<PAGE>
This report has been prepared for the infor-
mation of participants of CG Variable Annuity
Accounts I & II pursuant to variable annuity
contracts issued by Connecticut General
Life Insurance Company and is not author-
tized for distribution to prospective investors
unless preceded or accompanied by current
prospectuses of both the annuity account
under discussion and the CIGNA Variable
Products S&P 500 Index Fund.
- -----------------------------------------------
CIGNA Variable Products S&P 500 Index Fund
(formally Companion Fund) was organized by
Connecticut General Life Insurance Company in
1968. The name of the Fund was changed in
January 1996 from Companion Fund to CIGNA
Variable Products S&P 500 Index Fund to better
reflect the Fund's investment strategy. Both
CIGNA Investments, Inc. and CIGNA Financial
Advisors, Inc. are affiliates of Connecticut
General Life Insurance Company.
CG Variable Annuity
Accounts I & II
CIGNA Variable Products
S&P 500 Index Fund
- -----------------------------------------------
Semiannual Report
- -----------------------------------------------
June 30, 1996
CG Flexible Annuity
CG Variable Annuity
[CIGNA LOGO APPEARS HERE]
<PAGE>
CG VARIABLE ANNUITY ACCOUNTS I & II
Dear Investor:
We're pleased to provide you with this semiannual report for Connecticut General
Variable Annuity Accounts I and II for the six months ended June 30, 1996.
Following is a summary of key performance results:
For qualified Contractholders
. Accumulation Unit Values for the Flexible Annuity increased 9.26% from the
December 31, 1995 level, from $101.272 to $110.650.
. For all other qualified individual contracts, Accumulation Unit Values
increased 9.45%, from $106.339 to $116.389.
. Accumulation Unit Values for Group Qualified Contracts with 50 participants
or more increased 9.72% from $121.763 to $133.603 during the period from
January 1, 1996 to June 30, 1996.
. Over the last five years (June 30, 1991 to June 30, 1996), the Unit Values
for Group Qualified Contracts with 50 participants or more increased 90%.
For Non-Qualified Contractholders
. Accumulation Unit Values for the Flexible Annuity increased 9.26% from the
December 31, 1995 level, from $89.312 to $97.582.
. For all other non-qualified individual contracts, Accumulation Unit Values
increased 9.45%, from $94.390 to $103.311.
. Accumulation Unit Values for Group Non-Qualified Contracts increased 9.72%
from $108.072 to $118.581 during the period from January 1, 1996 to June 30,
1996.
. Over the last five years (June 30, 1991 to June 30, 1996), the Unit Values
for Group Non-Qualified Contracts increased 90%.
In addition to the financial statements for your annuity contracts, this report
includes in the financial statements and a list of holdings for the CIGNA
Variable Products S&P 500 Index Fund (formerly Companion Fund), the mutual fund
supporting Variable Annuity Accounts I & II.
Thank you for letting us serve your investment needs. We look forward to our
continuing relationship in the coming years.
/s/Thomas C. Jones
Thomas C. Jones
President
CIGNA Individual Insurance
/s/Byron D. Oliver
Byron D. Oliver
President,
CIGNA Retirement & Investment Services
1
<PAGE>
CG VARIABLE ANNUITY ACCOUNT I
Statement of
Assets and Liabilities
Unaudited
June 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investment in CIGNA Variable Products S&P 500 Index Fund
(formerly Companion Fund) at net asset value, 5,156,856
shares at $11.81 per share (cost $52,212,905;
unrealized appreciation $8,689,566) $60,902,471
-----------
Total assets 60,902,471
-----------
LIABILITIES:
Payable to Connecticut General Life Insurance Company 7,191
-----------
Total liabilities 7,191
-----------
NET ASSETS $60,895,280
===========
</TABLE>
NET ASSETS REPRESENTED BY:
<TABLE> <CAPTION>
Accumulation Unit
Units Value
-------------- -------
<S> <C> <C> <C>
Group contracts:
50 participants or more 254,170 $133.603 $33,957,911
Less than 50 participants 41,188 124.672 5,134,960
Tax deferred annuity con-
tracts issued after
May 1, 1976 109,212 109.900 12,002,405
Individual contracts:
Variable annuity contracts 19,689 116.389 2,291,581
Flexible annuity contracts 17,082 110.650 1,890,076
Reserve for variable annuity
contracts in distribution
period 5,618,347
-----------
$60,895,280
===========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
2
<PAGE>
CG VARIABLE ANNUITY ACCOUNT I
Statement of
Changes in Net Assets
Unaudited
Six months ended June 30, 1996
<TABLE>
<CAPTION>
FROM OPERATIONS:
<S> <C>
Investment loss--net $ (124,450)
Realized gain on investments--net 207,243
Change in unrealized appreciation
on investments--net 5,373,628
-----------
Increase in net assets resulting
from operations 5,456,421
-----------
FROM UNIT TRANSACTIONS:
Participant contributions--net 415,030
Amount transferred out of Account--net (264,443)
