N-Q 1 d64763.htm COMPASS GLOBAL GOVTS. VARIABLE ACCOUNTS Global Governments Variable Account N-Q
UNITED STATES
 
SECURITIES AND EXCHANGE COMMISSION
 
Washington, D.C. 20549
 
FORM N-Q
 
QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF
REGISTERED MANAGEMENT INVESTMENT COMPANIES 
 
Investment Company Act file number 811-5450
 
GLOBAL GOVERNMENTS 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: March 31, 2006

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 
PORTFOLIO OF INVESTMENTS March 31, 2006 (Unaudited)
Global Governments Variable Account

Issuer Shares/Par   Value ($)  
 
BONDS - 80.2%                 
                 
Foreign Bonds - 59.5%                 
   
Austria - 1.7%                 
Republic of Austria, 5%, 2012    EUR   123,000   $ 159,987  
 
 
Belgium - 1.7%                 
Kingdom of Belgium, 3.75%, 2009    EUR   98,000   $ 119,932  
Kingdom of Belgium, 5%, 2012    EUR   34,000     44,309  
 
 
            $ 164,241  
 
 
Canada - 2.3%                 
Government of Canada, 4.5%, 2015    CAD   56,000   $ 48,808  
Quebec Province, 1.6%, 2013    JPY   20,000,000     168,184  
 
 
            $ 216,992  
 
 
Finland - 3.1%                 
Republic of Finland, 3%, 2008    EUR   181,000   $ 217,948  
Republic of Finland, 5.375%, 2013    EUR   57,000     76,374  
 
 
            $ 294,322  
 
 
France - 2.6%                 
Republic of France, 4.75%, 2012    EUR   69,000   $ 88,840  
Republic of France, 6%, 2025    EUR   67,000     103,117  
Republic of France, 4.75%, 2035    EUR   40,000     54,392  
 
 
            $ 246,349  
 
 
Germany - 15.3%                 
Federal Republic of Germany, 3.5%, 2008    EUR   48,000   $ 58,350  
Federal Republic of Germany, 5.25%, 2010    EUR   70,000     90,482  
Federal Republic of Germany, 3.75%, 2015    EUR   148,000     179,258  
Federal Republic of Germany, 6.25%, 2024    EUR   172,000     268,294  
Federal Republic of Germany, 6.25%, 2030    EUR   217,000     352,315  
KfW Bankengruppe, FRN, 2.563%, 2007    EUR   252,000     305,201  
Landesbank Baden-Wurttemberg, FRN, 2.508%, 2007    EUR   88,000     106,670  
Landesbank Baden-Wurttemberg, FRN, 2.704%, 2007    EUR   80,000     96,978  
 
 
            $ 1,457,548  
 
 
Ireland - 1.3%                 
Republic of Ireland, 4.25%, 2007    EUR   66,000   $ 81,205  
Republic of Ireland, 4.6%, 2016    EUR   29,000     37,521  
 
 
            $ 118,726  
 
 
Japan - 8.4%                 
Development Bank of Japan, 1.4%, 2012    JPY   30,000,000   $ 252,434  
Development Bank of Japan, 1.6%, 2014    JPY   50,000,000     420,697  
Development Bank of Japan, 1.05%, 2023    JPY   18,000,000     131,190  
 
 
            $ 804,321  
 
 
Luxembourg - 0.3%                 
Gaz Capital S.A., 8.625%, 2034      $ 10,000   $ 12,300  
Gazprom International S.A., 7.201%, 2020        16,000     16,712  
 
 
            $ 29,012  
 
 
Malaysia - 1.2%                 
Petronas Capital Ltd., 7.875%, 2022      $ 100,000   $ 118,595  
 
 
Mexico - 0.7%                 
United Mexican States, 8.125%, 2019      $ 54,000   $ 63,450  
 
 
Netherlands - 0.9%                 
Kingdom of Netherlands, 5%, 2012    EUR   65,697   $ 85,545  
 
 
New Zealand - 4.4%                 
Government of New Zealand, 6.5%, 2013    NZD   517,000   $ 332,625  
Government of New Zealand, 6%, 2017    NZD   142,000     89,302  
 
 
            $ 421,927  
 
 
Spain - 1.3%                 
Kingdom of Spain, 5.35%, 2011    EUR   94,000   $ 123,570  
 
 
United Kingdom - 14.3%                 
Network Rail MTN Finance PLC, FRN, 2.628%, 2007    EUR   218,000   $ 264,229  
United Kingdom Treasury, 5.75%, 2009    GBP   235,000     425,475  
United Kingdom Treasury, 5%, 2012    GBP   81,000     144,768  
United Kingdom Treasury, 8%, 2015    GBP   210,000     468,000  
United Kingdom Treasury, 4.25%, 2036    GBP   36,000     64,226  
 
