-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, SdJDQ0A9jlO5fbqEym1TcGhQ2b5WVn+XXM5JaXHU3KUlKyBnJqN/f6UcdJwdTC3v Or2j+u7HOAYXuQeQJffY8A== 0001145443-05-001288.txt : 20050614 0001145443-05-001288.hdr.sgml : 20050614 20050531083244 ACCESSION NUMBER: 0001145443-05-001288 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20050331 FILED AS OF DATE: 20050531 DATE AS OF CHANGE: 20050531 EFFECTIVENESS DATE: 20050531 FILER: COMPANY DATA: COMPANY CONFORMED NAME: CIGNA VARIABLE PRODUCTS GROUP CENTRAL INDEX KEY: 0000830035 IRS NUMBER: 000000000 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-05480 FILM NUMBER: 05865539 BUSINESS ADDRESS: STREET 1: 2223 WASHINGTON STREET STREET 2: 3 NEWTON EXECUTIVE PARK, SUITE 200 CITY: NEWTON STATE: MA ZIP: 02462 BUSINESS PHONE: 860.534.4700 MAIL ADDRESS: STREET 1: C/O TIMESSQUARE CAPITAL MANAGEMENT, INC. STREET 2: 280 TRUMBULL STREET, H16C CITY: HARTFORD STATE: CT ZIP: 06103 N-Q 1 d17089.txt 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 811-5480_____ CIGNA Variable Products Group (Exact name of registrant as specified in charter) c/o CIGNA Investment Advisors, Inc., 280 Trumbull Street, Hartford, CT 06103 ------------------------------------------------------------------------------ (Address of principal executive offices) (Zip code) Mark Butler, 2223 Washington Street, 3 Newton Executive Park, Suite 200 Newton, MA 02462 - -------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 860.757.7276_ ------------- Date of fiscal year end: 12/31___ ----- Date of reporting period: 1/1/2005 - 3/31/2005___ -------------------- Item 1. Schedule of Investments. - -------------------------------------------------------------------------------- TimesSquare VP S&P 500(R) Index Fund Investments in Securities March 31, 2005 (Unaudited)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- COMMON STOCKS - 99.0% AEROSPACE/DEFENSE - 1.9% Boeing (The) Co. $13,076 $ 764 General Dynamics Corp. 3,100 332 Goodrich Corp. 1,900 73 L-3 Communications Holdings, Inc. 1,802 128 Lockheed Martin Corp. 6,260 382 Northrop Grumman Corp. 5,678 306 Raytheon Co. 7,100 275 Rockwell Collins, Inc. 2,800 133 United Technologies Corp. 8,000 813 ------- 3,206 ------- AGRICULTURE - 1.7% Altria Group, Inc. 32,500 2,125 Archer-Daniels-Midland Co. 9,787 241 Monsanto Co. 4,135 267 Reynolds American, Inc. 1,800 145 UST, Inc. 2,600 134 ------- 2,912 ------- AUTO MANUFACTURERS & PARTS - 0.6% Cooper Tire & Rubber Co. 1,100 20 Dana Corp. 2,343 30 Delphi Corp. 8,826 40 Ford Motor Co. 28,697 325 General Motors Corp. 8,900 262 Goodyear (The) Tire & Rubber Co. (a) 2,800 37 Johnson Controls, Inc. 3,000 167 Navistar International Corp. (a) 1,000 36 Paccar, Inc. 2,687 195 Visteon Corp. 2,051 12 ------- 1,124 ------- BIOTECHNOLOGY - 1.0% Amgen, Inc. (a) 19,668 1,145 Biogen Idec, Inc. (a) 5,235 181 Chiron Corp. (a) 2,300 81 Genzyme Corp. (General Division) (a) 3,900 223 Medimmune, Inc. (a) 3,900 93 Millipore Corp. (a) 800 35 ------- 1,758 ------- CHEMICALS - 1.7% Air Products & Chemicals, Inc. 3,600 228 Ashland, Inc. 1,000 67 Dow (The) Chemical Co. 15,010 748 du Pont (E.I.) de Nemours & Co. 15,678 803 Eastman Chemical Co. 1,200 71 Ecolab, Inc. 3,500 116 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Engelhard Corp. $ 1,950 $ 59 Great Lakes Chemical Corp. 800 26 Hercules, Inc. (a) 1,800 26 International Flavors & Fragrances, Inc. 1,400 55 PPG Industries, Inc. 2,700 193 Praxair, Inc. 5,100 244 Rohm & Haas Co. 3,085 148 Sherwin-Williams (The) Co. 2,000 88 Sigma-Aldrich Corp. 1,100 67 ------- 2,939 ------- COMMERCIAL SERVICES - 0.9% Apollo Group, Inc., Class A (a) 2,600 193 Block (H&R), Inc. 2,600 132 Cendant Corp. 16,604 341 Convergys Corp. (a) 2,200 33 Donnelley (RR) & Sons Co. 3,400 108 Equifax, Inc. 2,100 64 McKesson Corp. 4,623 175 Moody's Corp. 2,200 178 Paychex, Inc. 5,600 184 Robert Half International, Inc. 2,500 67 ------- 1,475 ------- COMMUNICATIONS - 1.2% eBay, Inc. (a) 19,000 708 Interpublic (The) Group of Cos., Inc. (a) 6,600 81 Monster Worldwide, Inc. (a) 1,900 53 Omnicom Group 2,900 257 Symantec Corp. (a) 11,100 237 Yahoo, Inc. (a) 20,500 695 ------- 2,031 ------- COMPUTERS - 4.1% Affiliated Computer Services, Inc., Class A (a) 2,000 106 Apple Computer, Inc. (a) 12,800 533 Computer Sciences Corp. (a) 3,000 138 Dell, Inc. (a) 38,600 1,483 Electronic Data Systems Corp. 8,100 167 EMC Corp. (a) 37,724 465 Gateway, Inc. (a) 4,700 19 Hewlett-Packard Co. 45,424 997 International Business Machine Corp. 25,600 2,339 Lexmark International, Inc., Class A (a) 2,000 160 NCR Corp. (a) 2,900 98 Network Appliance, Inc. (a) 5,700 158 Sun Microsystems, Inc. (a) 53,000 214 Sungard Data Systems, Inc. (a) 4,500 155 Unisys Corp. (a) 5,300 37 ------- 7,069 -------
