N-Q 1 c61340nvq.htm FORM N-Q nvq
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: September 30, 2010

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.
 
Continental Assurance Company Separate Account (B)
Schedule of Investments (Unaudited)
 
                         
September 30, 2010   Number of             % of Net
(All investments are in securities of unaffiliated issuers)   Shares     Fair Value     Assets
 
                        
COMMON STOCKS:
                        
 
                        
CONSUMER DISCRETIONARY
                        
The Home Depot, Inc.
     20,000       $ 633,600           
Kohl’s Corporation(*)
     15,000        790,200           
Marriott International, Inc. - Class A
     31,337        1,122,805           
 
                      
 
             2,546,605        8.7 % 
 
                        
CONSUMER STAPLES
                        
The Coca-Cola Company
     20,000        1,170,400           
Costco Wholesale Corporation
     18,000        1,160,820           
CVS Caremark Corporation
     25,000        786,750           
Molson Coors Brewing Company - Class B
     16,500        779,130           
Philip Morris International Inc.
     15,000        840,300           
The Procter & Gamble Company
     14,000        839,580           
 
                      
 
             5,576,980        19.1 % 
 
                        
ENERGY
                        
Chesapeake Energy Corporation
     20,000        453,000        1.6 % 
 
                        
FINANCIALS
                        
JPMorgan Chase & Co.
     19,000        723,330           
Morgan Stanley
     30,000        740,400           
 
                      
 
             1,463,730        5.0 % 
 
                        
HEALTH CARE
                        
Abbott Laboratories
     16,500        861,960           
Gilead Sciences, Inc.(*)
     20,000        712,200           
Pharmaceutical HOLDRS (SM) Trust(***)
     12,500        809,500           
 
                      
 
             2,383,660        8.2 % 
 
                        
INDUSTRIALS
                        
CSX Corporation
     36,000        1,991,520           
Deere & Company
     15,000        1,046,700           
Fluor Corporation
     20,000        990,600           
General Electric Company
     35,000        568,750           
Illinois Tool Works Inc.
     20,000        940,400           
United Technologies Corporation
     16,000        1,139,680           
 
                      
 
             6,677,650        22.9 % 
 


          
(*)
   Denotes non–income producing holdings for the nine months ended September 30, 2010.
(**)
   Denotes non-U.S. domiciled companies.
(***)
   A trust consisting of approximately 20 common stocks.

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Continental Assurance Company Separate Account (B)
Schedule of Investments (Unaudited) - continued
 
                         
September 30, 2010   Number of             % of Net
(All investments are in securities of unaffiliated issuers)   Shares     Fair Value     Assets
 
                        
COMMON STOCKS – continued:
                        
 
                        
INFORMATION TECHNOLOGY
                        
Cisco Systems, Inc.(*)
     40,000        876,000           
Corning Incorporated
     35,000        639,800           
Google Inc. - Class A(*)
     3,000        1,577,370           
Hewlett-Packard Company
     30,000        1,262,100           
International Business Machines Corporation
     8,000        1,073,120           
MasterCard Incorporated - Class A
     5,000        1,120,000           
Visa Inc. - Class A
     15,000        1,113,900           
 
                      
 
             7,662,290        26.3 % 
 
                        
MATERIALS
                        
E.I. du Pont de Nemours and Company
     26,500        1,182,430           
Praxair, Inc.
     10,000        902,600           
 
                      
 
             2,085,030        7.2 % 
 
                      
 
                        
Total Common Stocks
             28,848,945        99.0 % 
 
                        
SHORT TERM INVESTMENT:
                        
 
                        
MONEY MARKET
                        
JPMorgan U.S. Government Money Market Fund
             232,246        0.8 % 
 
                      
 
                        
Total Short Term Investment
             232,246        0.8 % 
 
                      
 
                        
TOTAL INVESTMENTS
             29,081,191        99.8 % 
 
                        
OTHER ASSETS LESS LIABILITIES
             45,899        0.2 % 
 
                      
 
                        
TOTAL PARTICIPANTS’ EQUITY
            $ 29,127,090        100.0 % 
 
                      
 



          
(*)
  Denotes non–income producing holdings for the nine months ended September 30, 2010.
(**)
  Denotes non-U.S. domiciled companies.
(***)
  A trust consisting of approximately 20 common stocks.

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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.

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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:
  November 19, 2010
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:
  November 19, 2010
     
By:
  /s/ LAWRENCE J. BOYSEN
 
   
 
  Lawrence J. Boysen
 
  (Principal Financial and Accounting Officer)
 
    
Date:
  November 19, 2010

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