 
            $ 1,366,698  
 
 
Total Foreign Bonds            $ 5,671,283  
 
 
U.S. Bonds - 20.7%                 
   
Asset Backed & Securitized - 7.7%                 
Commercial Mortgage Asset Trust, FRN, 0.8832%, 2032 (a)(i)      $ 1,420,272   $ 60,576  
Commercial Mortgage Pass-Through Certificate, FRN, 4.9388%, 2017 (a)        59,000     58,993  
Commercial Mortgage Pass-Through Certificates, FRN, 4.9488%, 2017 (a)        100,000     99,946  
Deutsche Mortgage & Asset Receiving Corp., 6.538%, 2031        38,438     39,035  
First Union National Bank Commercial Mortgage Trust, FRN, 0.9549%, 2043 (a)(i)        1,635,511     62,479  
IMPAC CMB Trust, FRN, 5.1681%, 2036        99,230     99,230  

1  

 
PORTFOLIO OF INVESTMENTS March 31, 2006 (Unaudited) - continued
Global Governments Variable Account

Issuer Shares/Par   Value ($)  
 
BONDS - continued                 
                 
U.S. Bonds - continued                 
                 
Asset Backed & Securitized - continued                 
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN, 5.2131%, 2041      $ 55,952   $ 54,821  
J.P. Morgan Chase Commercial Mortgage Securities Corp., FRN, 4.9488%, 2046        52,080     52,101  
Lehman Brothers Floating Rate Commercial Mortgage Trust, FRN, 4.9088%, 2018 (a)        100,000     99,989  
Wachovia Bank Commercial Mortgage Trust, FRN, 4.9888%, 2015 (a)        83,496     83,547  
Wachovia Bank Commercial Mortgage Trust, FRN, 5.0388%, 2015 (a)        22,101     22,108  
 
 
            $ 732,825  
 
 
Emerging Market Quasi-Sovereign - 0.3%                 
Pemex Project Funding Master Trust, 8.625%, 2022      $ 23,000   $ 27,140  
 
 
Municipals - 1.0%                 
Honolulu, HI, City & County Rev., "A", MBIA, 5%, 2015      $ 85,000   $ 90,896  
 
 
U.S. Government Agencies - 7.8%                 
Aid-Egypt, 4.45%, 2015        49,000   $ 46,346  
Fannie Mae, 4.25%, 2007        171,000     168,804  
Freddie Mac, 4.2%, 2007        99,000     97,584  
Small Business Administration, 4.76%, 2025        72,450     68,760  
Small Business Administration, 5.36%, 2025        115,000     113,589  
Small Business Administration, 5.21%, 2026        120,000     117,294  
Small Business Administration, 5.35%, 2026        90,000     88,749  
Small Business Administration, 5.57%, 2026        46,000     45,992  
 
 
            $ 747,118  
 
 
U.S. Treasury Obligations - 3.9%                 
U.S. Treasury Bonds, 8%, 2021      $ 61,000   $ 80,129  
U.S. Treasury Notes, 3.125%, 2008 (f)        101,000     96,936  
U.S. Treasury Notes, 4.25%, 2013        98,000     94,126  
U.S. Treasury Notes, 4%, 2015        108,000     101,212  
 
 
            $ 372,403  
 
 
Total U.S. Bonds            $ 1,970,382  
 
 
    Total Bonds            $ 7,641,665  
 
 
PUT OPTIONS PURCHASED - 0%                 
USD - April 2006 @ EUR - 1.21      $ 187,550   $ 1,872  
 
 
SHORT-TERM OBLIGATIONS - 9.2%                 
Federal Home Loan Discount Note, 4.61%, due 4/03/06 (y)      $ 878,000   $ 877,775  
 
 
REPURCHASE AGREEMENTS - 9.0%                 
Merrill Lynch, 4.75%, dated 3/31/06, due 4/03/06, total to be                 
received $430,170 (secured by various U.S. Treasury and Federal                 
Agency obligations in a jointly traded account)       $ 430,000   $ 430,000  
Morgan Stanley, 4.81%, dated 3/31/06, due 4/03/06, total to be                 
received $430,172 (secured by various U.S. Treasury and Federal                 
Agency obligations in a jointly traded account)        430,000     430,000  
 
 
    Total Repurchase Agreements            $ 860,000  
 
 
    Total Investments            $ 9,381,312  
 
 
OTHER ASSETS, LESS LIABILITIES - 1.6%              155,466  
 
 
    NET ASSETS - 100.0%            $ 9,536,778  
 
 
(a) SEC Rule 144A restriction.
(f) All or a portion of the security has been segregated as collateral for an open futures contract.
(i) Interest only security for which the fund receives interest on notional principal (Par amount). Par amount shown is the notional principal and does not reflect the cost of the security.
(y) The rate shown represents an annualized yield at time of purchase.