- -------------------------------------------------------------------------------- TimesSquare VP S&P 500(R) Index Fund Investments in Securities March 31, 2005 (Unaudited) (Continued)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- CONSUMER PRODUCTS & SERVICES - 2.9% Alberto-Culver Co. $ 1,300 $ 62 Avery Dennison Corp. 1,600 99 Avon Products, Inc. 7,400 318 Clorox Co. 2,400 151 Colgate-Palmolive Co. 8,200 428 Fortune Brands, Inc. 2,300 185 Genuine Parts Co. 2,750 120 Gillette (The), Co. 15,600 787 Grainger (W.W.), Inc. 1,300 81 Kimberly-Clark Corp. 7,532 495 Newell Rubbermaid, Inc. 4,307 94 Procter & Gamble Co. 39,600 2,099 ------- 4,919 ------- ELECTRICAL COMPONENTS & EQUIPMENT - 0.3% American Power Conversion 2,800 73 Emerson Electric Co. 6,600 429 Molex, Inc. 2,675 71 ------- 573 ------- ELECTRONICS - 0.4% Agilent Technologies, Inc. (a) 6,828 152 Applera Corp. - Applied Biosystems Group 3,100 61 Fisher Scientific International, Inc. (a) 1,800 102 Jabil Circuit, Inc. (a) 2,900 83 PerkinElmer, Inc. 2,000 41 Sanmina-SCI Corp. (a) 8,200 43 Solectron Corp. (a) 15,200 53 Symbol Technologies, Inc. 3,800 55 Tektronix, Inc. 1,400 34 Thermo Electron Corp. (a) 2,500 63 Waters Corp. (a) 1,900 68 ------- 755 ------- FINANCIAL - 14.7% American Express Co. 18,400 945 AmSouth Bancorp 5,600 145 Bank (The) of New York Co., Inc. 12,200 354 Bank of America Corp. 63,632 2,806 BB&T Corp. 8,600 336 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Bear Stearns (The) Cos., Inc. $ 1,825 $ 182 Capital One Financial Corp. 3,900 292 CIT Group, Inc. 3,300 125 Citigroup, Inc. 81,972 3,684 Comerica, Inc. 2,650 146 Compass Bancshares, Inc. 1,894 86 Countrywide Financial Corp. 9,100 295 E*Trade Financial Corp. (a) 5,800 70 Federated Investors, Inc., Class B 1,500 42 Fifth Third Bancorp 8,158 351 First Horizon National Corp. 1,900 78 Franklin Resources, Inc. 3,100 213 Freddie Mac 10,800 683 Golden West Financial Corp. 4,400 266 Goldman Sachs Group, Inc. 7,000 770 Huntington Bancshares, Inc. 3,666 88 Janus Capital Group, Inc. 3,700 52 Keycorp 6,416 208 Lehman Brothers Holdings, Inc. 4,380 412 M&T Bank Corp 1,500 153 Marshall & Ilsley Corp. 3,300 138 MBNA Corp. 20,052 492 Mellon Financial Corp. 6,700 191 Merrill Lynch & Co., Inc. 14,600 826 Morgan (J.P.) Chase & Co. 55,767 1,930 Morgan Stanley Dean Witter & Co. 17,440 998 National City Corp. 9,300 312 North Fork Bancorporation, Inc. 7,350 204 Northern Trust Corp. 3,200 139 PNC Financial Services Group, Inc. 4,400 227 Providian Financial Corp. (a) 4,600 79 Regions Financial Corp. 7,247 235 Schwab, (The) Charles Corp. 18,025 189 SLM Corp. 6,700 334 Sovereign Bancorp, Inc. 5,900 131 State Street Corp. 5,200 227 SunTrust Banks, Inc. 5,300 382 Synovus Financial Corp. 4,850 135 T. Price Rowe Group, Inc. 1,900 113 US Bancorp 29,051 837 Wachovia Corp. 24,867 1,266 Washington Mutual, Inc. 13,707 541 Wells Fargo & Co. 26,660 1,594 Zions Bancorporation 1,400 97 ------- 25,227 -------
- -------------------------------------------------------------------------------- TimesSquare VP S&P 500(R) Index Fund Investments in Securities March 31, 2005 (Unaudited) (Continued)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- FOOD & BEVERAGES - 3.8% Albertson's, Inc. $ 5,813 $ 120 Anheuser-Busch Cos., Inc. 12,200 578 Brown-Forman Corp., Class B 1,400 77 Campbell Soup Co. 5,100 148 Coca-Cola (The) Co. 35,600 1,483 Coca-Cola Enterprises, Inc. 5,500 113 ConAgra Foods, Inc. 8,100 219 General Mills, Inc. 5,700 280 Heinz (H.J) Co. 5,500 203 Hershey Foods Corp. 3,400 206 Kellogg Co. 5,500 238 Kroger Co. (a) 11,500 184 McCormick & Co., Inc. 2,100 72 Molson Coors Brewing Co. 1,300 100 Pepsi Bottling Group, Inc. 3,100 86 PepsiCo., Inc. 26,360 1,398 Safeway, Inc. (a) 7,000 130 Sara Lee Corp. 12,400 275 Supervalu, Inc. 2,100 70 Sysco Corp. 10,000 358 Wrigley (Wm) Jr. Co. 3,100 203 -------- 6,541 -------- FOREST PRODUCTS & PAPER - 0.6% Georgia-Pacific Corp. 4,116 146 International Paper Co. 7,651 281 Louisiana-Pacific Corp. 1,700 43 MeadWestvaco Corp. 3,176 101 Plum Creek Timber Co., Inc. 2,900 104 Temple-Inland, Inc. 900 65 Weyerhaeuser Co. 3,800 260 -------- 1,000 -------- HEALTHCARE PRODUCTS & SERVICES - 5.4% Aetna, Inc. 4,584 343 Bard (C.R.), Inc. 1,600 109 Bausch & Lomb, Inc. 800 59 Baxter International, Inc. 9,700 330 Becton Dickinson & Co. 4,000 234 Biomet, Inc. 4,000 145 Boston Scientific Corp. (a) 11,900 349 Guidant Corp. 5,100 377 HCA, Inc. 6,420 344 Health Management Associates, Class A 3,800 99 Humana, Inc. (a) 2,500 80 Johnson & Johnson 46,684 3,135 Laboratory Corp. of America Holdings (a) 2,100 101 Manor Care, Inc. 1,400 51 NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- Medtronic, Inc. $ 19,000 $ 968 Quest Diagnostics 1,400 147 St. Jude Medical, Inc. (a) 5,700 205 Stryker Corp. 5,900 263 Tenet Healthcare Corp. (a) 7,350 85 UnitedHealth Group, Inc. 10,100 963 WellPoint, Inc. (a) 4,800 602 Zimmer Holdings, Inc. (a) 3,880 302 -------- 9,291 -------- HOME BUILDERS & FURNISHINGS - 0.2% Centex Corp. 2,000 115 KB Home 700 82 Maytag Corp. 1,200 17 Pulte Homes, Inc. 1,900 140 Whirlpool Corp. 1,000 68 -------- 422 -------- INDUSTRIAL - 7.3% 3M Co. 12,100 1,037 