N-Q 1 n-qq12011.htm FORM N-Q WebFilings | EDGAR view
 

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, IL
60604
(Address of principal executive offices)
(Zip code)
Lynne Gugenheim
333 South Wabash Avenue, 23S
Chicago, IL 60604
(Name and address of agent for service)
Registrant's telephone number, including area code: (312) 822-4921
Date of fiscal year end: December 31
Date of reporting period: March 31, 2011
 
 

ITEM 1. SCHEDULE OF INVESTMENTS.    
Continental Assurance Company Separate Account (B)
Schedule of Investments (Unaudited)
March 31, 2011
 
Number of Shares
 
Fair Value
 
% of Net Assets
(All investments are in securities of unaffiliated issuers)
 
 
 
COMMON STOCKS(*):
 
 
 
 
 
 
 
 
 
 
 
 
 
CONSUMER DISCRETIONARY
 
 
 
 
 
 
Kohl's Corporation
 
15,000
 
 
$
795,600
 
 
 
Marriott International, Inc. - Class A
 
16,337
 
 
581,270
 
 
 
 
 
 
 
1,376,870
 
 
6.7
%
 
 
 
 
 
 
 
CONSUMER STAPLES
 
 
 
 
 
 
The Coca-Cola Company
 
15,000
 
 
995,250
 
 
 
Costco Wholesale Corporation
 
14,500
 
 
1,063,140
 
 
 
CVS Caremark Corporation
 
20,000
 
 
686,400
 
 
 
Molson Coors Brewing Company - Class B
 
16,500
 
 
773,685
 
 
 
The Procter & Gamble Company
 
7,000
 
 
431,200
 
 
 
 
 
 
 
3,949,675
 
 
19.3
%
 
 
 
 
 
 
 
ENERGY
 
 
 
 
 
 
Halliburton Company
 
11,500
 
 
573,160
 
 
2.8
%
 
 
 
 
 
 
 
FINANCIALS
 
 
 
 
 
 
JPMorgan Chase & Co.
 
19,000
 
 
875,900
 
 
 
Morgan Stanley
 
30,000
 
 
819,600
 
 
 
 
 
 
 
1,695,500
 
 
8.3
%
 
 
 
 
 
 
 
HEALTH CARE
 
 
 
 
 
 
Gilead Sciences, Inc.(**)
 
20,000
 
 
848,800
 
 
 
Pharmaceutical HOLDRS (SM) Trust(***)
 
9,000
 
 
594,990
 
 
 
 
 
 
 
1,443,790
 
 
7.0
%
 
 
 
 
 
 
 
INDUSTRIALS
 
 
 
 
 
 
The Boeing Company
 
6,250
 
 
462,063
 
 
 
CSX Corporation
 
13,500
 
 
1,061,100
 
 
 
Deere & Company
 
11,500
 
 
1,114,235
 
 
 
Fluor Corporation
 
10,000
 
 
736,600
 
 
 
General Electric Company
 
8,000
 
 
160,400
 
 
 
United Technologies Corporation
 
9,000
 
 
761,850
 
 
 
 
 
 
 
4,296,248
 
 
20.9
%
 
(*)
All common stock holdings are of U.S. domiciled companies.
(**)
Denotes non-income producing holdings.
(***)
A trust consisting of approximately 20 common stocks.

2
 

Continental Assurance Company Separate Account (B)
Schedule of Investments (Unaudited) - continued
March 31, 2011
 
Number of Shares
 
Fair Value
 
% of Net Assets
(All investments are in securities of unaffiliated issuers)
 
 
 
COMMON STOCKS - continued:
 
 
 
 
 
 
 
 
 
 
 
 
 
INFORMATION TECHNOLOGY
 
 
 
 
 
 
Corning Incorporated
 
35,000
 
 
722,050
 
 
 
Google Inc. - Class A(**)
 
1,500
 
 
879,315
 
 
 
Hewlett-Packard Company
 
19,500
 
 
798,915
 
 
 
International Business Machines Corporation
 
7,500
 
 
1,223,025
 
 
 
MasterCard Incorporated - Class A
 
3,000
 
 
755,160
 
 
 
Visa Inc. - Class A
 
8,000
 
 
588,960
 
 
 
 
 
 
 
4,967,425
 
 
24.2
%
 
 
 
 
 
 
 
MATERIALS
 
 
 
 
 
 
E.I. du Pont de Nemours and Company
 
17,500
 
 
961,975
 
 
 
Praxair, Inc.
 
10,000
 
 
1,016,000
 
 
 
 
 
 
 
1,977,975
 
 
9.7
%
 
 
 
 
 
 
 
Total Common Stocks
 
 
 
20,280,643
 
 
98.9
%
 
 
 
 
 
 
 
SHORT TERM INVESTMENT:
 
 
 
 
 
 
 
 
 
 
 
 
 
MONEY MARKET
 
 
 
 
 
 
JPMorgan U.S. Government Money Market Fund
 
 
 
70,728
 
 
0.3
%
 
 
 
 
 
 
 
Total Short Term Investment
 
 
 
70,728
 
 
0.3
%
 
 
 
 
 
 
 
TOTAL INVESTMENTS
 
 
 
20,351,371
 
 
99.2
%
 
 
 
 
 
 
 
OTHER ASSETS LESS LIABILITIES
 
 
 
157,085
 
 
0.8
%
 
 
 
 
 
 
 
TOTAL PARTICIPANTS’ EQUITY
 
 
 
$
20,508,456
 
 
100.0
%
 
(*)
All common stock holdings are of U.S. domiciled companies.
(**)
Denotes non-income producing holdings.
(***)
A trust consisting of approximately 20 common stocks.
 

3
 

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 Rule 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.
 
 

4
 

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/ THOMAS C. SCOTT
 
 
Thomas C. Scott
 
 
(Principal Executive Officer)
 
 
 
 
Date:
May 13, 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:
/s/ THOMAS C. SCOTT
 
 
Thomas C. Scott
 
 
(Principal Executive Officer)
 
 
 
 
Date:
May 13, 2011
 
 
By:
/s/ LAWRENCE J. BOYSEN
 
 
Lawrence J. Boysen
 
 
(Principal Financial and Accounting Officer)
 
 
 
 
Date:
May 13, 2011
 
 

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