Withdrawal of funds on terminated contracts--net (2,304,159)
Annuity benefit distributions (418,777)
Mortality guarantee adjustment (2,079)
Equalization adjustment (1,741)
-----------
Decrease in net assets derived
from unit transactions (2,576,169)
-----------
INCREASE IN NET ASSETS 2,880,252
NET ASSETS:
Beginning of period 58,015,028
-----------
End of period $60,895,280
===========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
3
<PAGE>
CG VARIABLE ANNUITY ACCOUNT I
Statement of
Operations
Unaudited
Six months ended June 30, 1996
<TABLE>
<S> <C>
INVESTMENT LOSS:
Dividends $ --
Expenses:
Mortality and expense risk 124,450
----------
Investment Loss -- Net (124,450)
----------
REALIZED GAIN ON INVESTMENTS:
Proceeds from sale of shares 3,071,286
Cost of shares sold 2,864,043
----------
Realized gain from security
transactions -- net 207,243
Capital gains distribution --
----------
Realized Gain on
Investments -- Net 207,243
----------
UNREALIZED APPRECIATION
ON INVESTMENTS:
Beginning of period 3,315,938
End of period 8,689,566
----------
Change in Unrealized Appreciation
on Investments -- Net 5,373,628
----------
INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $5,456,421
==========
RATIO OF EXPENSES TO AVERAGE NET ASSETS .209%
RATIO OF NET INVESTMENT LOSS TO AVERAGE
NET ASSETS (.209%)
NUMBER OF ACCUMULATION UNITS OUTSTANDING
AT END OF PERIOD 441,341
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
4
<PAGE>
CG VARIABLE ANNUITY ACCOUNT I
Notes to
Financial Statements
(Unaudited)
The Account is registered as a Unit Investment Trust under the Investment
Company Act of 1940, as amended. The operations of the Account are part of the
operations of Connecticut General Life Insurance Company (CG Life).
1. The following is a summary of significant accounting policies consistently
applied in the preparation of the Account's financial statements:
A. The investment in CIGNA Variable Products S&P 500 Index Fund (known as the
Companion Fund prior to January 2, 1996) (Fund) shares is valued at the
closing net asset value per share as determined by the Fund on June 30, 1996.
The Fund was organized by CG Life in 1968.
B. The amount of the reserve for contracts in the distribution period is
determined by actuarial assumptions which meet statutory requirements. Gains
or losses resulting from actual mortality experience, the full responsibility
for which is assumed by CG Life, are offset by transfers to or from CG Life.
C. Investment transactions are accounted for on the trade date (date the
order to buy or sell is executed), and income is recorded on the ex-dividend
date. Cost of investments sold is determined on the basis of the last-in,
first-out method.
D. The operations of the Account are included in, and taxed as part of, CG
Life's tax return, which is taxed as a life insurance company. Under Internal
Revenue Code Section 817 there is no taxable income attributable to the
Account.
2. Under the terms of the annuity contracts, the Individual participant can
elect either a fixed or variable annuity benefit at retirement. The Group
participant can elect either a fixed or variable annuity benefit during the
accumulation phase and at retirement. The assets providing for the variable
annuity benefit will be invested in the Fund, and the fixed annuity contract
will be purchased from the Account's sponsor, CG Life.
<TABLE>
<CAPTION>
Six Months Ended
June 30, 1996
----------------
<S> <C>
Transfers to CG Life
for purchase of fixed
annuity contracts during
accumulation phase
(included in net
amount transferred
out of Account) $ 318,370
Transfers from CG Life
for purchase of variable
annuity contracts during
accumulation phase
(included in net
amount transferred
out of Account) $ 53,927
Transfers from
accumulation period
to distribution period $ 167,631
</TABLE>
3. The cost of investments represents the accumulated cost of Fund shares
purchased by the Account at net asset value with net participant contributions
received and from reinvestment of all distributions made by the Fund.
4. Participant contributions are net of mortality and expense risk charges,
which generally range from 0.25% to 0.60%, depending on contract size, premium
taxes (if any), and sales load of $13,542 and $13,863 for the six months ended
June 30, 1996 and 1995, respectively. These amounts are deducted from partici-
pant contributions and paid to CG Life in accordance with the contract.
5. Withdrawal of funds on terminated contracts is net of administrative
charges of $9,857 and $10,539 for the six months ended June 30, 1996 and 1995,
respectively. These amounts are paid to CG Life in accordance with the contract.
6. Contracts are sold primarily by persons who are insurance agents of or
brokers for CG Life authorized by applicable law to sell life and other forms of
personal insurance and who are similarly authorized to sell variable annuities.