Allied Waste Industries, Inc. (a) 4,300 31 American Standard Cos., Inc. (a) 2,800 130 Black & Decker Corp. 1,300 103 Caterpillar, Inc. 5,400 494 Cooper Industries Ltd., Class A 1,500 107 Cummins, Inc. 700 49 Danaher Corp. 4,300 230 Deere & Co. 3,900 262 Dover Corp. 3,200 121 Eastman Kodak Co. 4,500 146 Eaton Corp. 2,400 157 Fluor Corp. 1,300 72 General Electric Co. 166,300 5,997 Honeywell International, Inc. 13,387 498 Illinois Tool Works, Inc. 4,300 385 Ingersoll-Rand Co., Class A 2,700 215 ITT Industries, Inc. 1,400 126 Leggett & Platt, Inc. 3,000 87 Masco Corp. 7,000 243 Pall Corp. 1,900 52 Parker Hannifin Corp. 1,925 117 Rockwell Automation, Inc. 2,700 153 Snap-On, Inc. 950 30 Stanley (The) Works 1,200 54 Textron, Inc. 2,100 157 Tyco International Ltd. 31,565 1,067 Vulcan Materials Co. 1,600 91 Waste Management, Inc. 8,932 258 -------- 12,469 --------
- -------------------------------------------------------------------------------- TimesSquare VP S&P 500(R) Index Fund Investments in Securities March 31, 2005 (Unaudited) (Continued)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- INSURANCE - 4.4% ACE Ltd. $ 4,500 $ 186 Aflac, Inc. 7,900 294 Allstate (The) Corp. 10,696 578 AMBAC Financial Group, Inc. 1,750 131 American International Group 40,884 2,265 AON Corp. 4,925 112 Chubb Corp. 3,000 238 CIGNA Corp. (b) 2,100 188 Cincinnati Financial Corp. 2,525 110 Hartford Financial Services Group 4,600 315 Jefferson-Pilot Corp. 2,112 104 Lincoln National Corp. 2,700 122 Loews Corp. 2,500 184 Marsh & McLennan Cos., Inc. 8,300 252 MBIA, Inc. 2,200 115 Metlife, Inc. 11,500 450 MGIC Investment Corp. 1,500 93 Principal Financial Group 4,700 181 Progressive (The) Corp. 3,100 284 Prudential Financial, Inc. 8,200 471 Safeco Corp. 2,000 97 St. Paul (The) Travelers Companies, Inc. 10,491 385 Torchmark Corp. 1,700 89 UnumProvident Corp. 4,625 79 XL Capital Ltd., Class A 2,200 159 -------- 7,482 -------- IRON/STEEL & MINING - 0.7% Alcoa, Inc. 13,668 415 Allegheny Technologies, Inc. 1,370 33 Freeport-McMoRan Copper & Gold, Class B 2,800 111 Newmont Mining Corp. 6,935 293 Nucor Corp. 2,500 144 Phelps Dodge Corp. 1,516 154 United States Steel Corp. 1,800 92 -------- 1,242 -------- LEISURE & ENTERTAINMENT - 0.7% Brunswick Corp. 1,500 70 Carnival Corp. 8,300 430 Harley-Davidson, Inc. 4,600 266 Hasbro, Inc. 2,575 53 International Game Technology 5,400 144 Mattel, Inc. 6,545 140 Sabre Holdings Corp., Class A 2,040 45 -------- 1,148 -------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- LODGING - 0.4% Harrah's Entertainment, Inc. $ 1,750 $ 113 Hilton Hotels Corp. 6,000 134 Marriott International, Inc., Class A 3,200 214 Starwood Hotels & Resorts Worldwide, Inc. 3,300 198 -------- 659 -------- MEDIA - 3.8% Clear Channel Communications, Inc. 8,300 286 Comcast Corp., Class A (a) 34,762 1,174 Disney (Walt) Co. 32,100 922 Dow Jones & Co., Inc. 1,100 41 Gannett Co., Inc. 3,900 308 Knight-Ridder, Inc. 1,200 81 McGraw-Hill (The) Cos., Inc. 3,000 262 Meredith Corp. 700 33 New York Times Co., Class A 2,300 84 News Corp. 45,200 765 Time Warner, Inc. (a) 72,100 1,265 Tribune Co. 4,700 187 Univision Communications, Inc., Class A (a) 4,600 127 Viacom, Inc., Class B 26,733 931 -------- 6,466 -------- OFFICE/BUSINESS EQUIPMENT - 0.2% Pitney Bowes, Inc. 3,600 162 Xerox Corp. (a) 15,000 227 -------- 389 -------- OIL & GAS - 8.7% Amerada Hess Corp. 1,300 125 Anadarko Petroleum Corp. 3,733 284 Apache Corp. 5,122 314 Baker Hughes, Inc. 5,290 235 BJ Services Co. 2,500 130 Burlington Resources, Inc. 6,120 306 ChevronTexaco Corp. 33,068 1,928 ConocoPhillips 10,968 1,183 Devon Energy Corp. 7,500 358 Dynegy, Inc., Class A (a) 5,200 20 EL Paso Corp. 10,143 107 EOG Resources, Inc. 3,800 185 Exxon Mobil Corp. 100,224 5,973 Halliburton Co. 7,900 342 Kerr-McGee Corp. 2,538 199 Kinder Morgan, Inc. 1,700 129 Marathon Oil Corp. 5,400 253 Nabors Industries Ltd. (a) 2,200 130 Noble Corp. (a) 2,100 118 National Oilwell Varco, Inc. (a) 2,600 121 Occidental Petroleum Corp. 6,200 441
- -------------------------------------------------------------------------------- TimesSquare VP S&P 500(R) Index Fund Investments in Securities March 31, 2005 (Unaudited) (Continued)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- OIL & GAS continued Rowan Cos., Inc. (a) $ 1,700 $ 51 Schlumberger Ltd. 9,300 655 Sunoco, Inc. 1,100 114 Transocean, Inc. (a) 5,071 261 Unocal Corp. 4,200 259 Valero Energy Corp. 4,000 293 Williams Companies, Inc. 8,900 167 XTO Energy, Inc. 5,467 180 -------- 14,861 -------- PACKAGING & CONTAINERS - 0.1% Ball Corp. 1,700 71 Bemis Co. 1,700 53 Pactiv Corp. (a) 2,300 54 Sealed Air Corp. (a) 1,261 65 -------- 243 -------- PHARMACEUTICALS - 6.0% Abbott Laboratories 24,500 1,142 Allergan, Inc. 2,100 146 AmerisourceBergen Corp. 1,700 97 Bristol-Myers Squibb Co. 30,700 782 Cardinal Health, Inc. 6,775 378 Caremark Rx, Inc. (a) 7,200 286 Eli Lilly & Co. 17,800 927 Express Scripts, Inc. (a) 1,200 105 Forest