The following abbreviations are used in the Portfolio of Investments and are defined:
FRN Floating Rate Note. The interest rate is the rate in effect as of period end.

Insurers
MBIA MBIA Insurance Corp.

Abbreviations have been used throughout this report to 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
CHF Swiss Franc
DKK Denmark Kroner
EUR Euro
GBP British Pound
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
NZD New Zealand Dollar
SEK Swedish Kroner

See attached schedules.

For more information see notes to financial statements as disclosed in the most recent semiannual or annual report.

2  

 

Global Governments Variable Account
Supplemental Schedules (Unaudited) 03/31/2006

(2) Financial Instruments
      Derivatives

Forward Foreign Currency Exchange Contracts

Sales and Purchases in the table below are reported by currency.

Contracts to
Deliver/Receive		   Settlement Date In Exchange For   Contracts
at Value		   Net Unrealized Appreciation (Depreciation)  
Sales                  
   AUD   34,102   04/18/06   $ 24,104   $ 24,438   $ (334)  
   CAD   85,998   4/10/06-5/15/06     74,618     73,652     966  
   CHF   2,272   04/18/06     1,750     1,747     3  
   EUR   496,016   4/18/06-5/17/06     593,836     602,110     (8,274)  
   GBP   342,613   06/05/06     599,319     595,441     3,878  
   JPY   4,954,546   05/17/06     43,000     42,375     625  
   MXN   280,368   04/24/06     25,416     25,696     (280)  
   NZD   902,440   04/07/06     617,677     555,348     62,329  
   SEK   558,443   4/07/06-5/10/06     70,839     71,939     (1,100)  
            $ 2,050,559   $ 1,992,746   $ 57,813  
 
Purchases  
   AUD   167,610   4/07/06-4/18/06   $ 124,121   $ 120,125   $ (3,996)  
   CAD   195,941   05/15/06     169,751     167,922     (1,829)  
   CHF   66,001   04/18/06     50,809     50,736     (73)  
   DKK   612,750   05/10/06     98,355     99,762     1,407  
   EUR   602,134   4/18/06-5/17/06     726,694     731,515     4,821  
   GBP   16,655   06/05/06     29,168     28,945     (223)  
   JPY   288,959,804   4/20/06-5/17/06     2,478,223     2,471,208     (7,015)  
   MXN   280,368   04/24/06     25,883     25,696     (187)  
   NOK   386,422   05/10/06     57,693     59,094     1,401  
   NZD   201,684   04/07/06     136,277     124,113     (12,164)  
   SEK   1,215,264   4/07/2006-5/10/06     158,997     156,294     (2,703)  
            $ 4,055,971   $ 4,035,410   $ (20,561)  

At March 31, 2006 forward foreign currency purchases and sales under master netting agreements excluded above amounted to a net receivable of $221 with Merrill Lynch International.

Futures Contracts

    Contracts     Value     Expiration Date   Unrealized Appreciation (Depreciation)  
  
U.S. Treasury Note 10 yr (Short)   1   $ 106,391     Jun-06   $ 1,184  
  

At March 31, 2006 the variable account had sufficient cash and/or securities to cover any commitments under these derivative contracts.

3  

 

Global Governments Variable Account
Supplemental Schedules (Unaudited) 03/31/2006 - continued

(2) Country Weightings

Country weighting percentages of portfolio holdings based on total net assets as of March 31, 2006 are as follows:

United States 39.4%
Germany 15.4%
Great Britain 14.5%
Japan 8.5%
New Zealand 4.5%
Finland 3.2%
France 2.6%
Canada 2.3%
Belgium 1.7%
Others 7.9%

The country weighting percentages include both accrued interest amounts and the equivalent exposure from any derivative holdings, if applicable.

4  

 

ITEM 2. 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 Form N-Q, 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 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.

File as exhibits as part of this Form 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.

 

Notice

A copy of the Amended and Restated Declaration of Trust of the Registrant is on file with the Secretary of State of the Commonwealth of Massachusetts and notice is hereby given that this instrument is executed on behalf of the Registrant by an officer of the Registrant as an officer and not individually and the obligations of or arising out of this instrument are not binding upon any of the Trustees or shareholders individually, but are binding only upon the assets and property of the respective constituent series of the Registrant.


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: GLOBAL GOVERNMENTS VARIABLE ACCOUNT


By (Signature and Title)* MARIA F. DWYER  
  Maria F. Dwyer, President  

Date: May 23, 2006

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. DWYER  
  Maria F. Dwyer, President (Principal Executive Officer)  

Date: May 23, 2006


By (Signature and Title)* TRACY ATKINSON  
  Tracy Atkinson, Treasurer (Principal Financial Officer and Accounting Officer)  

Date: May 23, 2006


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