaudited) _______________________________________________________________________ _______________________________________________________________________ NUMBER OF SHARES FAIR VALUE ($) _______________________________________________________________________ COMMON STOCKS (96.23%) .............................................. CONSUMER DISCRETIONARY (3.59%) -------------------------------------- MARRIOTT INTERNATIONAL, INC. - CLASS A 31,000 507,160.00 NORDSTROM, INC. 22,750 381,062.50 ____________ 888,222.50 CONSUMER STAPLES (14.48%) -------------------------------------------- CVS CAREMARK CORPORATION 25,000 687,250.00 MOLSON COORS BREWING COMPANY - CLASS B 16,500 565,620.00 PEPSICO, INC. 22,000 1,132,560.00 PHILIP MORRIS INTERNATIONAL INC. 15,000 533,700.00 THE PROCTER & GAMBLE COMPANY 14,000 659,260.00 ____________ 3,578,390.00 ENERGY (10.20%) ------------------------------------------------------ EXXON MOBIL CORPORATION 16,000 1,089,600.00 HALLIBURTON COMPANY 30,000 464,100.00 MARATHON OIL CORPORATION 12,000 315,480.00 SCHLUMBERGER LIMITED (**) 10,000 406,200.00 WEATHERFORD INTERNATIONAL LTD. (*)(**) 22,000 243,540.00 ____________ 2,518,920.00 FINANCIALS (4.20%) -------------------------------------------------- JPMORGAN CHASE & CO. 19,000 505,020.00 THE BANK OF NEW YORK MELLON CORPORATION 18,868 533,021.00 ____________ 1,038,041.00 HEALTHCARE (14.80%) ------------------------------------------------- ABBOTT LABORATORIES 16,500 787,050.00 BAXTER INTERNATIONAL INC. 10,000 512,200.00 GILEAD SCIENCES, INC. (*) 20,000 926,400.00 PHARMACEUTICAL HOLDRS (SM) TRUST (***) 12,500 705,000.00 ST. JUDE MEDICAL, INC. (*) 20,000 726,600.00 ____________ 3,657,250.00 INDUSTRIALS (10.85%) ------------------------------------------------- THE BOEING COMPANY 10,800 384,264.00 CSX CORPORATION 36,000 930,600.00 L-3 COMMUNICATIONS HOLDINGS, INC. 10,000 678,000.00 UNITED TECHNOLOGIES CORPORATION 16,000 687,680.00 ____________ 2,680,544.00 INFORMATION TECHNOLOGY (29.90%) -------------------------------------- APPLIED MATERIALS, INC. 42,500 456,875.00 CISCO SYSTEMS, INC. (*) 40,000 670,800.00 CORNING INCORPORATED 35,000 464,450.00 GOOGLE INC. - CLASS A (*) 5,000 1,740,300.00 HEWLETT-PACKARD COMPANY 30,000 961,800.00 MASTERCARD INCORPORATED - CLASS A 10,000 1,674,800.00 QUALCOMM INCORPORATED 15,000 583,650.00 VISA INC. - CLASS A 15,000 834,000.00 ____________ 7,386,675.00 MATERIALS (5.45%) ---------------------------------------------------- PRAXAIR, INC. 20,000 1,345,800.00 UTILITIES (2.76%) ---------------------------------------------------- EXELON CORPORATION 15,000 680,850.00 _______________________________________________________________________ TOTAL COMMON STOCKS 23,774,692.50 _______________________________________________________________________ SHORT TERM BONDS/CASH EQUIVALENTS (3.77%) ........................... JPMORGAN U.S. GOVERNMENT AGENCY SHARES 932,476.01 932,476.01 _______________________________________________________________________ TOTAL INVESTMENTS 24,707,168.51 _______________________________________________________________________ _______________________________________________________________________ (*) Denotes non-income producing holdings for the quarter ended March 31, 2009. (**) Denotes non-U.S. domiciled companies. (***) A trust consisting of approximately 20 common stocks. ITEM 2. CONTROLS AND PROCEDURES. (a) The registrant's principal executive officer and principal financial officer have concluded that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the 1940 Act)) are effective, as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended. (b) There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are 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. Continental Assurance Company Separate Account (B) By: /s/ Lynne Gugenheim ---------------------------------------------- Lynne Gugenheim Secretary (Principal Executive Officer) Date: May 12, 2009 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: /s/ D. Craig Mense ---------------------------------------------- D. Craig Mense (Principal Financial and Accounting Officer) Date: May 12, 2009 By: /s/ Lynne Gugenheim ---------------------------------------------- Lynne Gugenheim Secretary (Principal Executive Officer) Date: May 12, 2009 EX-99.CERT 1 CERTIFICATIONS I, Lynne Gugenheim, certify that: 1. I have reviewed this report on Form N-Q of Continental Assurance Company Separate Account (B); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: May 12, 2009 By: /s/ Lynne Gugenheim ---------------------------------------------- Lynne Gugenheim Secretary (Principal Executive Officer) EX-99.CERT 2 CERTIFICATIONS I, D. Craig Mense, certify that: 1. I have reviewed this report on Form N-Q of Continental Assurance Company Separate Account (B); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. Date: May 12, 2009 By: /s/ D. Craig Mense ---------------------------------------------- D. Craig Mense (Principal Financial and Accounting Officer)