Laboratories, Inc. (a) 5,500 203 Gilead Sciences, Inc. (a) 6,800 243 Hospira, Inc. (a) 2,420 78 King Pharmaceuticals, Inc. (a) 3,766 31 Medco Health Solutions, Inc. (a) 4,366 216 Merck & Co., Inc. 34,700 1,123 Mylan Laboratories 4,200 74 Pfizer, Inc. 117,032 3,074 Schering-Plough Corp. 23,100 419 Watson Pharmaceuticals, Inc. (a) 1,700 52 Wyeth 21,000 886 -------- 10,262 -------- REAL ESTATE INVESTMENT TRUSTS - 0.5% Apartment Investment & Mgt. Co., Class A 1,500 56 Archstone-Smith Trust 3,100 106 Equity Office Properties Trust 6,300 190 Equity Residential 4,400 142 Prologis 2,900 108 Simon Property Group, Inc. 3,500 212 -------- 814 -------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- RETAIL - 7.1% Autonation, Inc. (a) $ 3,500 $ 66 Autozone, Inc. (a) 1,100 94 Bed Bath & Beyond, Inc. (a) 4,700 172 Best Buy Co., Inc. 4,700 254 Big Lots, Inc. (a) 1,800 22 Cintas Corp. 2,300 95 Circuit City Stores, Inc. 3,000 48 Coach, Inc. (a) 3,000 170 Costco Wholesale Corp. 7,400 327 CVS Corp. 6,300 332 Darden Restaurants, Inc. 2,350 72 Dillard's, Inc., Class A 1,100 30 Dollar General Corp. 4,747 104 Family Dollar Stores, Inc. 2,600 79 Federated Department Stores 2,700 172 Gap (The), Inc. 11,562 253 Home Depot, Inc. 34,450 1,317 Jones Apparel Group, Inc. 1,900 64 Kohl's Corp. (a) 5,100 263 Limited Brands, Inc. 6,000 146 Liz Claiborne, Inc. 1,700 68 Lowe's Companies, Inc. 12,100 691 May (The) Department Stores Co. 4,550 168 McDonald's Corp. 20,000 623 Nike, Inc., Class B 3,600 300 Nordstrom, Inc. 2,000 111 Office Depot, Inc. (a) 4,900 109 OfficeMax, Inc. 1,500 50 Penney (J.C.) Co., Inc. 4,500 234 RadioShack Corp. 2,500 61 Reebok International Ltd. 900 40 Sears Holdings Corp. (a) 400 53 Sears Roebuck and Co. 3,200 193 Staples, Inc. 7,750 244 Starbucks Corp. (a) 6,300 325 Target Corp. 14,100 705 Tiffany & Co. 2,300 79 TJX Cos., Inc. 7,600 187 Toys R US, Inc. (a) 3,400 88 VF Corp. 1,600 95 Walgreen Co. 16,000 711 Wal-Mart Stores, Inc. 53,200 2,666 Wendy's International, Inc. 1,800 70 Yum! Brands, Inc. 4,580 237 -------- 12,188 --------
- -------------------------------------------------------------------------------- TimesSquare VP S&P 500(R) Index Fund Investments in Securities March 31, 2005 (Unaudited) (Continued)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- SEMICONDUCTORS - 3.1% Advanced Micro Devices, Inc. (a) $ 6,200 $ 100 Altera Corp. (a) 5,800 115 Analog Devices, Inc. 5,800 210 Applied Materials, Inc. (a) 26,200 426 Applied Micro Circuits Corp. (a) 4,800 16 Broadcom Corp., Class A (a) 4,600 138 Freescale Semiconductor, Inc. (a) 6,296 109 Intel Corp. 97,700 2,270 Kla-Tencor Corp. (a) 3,100 143 Linear Technology Corp. 4,800 184 LSI Logic Corp. (a) 6,000 34 Maxim Integrated Products 5,100 208 Micron Technology, Inc. (a) 9,600 99 National Semiconductor Corp. 5,600 115 Novellus Systems, Inc. (a) 2,200 59 Nvidia Corp. (a) 2,600 62 PMC - Sierra, Inc. (a) 2,800 25 QLogic Corp. (a) 1,400 57 Teradyne, Inc. (a) 3,000 44 Texas Instruments, Inc. 27,000 688 Xilinx, Inc. 5,500 161 -------- 5,263 -------- SOFTWARE - 4.2% Adobe Systems, Inc. 3,800 255 Autodesk, Inc. 3,600 107 Automatic Data Processing, Inc. 9,200 414 BMC Software, Inc. (a) 3,500 53 Citrix Systems, Inc. (a) 2,700 64 Computer Associates International, Inc. 8,312 225 Compuware Corp. (a) 6,100 44 Electronic Arts, Inc. (a) 4,800 249 First Data Corp. 12,558 494 Fiserv, Inc. (a) 3,000 119 IMS Health, Inc. 3,600 88 Intuit, Inc. (a) 2,900 127 Mercury Interactive Corp. (a) 1,300 62 Microsoft Corp. 158,800 3,838 Novell, Inc. (a) 5,900 35 Oracle Corp. (a) 70,472 879 Parametric Technology Corp. (a) 4,200 23 Siebel Systems, Inc. (a) 8,100 74 Veritas Software Corp. (a) 6,600 153 -------- 7,303 -------- NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- TELECOMMUNICATIONS - 5.5% ADC Telecommunications, Inc. (a) $ 12,700 $ 25 Alltel Corp. 4,700 258 Andrew Corp. (a) 2,493 29 AT&T Corp. 12,585 236 Avaya, Inc. (a) 7,528 88 BellSouth Corp. 28,700 755 CenturyTel, Inc. 2,150 71 CIENA Corp. (a) 9,000 15 Cisco Systems, Inc. (a) 101,400 1,814 Citizens Communications Co. 5,300 69 Comverse Technology, Inc. (a) 3,100 78 Corning, Inc. (a) 22,100 246 JDS Uniphase Corp. (a) 22,700 38 Lucent Technologies, Inc. (a) 69,536 191 Motorola, Inc. 38,491 576 Nextel Communications, Inc., Class A (a) 17,700 503 Qualcomm, Inc. 25,800 946 Qwest Communications International (a) 26,201 97 SBC Communications, Inc. 51,794 1,227 Scientific-Atlanta, Inc. 2,400 68 Sprint Corp. (FON Group) 23,200 528 Tellabs, Inc. (a) 7,300 53 Verizon Communications, Inc. 43,426 1,542 -------- 9,453 -------- TRANSPORTATION - 1.7% Burlington Northern Santa Fe Corp. 5,967 322 CSX Corp. 3,400 142 Delta Air Lines, Inc. (a) 2,200 9 FedEx Corp. 4,700 442 Norfolk Southern Corp. 6,300 233 Ryder System, Inc. 1,000 42 Southwest Airlines Co. 11,587 165 Union Pacific Corp. 4,100 286 United Parcel Service, Inc., Class B 17,600 1,280 -------- 2,921 -------- UTILITIES - 3.2% AES (The) Corp. (a) 10,200 167 Allegheny Energy, Inc. (a) 2,200 45 Ameren Corp. 3,100 152 American Electric Power Co., Inc. 6,000 204 Calpine Corp. (a) 8,400 24 Centerpoint Energy, Inc. 4,507 54 Cinergy Corp. 3,020 122 CMS Energy Corp. (a) 3,400 44