These persons are for the most part registered representatives of CIGNA
Financial Advisors, Inc.
5
<PAGE>
CG VARIABLE ANNUITY ACCOUNT I
Notes to
Financial Statements (Unaudited)
(Continued)
7. ACCUMULATION UNITS INFORMATION
<TABLE>
<CAPTION>
SCHEDULE OF SELECTED PER-UNIT DATA
----------------------------------
June 30, December 31,
-------- -----------------------------------------
Group Contracts: 1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
50 participants or more:
Net asset value:
----------------------------------
Beginning of period $121.763 $ 89.219 $ 88.848 $ 86.503 $ 83.718
End of period 133.603 121.763 89.219 88.848 86.503
-------- -------- -------- -------- --------
Net increase in net asset
value resulting from operations $ 11.840 $ 32.544 $ 0.371 $ 2.345 $ 2.785
======== ======== ======== ======== ========
Accumulation units outstanding:
----------------------------------
End of period 254,170 261,172 308,233 353,129 403,359
======== ======== ======== ======== ========
Less than 50 participants:
Net asset value:
---------------------------------
Beginning of period $113.772 $ 83.580 $ 83.449 $ 81.459 $ 79.044
End of period 124.672 113.772 83.580 83.449 81.459
-------- -------- -------- -------- --------
Net increase in net asset
value resulting from operations $ 10.900 $ 30.192 $ 0.131 $ 1.990 $ 2.415
======== ======== ======== ======== ========
Accumulation units outstanding:
---------------------------------
End of period 41,188 45,992 50,443 52,486 63,109
======== ======== ======== ======== ========
Tax-deferred annuity contracts
issued after May 1, 1976:
Net asset value:
---------------------------------
Beginning of period $100.335 $ 73.775 $ 73.725 $ 72.031 $ 69.957
End of period 109.900 100.335 73.775 73.725 72.031
-------- -------- -------- -------- --------
Net increase in net asset
value resulting from operations $ 9.565 $ 26.560 $ 0.050 $ 1.694 $ 2.074
======== ======== ======== ======== ========
Accumulation units outstanding:
---------------------------------
End of period 109,212 115,290 121,840 124,827 128,504
======== ======== ======== ======== ========
</TABLE>
6
<PAGE>
CG VARIABLE ANNUITY ACCOUNT I
Notes to
Financial Statements (Unaudited)
(Continued)
7. ACCUMULATION UNITS INFORMATION (Continued)
<TABLE>
<CAPTION>
SCHEDULE OF SELECTED PER-UNIT DATA
----------------------------------
June 30, December 31,
-------- -----------------------------------------
Individual Contracts: 1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Variable annuity contracts:
Net asset value:
----------------------------------
Beginning of period $106.339 $ 78.306 $ 78.370 $ 76.684 $ 74.589
End of period 116.389 106.339 78.306 78.370 76.684
-------- -------- -------- -------- --------
Net increase (decrease) in net asset
value resulting from operations $ 10.050 $ 28.003 $ (0.064) $ 1.686 $ 2.095
======== ======== ======== ======== ========
Accumulation units outstanding:
----------------------------------
End of period 19,689 19,685 23,011 30,646 44,003
======== ======== ======== ======== ========
Flexible annuity contracts:
Net asset value:
----------------------------------
Beginning of period $101.272 $ 74.835 $ 75.158 $ 73.800 $ 72.035
End of period 110.650 101.272 74.835 75.158 73.800
-------- -------- -------- -------- --------
Net increase (decrease) in net asset
value resulting from operations $ 9.378 $ 26.437 $ (0.323) $ 1.358 $ 1.765
======== ======== ======== ======== ========
Accumulation units outstanding:
----------------------------------
End of period 17,082 17,502 19,687 22,970 25,148
======== ======== ======== ======== ========
</TABLE>
8. DIVERSIFICATION REQUIREMENTS
Under the provisions of Section 817(h) of the Internal Revenue Code (Code), a
variable annuity contract, other than a contract issued in connection with
certain types of employee benefit plans, will not be treated as an annuity
contract for federal tax purposes for any period for which the investments of
the segregated asset account on which the contract is based are not adequately
diversified. The Code provides that the "adequately diversified" requirement may
be met if the underlying investments satisfy either a statutory safe harbor test
or diversification requirements, as set forth in regulations issued by the
Secretary of the Treasury.
The Secretary of Treasury has issued regulations under Section 817(h) of the
Code. CG Life believes that the Account satisfies the current requirements of
the regulations, and it intends that the Account will continue to meet such
requirements.