- -------------------------------------------------------------------------------- TimesSquare VP S&P 500(R) Index Fund Investments in Securities March 31, 2005 (Unaudited) (Continued)
NUMBER OF VALUE SHARES (000) - -------------------------------------------------------------------------------- UTILITIES continued Consolidated Edison, Inc. $ 3,800 $ 160 Constellation Energy Group, Inc. 2,800 145 Dominion Resources, Inc. 5,299 394 DTE Energy Co. 2,700 123 Duke Energy Corp. 14,724 412 Edison International 5,100 177 Entergy Corp. 3,300 233 Exelon Corp. 10,450 480 FirstEnergy Corp. 5,200 218 FPL Group, Inc. 6,100 245 KeySpan Corp. 2,500 97 Nicor, Inc. 700 26 NiSource, Inc. 4,300 98 Peoples Energy Corp. 600 25 PG&E Corp. (a) 5,700 194 Pinnacle West Capital Corp. 1,400 60 PPL Corp. 3,000 162 Progress Energy, Inc. 3,900 164 Public Service Enterprise Group 3,700 201 Sempra Energy 3,754 150 Southern (The) Co. 11,700 372 TECO Energy, Inc. 3,200 50 TXU Corp. 3,800 303 Xcel Energy, Inc. 6,320 109 ---------- 5,410 ---------- Total Common Stocks (Cost - $165,639) 169,815 ---------- SHORT-TERM OBLIGATIONS - 0.9% MONEY MARKET FUND - 0.9% TimesSquare VP Money Market Fund (Cost - $1,592) (c) 1,592,355 1,592 ---------- TOTAL INVESTMENTS IN SECURITIES - 99.9% (Total Cost - $167,231) (e) 171,407 Assets in excess of Other Liabilities - 0.1% 94 ---------- NET ASSETS - 100.0% $ 171,501 ==========
NOTES TO INVESTMENTS IN SECURITIES (a) Non-income producing securities. (b) CIGNA Investment Advisor's, Inc., the fund's administrator, is an indirect wholly owned subsidiary of CIGNA Corp. (c) This Fund is a separate series of the CIGNA Variable Products Group. (d) At March 31, 2005, the Fund was long 6 S&P 500(R) Futures Contracts expiring in June, 2005. Unrealized losses amounted to $37,973. Underlying face value was $1,813,823 and underlying market value was $1,775,850. Tax Information (e) At March 31, 2005, the net unrealized appreciation of investments, based on cost for federal income tax purposes of $167,996,744, was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $33,690,133 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (30,279,852) ----------- Unrealized appreciation - net $ 3,410,281 =========== - ----------------------------------------------------------------- CIGNA VariableProducts S&P 500(R) Index Fund
Market % of Ten Largest Positions Value (Unaudited) (000) Assets - ----------------------------------------------------------------- General Electric Co. $ 5,997 3.5% Exxon Mobil Corp. 5,973 3.5 Microsoft Corp. 3,838 2.2 Citigroup, Inc. 3,684 2.1 Johnson & Johnson 3,135 1.8 Pfizer, Inc. 3,074 1.8 Bank of America Corp. 2,806 1.6 Wal-Mart Stores, Inc. 2,666 1.6 International Business Machine Corp. 2,339 1.4 Intel Corp. 2,270 1.3
- ----------------------------------------------------------------- TimesSquare VP S&P 500(R) Index Fund Investments in Securities March 31, 2005 (Unaudited) (Continued) - --------------------------------------------------------------- - --------------------------------------------------------------- CIGNA VariableProducts S&P 500(R) Index Fund
Market % of Long-term Securities by Industry Value Net (Unaudited) (000) Assets - --------------------------------------------------------------- Aerospace/Defense $ 3,206 1.9% Agriculture 2,912 1.7 Auto Manufacturers & Parts 1,124 0.6 Biotechnology 1,758 1.0 Chemicals 2,939 1.7 Commercial Services 1,475 0.9 Communications 2,031 1.2 Computers 7,069 4.1 Consumer Products & Services 4,919 2.9 Electrical Components & Equipment 573 0.3 Electronics 755 0.4 Financial 25,227 14.7 Food & Beverages 6,541 3.8 Forest Products & Paper 1,000 0.6 Healthcare Products & Services 9,291 5.4 Home Builders & Furnishings 422 0.2 Industrial 12,469 7.3 Insurance 7,482 4.4 Iron/Steel & Mining 1,242 0.7 Leisure & Entertainment 1,148 0.7 Lodging 659 0.4 Media 6,466 3.8 Office/Business Equipment 389 0.2 Oil & Gas 14,861 8.7 Packaging & Containers 243 0.1 Pharmaceuticals 10,262 6.0 Real Estate Investment Trusts 814 0.5 Retail 12,188 7.1 Semiconductors - 2.9% 5,263 3.1 Software 7,303 4.2 Telecommunications 9,453 5.5 Transportation 2,921 1.7 Utilities 5,410 3.2 ----------------------- 169,815 99.0%
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- ---------------------------------------------------------------------------------------- TimesSquare VP Core Plus Bond Fund Investments in Securities INVESTMENTS IN SECURITIES March 31, 2005 (Unaudited) PRINCIPAL VALUE (000) (000) - ---------------------------------------------------------------------------------------- LONG-TERM BONDS - 88.9% AUTO - 1.0% DaimlerChrysler North America, Step Coupon (3.77% to 5/9/2005), 8/8/2006 $ 900 $ 909 ---------------- COMMUNICATIONS & MEDIA - 0.2% TPSA Finance BV, 7.75%, 12/10/2008 (144A security acquired July & Aug. 2003 for $137) (a) 120 132 ---------------- CONSUMER & RETAIL - 0.2% VFB LLC, 10.25%, 7/1/2009 (b) (c) 2,044 133 ---------------- FINANCIAL - 10.6% Bank of America Commercial Mortgage, Inc., 4.88%, 6/10/2039 590 593 4.13%, 7/10/2042 395 387 Citifinancial Mortgage Securities, Inc., 3.08, 8/25/2033 100 99 3.22%, 10/25/2033 100 99 Countrywide Alternative Loan Trust, 4.67%, 8/25/2034 520 520 Countrywide Asset-Backed Certificates, 3.32%, 5/25/2022 250 246 3.32%, 12/25/2034 365 360 Ford Motor Credit Co., 4.00%, 3/21/2007 (d) 900 902 General Motors Acceptance Corp., 7.25%, 3/2/2011 600 557 Greenwich Capital Commercial Funding Corp., 5.32%, 6/10/2036 915 931 GS Mortgage Securities Corp. II, 5.40%, 8/1/2038 905 925 Merrill Lynch Mortgage Trust, 4.35%, 2/12/2042 515 509 Morgan Stanley Capital I, 4.05%, 1/13/2041 530 515 Residential Asset Mortgage Products, Inc., Interest Only, 5.75%, 4/25/2005 (c) 609 - 3.81%, 1/25/2026 220 219 4.45%, 7/25/2028 1,145 1,145 4.23%, 5/25/2029 165 164 4.00%, 1/25/2030 275 274 Santander Financial Issuances, 6.80%, 7/15/2005 95 96 Structured Asset Securities Corp., 4.37%, 10/25/2034 525 517 Union Planters Corp., 6.75%, 11/1/2005 240 244 ---------------- 9,302 ---------------- FOREIGN GOVERNMENT - 12.3% Brazil (Federal Republic of), 9.25%, 10/22/2010 85 89 11.00%, 1/11/2012 80 90 10.50%, 7/14/2014 240 264 8.88%, 4/15/2024 90 85 11.00%, 8/17/2040 300 334 Export-Import Bank of Korea, 4.13%, 2/10/2009 (144A security acquired Feb. 2004 for $139) (a) 140 136 Quebec (Province of Canada), 5.50%, 4/11/2006 630 642 Russian Federation, Step Coupon (5.00% to 3/31/2007), 3/31/2030 600 615 Step Coupon (5.00% to 3/31/2007), 3/31/2030 (144A security acquired Sep. & Oct. 2002, July & Oct. 2003 & April & Aug. 2004 for $499) (a) 545 560 Spain Letras Del Tesoro, Zero Coupon, 6/17/2005 2,240 (e) 2,893 Treasury U.K., 4.75%, 9/7/2015 2,500 (f) 4,744 United Mexican States, 8.30%, 8/15/2031 335 384 ---------------- 10,836 ----------------
- ------------------------------------------------------------------------------ PRINCIPAL VALUE (000) (000) - ------------------------------------------------------------------------------ OIL & GAS - 0.2% Morgan Stanley Bank AG for Gazprom OAO, 9.63%, 3/1/2013 (144A security acquired Sep. 2004 for $110) (a) $ 100 $ 114 Pemex Project Funding Master Trust, 9.50%, 9/15/2027 (144A security acquired July 2003 for $66) (a) 55 67 -------------- 181 -------------- U.S. GOVERNMENT & AGENCIES (g) - 64.3% Fannie Mae, 2.50%, 6/15/2008 2,480 2,352 4.00%, 10/1/2018 566 543 4.50%, 7/1/2019 1,096 1,073 5.50%, 9/1/2019 2,323 2,369 6.50%, 4/1/2032 704 732 7.00%, 5/1/2032 1,247 1,314 5.00%, 9/1/2033 774 759 5.50%, 11/1/2033 654 656 6.50%, 3/1/2033 453 471 6.50%, 4/1/2033 262 272 5.00%, 3/1/2034 740 724 5.50%, 2/1/2034 737 738 5.00%, 4/1/2034 775 758 5.50%, 7/1/2034 4,985 4,996 6.00%, 5/1/2034 1,913 1,956 TBA 4.50%, 12/1/2034 1,300 1,233 TBA 5.50%, 12/1/2034 1,000 1,001 Financing Corp., Principal Strips from 8.60%, 9/26/2019 830 394 9.70%, 4/5/2019 840 409 Freddie Mac, 2.61%, 7/15/2011 1,078 1,064 6.50%, 3/1/2013 72 75 6.50%, 6/1/2013 27 28 6.50%, 6/1/2016 517 540 6.00%, 5/1/2017 598 618 6.50%, 4/1/2017 77 81 4.50%, 4/1/2018 653 641 4.50%, 8/1/2018 809 793 4.50%, 10/1/2018 1,737 1,704 5.00%, 4/1/2018 1,208 1,210 5.00%, 5/1/2018 275 275 5.00%, 7/1/2018 893 895 5.00%, 11/1/2018 439 440 6.00%, 1/1/2032 840 861 7.50%, 1/1/2032 105 113 7.50%, 3/1/2032 352 377 5.00%, 8/1/2033 3,445 3,380 5.50%, 4/1/2033 1,649 1,656 6.00%, 11/1/2033 669 685 6.50%, 3/1/2034 409 426 Ginnie Mae, 6.50%, 3/15/2031 185 193 6.50%, 10/15/2031 75 78 6.50%, 4/15/2032 249 260 5.50%, 4/15/2033 500 505 5.50%, 9/15/2033 436 440 U.S. Treasury Bonds, 8.75%, 5/15/2017 200 275 8.13%, 8/15/2019 500 673 6.00%, 2/15/2026 1,293 1,479 5.50%, 8/15/2028 300 326 6.13%, 8/15/2029 40 47
- ---------------------------------------------------------------------------------------- TimesSquare VP Core Plus Bond Fund Investments in Securities INVESTMENTS IN SECURITIES continued March 31, 2005 (Unaudited) PRINCIPAL VALUE (000) (000) - ---------------------------------------------------------------------------------------- U.S. Treasury Inflation Indexed Note, 2.00%, 7/15/2014 $ 2,064 $ 2,109 U.S. Treasury Notes, 3.38%, 12/15/2008 1,430 1,397 3.63%, 7/15/2009 4,200 4,119 6.00%, 8/15/2009 40 43 5.00%, 2/15/2011 535 556 4.38%, 8/15/2012 2,800 2,807 4.00%, 2/15/2015 2,700 2,594 ---------------- 56,513 ---------------- UTILITIES - 0.1% Korea Electric Power Corp., 5.13%, 4/23/2034 (144A security acquired April 2004 for $89) (a) 90 88 ---------------- TOTAL LONG-TERM BONDS (Cost - $78,488) 78,094 ---------------- NUMBER PREFERRED STOCK - 0.0% OF SHARES -------------- U.S. GOVERNMENT AGENCY (e) - 0.0% Fannie Mae, 7.00% (d) (Cost - $29) 584 32 ---------------- PRINCIPAL SHORT-TERM OBLIGATIONS - 23.9% (000) -------------- COMMERCIAL PAPER - 14.7% ASB Bank LTD., 2.94%, 6/15/05 600 596 Barclays U.S. Funding LLC, 2.78%, 4/25/05 200 200 Bank of Ireland, 2.93%, 8/17/05 2,300 2,274 CBA (Delaware) Finance, Inc., 2.95%, 6/21/05 200 199 HBOS Treasury Services PLC, 2.96%, 6/22/05 1,100 1,093 ING U.S. Funding LLC, 2.94%, 6/14/05 1,000 994 Procter & Gamble Co., 2.95%, 6/20/05 2,400 2,384 Swedbank, Inc., 2.79%, 6/15/05 200 199 Toyota Motor Credit Co., 2.92%, 7/11/05 2,400 2,380 Westpac Trust Securities (NZ) LTD., 2.96%, 7/11/05 1,000 992 2.99%, 7/15/05 1,600 1,586 ---------------- 12,897 ---------------- NUMBER OF SHARES -------------- MONEY MARKET FUND - 4.4% TimesSquare VP Money Market Fund (h) 3,839,497 3,839 ---------------- PRINCIPAL (000) -------------- U.S. GOVERNMENT - 4.8% U.S. Treasury Bills, 2.65%, 4/14/2005 4,200 4,196 2.59%, 7/21/2005 75 74 ---------------- 4,270 ---------------- TOTAL SHORT-TERM OBLIGATIONS (Cost - $21,007) 21,006 ---------------- TOTAL INVESTMENTS IN SECURITIES - 112.8% (Total Cost - $99,524) (l) 99,132 Liabilities Less Cash and Other Assets - (12.8)% (11,245) ---------------- NET ASSETS - 100.0% $ 87,887 ================
- ----------------------------------------------------------------------------------- - -------------------------------------------------------------------------------- NOTES TO INVESTMENTS IN SECURITIES - -------------------------------------------------------------------------------- (a) Indicates restricted security; the aggregate value of restricted securities is $1,097,390 (aggregate cost $1,029,390), which is approximately 1.3% of net assets. Valuations have been furnished by brokers trading in the securities or a pricing service for all restricted securities (b) This is a fair valued security which is in default due to bankruptcy. The principal amount represents beneficial ownership interest for future cash receipts under the bankruptcy filings. (c) Illiquid security. (d) Floating rate security. (e) Principal is denominated in Euros. (f) Principal is denominated in Pounds. (g) Agency obligations are not guaranteed by the U.S. Government. (h) This Fund is a separate series of the CIGNA Variable Products Group. (j) A summary of outstanding forward currency contracts, as of March 31, 2005, is as follows: Net Unrealized Settlement Forward Foreign Contract Appreciation Date Contract Currency Value (Depreciation) ---------------------------------------------------------------------- Buys 4/4/05 Euro 2,230,715 $2,890,560 $ 2,118 4/13/05 Yen 187,008,000 $1,782,737 $ (38,666) 4/25/05 Euro 164,000 $ 216,357 $ (3,690) 4/28/05 Pound 1,400,000 $2,643,326 $ 573 Sells 4/4/05 Pound 1,399,530 $2,645,811 $ 2,800 4/18/05 Euro 184,000 $ 246,307 $ 7,705 4/25/05 Euro 2,231,000 $2,892,179 $ (869) 4/28/05 Pound 3,277,000 $6,264,805 $ 85,354 (j) As of March 31, 2005, the fund had an interest rate swap agreement outstanding with UBS AG for a notional amount of $9,800,000 expiring on 6/17/2007. The rest of the terms are: Floating Rate Fixed Premium Unrealized Index Rate Received Depreciation ------------------------------------------------------------------------------ Pay 3 month Receive 4% $ 2,940 $ 66,772 USD LIBOR BBA (k) Premiums received on written swap options: Exercise Expiration Price Date Premium Value ------------------------------------------------------------------------------ Call $4 5/11/2005 $11,400 $ (12) Put $5 5/11/2005 $15,600 $ (60,120) Tax Information (l) At March 31, 2005, the net unrealized depreciation of investments, based on cost for federal income tax purposes of $99,650,626 was as follows: Aggregate gross unrealized appreciation for all investments in which there was an excess of value over tax cost $ 499,901 Aggregate gross unrealized depreciation for all investments in which there was an excess of tax cost over value (1,018,673) ----------------- Unrealized depreciation - net $ (518,772) ================= ------------------------------------------------------------------------------ Quality Ratings* of Long-Term Bonds (Unaudited) March 31, 2005 Value % of (000) Value ------------------------------------------------------------------------------ Aaa/AAA $ 71,652 91.7% A/A 3,016 3.9 Baa/BBB 2,314 3.0 Ba/BB 977 1.2 Not Rated 133 0.2 ------------------------------- $ 78,092 100.0% ===============================
- -------------------------------------------------------------------------------- TimesSquare VP Money Market Fund Investments in Securities March 31, 2005 (Unaudited)
Principal Value (000) (000) - --------------------------------------------------------------------------------- COMMERCIAL PAPER - 38.1% Domestic - 27.3% ChevronTexaco Funding Corp., 2.74%, 4/7/05 $ 3,580 $ 3,578 CIESCO LLC, 2.76%, 4/4/05 3,677 3,676 Coca Cola Co., 2.72%, 4/1/05 3,500 3,500 Gannett, Inc., 2.75%, 4/6/05 3,825 3,824 Morgan Stanley, Dean Witter, Discover & Co., 2.76%, 4/5/05 3,824 3,823 Nestle Capital Corp., 2.73%, 4/6/05 3,977 3,976 New York Times, 2.77%, 4/5/05 1,059 1,059 Paccar Financial Corp., 2.75%, 4/4/05 1,503 1,503 Wal-Mart Stores, Inc., 2.75%, 4/4/05 3,700 3,699 -------- 28,638 -------- Foreign - 10.8% HSBC Finance Corp., 2.73%, 4/4/05 4,136 4,135 KfW International Finance, Inc., 2.72%, 4/8/05 3,500 3,498 Novartis Finance Corp., 2.75%, 4/14/05 3,767 3,763 -------- 11,396 -------- Total Commercial Paper 40,034 -------- U.S. GOVERNMENT AGENCIES (a) - 46.6% Fannie Mae, 2.67%, 4/4/05 3,247 3,246 2.65%, 4/5/05 12,784 12,780 1.65%, 5/16/05 2,500 2,500 Federal Farm Credit Bank, 2.65%, 4/7/05 6,581 6,578 2.65%, 4/11/05 10,000 9,993 Federal Home Loan Bank, 2.70%, 4/1/05 1,363 1,363 2.63%, 4/13/05 10,000 9,991 2.02%, 6/8/05 2,500 2,500 -------- 48,951 --------
Principal Value (000) (000) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT - 15.3% Repurchase Agreement with Chase Manhattan Bank entered into 3/31/05 at 2.53%, maturing 4/1/05 at $16,121,133 (collateralized by by U. S. Treasury Note, 8.875%, due 2/15/19 with face value of $11,549,000 and a value of $16,442,400) $ 16,120 $ 16,120 -------- TOTAL INVESTMENTS IN SECURITIES - 100.0% (Total Cost - $105,105) (b) 105,105 Liabilities Less, Cash and Other Assets - 0.0% (40) -------- NET ASSETS - 100.0% $105,065 ========
NOTES TO INVESTMENTS IN SECURITIES (a) Agency obligations are not gauranteed by the U.S. Government. Tax Information (b) As of March 31, 2005, the cost for federal tax purposes on a tax basis is the same as on a book basis.
- -------------------------------------------------------------------------------- TimesSquare VP Money Market Fund - -------------------------------------------------------------------------------- Value % of Ten Largest Positions (Unaudited) (000) Net Assets - -------------------------------------------------------------------------------- Fannie Mae $ 18,526 17.6% Federal Farm Credit Bank 16,571 15.8 Federal Home Loan Bank 13,854 13.2 HSBC Finance Corp. 4,135 3.9 Nestle Capital Corp. 3,976 3.8 Gannett, Inc. 3,824 3.6 Morgan Stanley, Dean Witter, Discover & Co. 3,823 3.6 Novartis Finance Corp. 3,763 3.6 Wal Mart Stores, Inc. 3,699 3.5 CIESCO LLC 3,676 3.5 - --------------------------------------------------------------------------------
- -------------------------------------------------------------------------------- TimesSquare VP Money Market Fund Portfolio by Type of Short Term Security Value % of (Unaudited) (000) Net Assets - -------------------------------------------------------------------------------- Domestic Commercial Paper $ 28,638 27.3% Foreign Commercial Paper 11,396 10.8 U.S. Government Agencies 48,951 46.6 Repurchase Agreement 16,120 15.3 -------------------- $105,105 100.0% - --------------------------------------------------------------------------------
Item 2. Controls and Procedures. (a) The registrant's principal executive and principal financial officers, or persons performing similar functions, 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") (17 CFR 270.30a-3(c))) are effective, as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b)) and Rule 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)). (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 (17 CFR 270.30a-3(d)) 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. (Registrant) CIGNA Variable Products Group__________________ ----------------------------- By (Signature and Title)* /s/ Jeffrey S. Winer, Vice President and Secretary_ -------------------------------------------------- Date May 25, 2005 ------------ Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)*/s/ Jeffrey S. Winer___________________ -------------------- Date _May 25, 2005____ By (Signature and Title)*/s/ Jeffrey S. Winer, Vice President and Secretary_ -------------------------------------------------- Date May 25, 2005_____ * Print the name and title of each signing officer under his or her signature. EX-99.302.A 2 d17089ex99_302a.txt Exhibit 99.302(a) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Richard H. Forde, certify that: 1. I have reviewed this report on Form N-Q of CIGNA Variable Products Group; 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) 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 25, 2005 /s/ Richard H. Forde ---------------------------- ----------------------- Richard H. Forde, President (principal executive officer) EX-99.302.B 3 d17089ex99_302b.txt Exhibit 99.302(b) CERTIFICATION PURSUANT TO RULE 30A-2(A) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT I, Alfred A. Bingham III, certify that: 1. I have reviewed this report on Form N-Q of CIGNA Variable Products Group; 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) 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 25, 2005 /s/ Alfred A. Bingham III ------------------- --------------------------- Alfred A. Bingham III, Vice President and Treasurer (principal financial officer) -----END PRIVACY-ENHANCED MESSAGE-----