7
<PAGE>
CG VARIABLE ANNUITY ACCOUNT II
Statement of
Assets and Liabilities
Unaudited
June 30, 1996
<TABLE>
<S> <C>
ASSETS:
Investment in CIGNA Variable Products S&P 500 Index
Fund (formerly Companion Fund) at net asset value,
556,341 shares at $11.81 per share (cost $6,333,215;
unrealized depreciation $237,173) $6,570,388
----------
Total assets 6,570,388
----------
LIABILITIES:
Payable from Connecticut General Life Insurance
Company 7,525
----------
Total liabilities 7,525
----------
NET ASSETS $6,562,863
==========
</TABLE>
<TABLE>
<CAPTION>
NET ASSETS REPRESENTED BY:
Accumulation Unit
Units Value
------------ --------
<S> <C> <C> <C>
Group contracts 6,482 $118.581 $ 768,587
Individual contracts:
Variable annuity
contracts 8,539 103.311 882,210
Flexible annuity
contracts 22,410 97.582 2,186,818
Reserve for variable
annuity contracts in
distribution period 2,725,248
----------
$6,562,863
==========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
8
<PAGE>
CG VARIABLE ANNUITY ACCOUNT II
Statement of
Changes in Net Assets
Unaudited
Six months ended June 30, 1996
<TABLE>
<CAPTION>
FROM OPERATIONS:
<S> <C>
Investment loss -- net $ (27,950)
Realized gain on investments -- net 110,815
Change in unrealized depreciation
on investments -- net 520,583
----------
Increase in net assets resulting
from operations 603,448
----------
FROM UNIT TRANSACTIONS:
Participant contributions -- net 3,623
Withdrawal of funds on terminated contracts -- net (447,908)
Annuity benefit distributions (202,313)
Mortality guarantee adjustment (211,400)
Equalization adjustment 10
----------
Decrease in net assets derived
from unit transactions (857,988)
----------
DECREASE IN NET ASSETS (254,540)
NET ASSETS:
Beginning of period 6,817,403
----------
End of period $6,562,863
==========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
9
<PAGE>
CG VARIABLE ANNUITY ACCOUNT II
Statement of
Operations
Unaudited
Six months ended June 30, 1996
INVESTMENT LOSS:
Dividends $ --
Expenses:
Mortality and expense risk 27,950
----------
Investment Loss -- Net (27,950)
----------
REALIZED GAIN ON INVESTMENTS:
Proceeds from sale of shares 879,634
Cost of shares sold 768,819
----------
Realized gain from security
transactions -- net 110,815
Capital gains distribution --
----------
Realized Gain on
Investments -- Net 110,815
----------
UNREALIZED DEPRECIATION ON INVESTMENTS:
Beginning of period (757,756)
End of period (237,173)
----------
Change in Unrealized Depreciation
on Investments -- Net 520,583
----------
INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS--NET $ 603,448
==========
RATIO OF EXPENSES TO AVERAGE NET ASSETS .418%
RATIO OF NET INVESTMENT LOSS TO AVERAGE
NET ASSETS (.418%)
NUMBER OF ACCUMULATION UNITS OUTSTANDING
AT END OF PERIOD 37,431
The Notes to Financial Statements are an integral part of these statements.
10
<PAGE>
CG VARIABLE ANNUITY ACCOUNT II
Notes to
Financial Statements
(Unaudited)
The Account is registered as a Unit Investment Trust under the Investment
Company Act of 1940, as amended. The operations of the Account are part of the
operations of Connecticut General Life Insurance Company (CG Life).
1. The following is a summary of significant accounting policies consistently
applied in the preparation of the Account's financial statements:
A. The investment in CIGNA Variable Products S&P 500 Index Fund (known as
the Companion Fund prior to January 2, 1996) (Fund) shares is valued at the
closing net asset value per share as determined by the Fund on June 30,
1996. The Fund was organized by CG Life in 1968.
B. The amount of the reserve for contracts in the distribution period is
determined by actuarial assumptions which meet statutory requirements. Gains
or losses resulting from actual mortality experience, the full
responsibility for which is assumed by CG Life, are offset by transfers to
or from CG Life.
C. Investment transactions are accounted for on the trade date (date the
order to buy or sell is executed), and income is recorded on the ex-dividend
date. Cost of investments sold is determined on the basis of the last-in,
first-out method.
D. The operations of the Account are included in, and taxed as part of, CG
Life's tax return, which is taxed as a life insurance company. Under
Internal Revenue Code Section 817 there is no taxable income attributable to
the Account.
2. Under the terms of the annuity contracts, the individual participant can
elect either a fixed or variable annuity benefit at retirement. The Group
participant can elect either a fixed or variable annuity benefit during the
accumulation phase and at retirement. The assets providing for the variable
annuity benefit will be invested in the Fund, and the fixed annuity contract
will be purchased from the Account's sponsor, CG Life. There were no transfers
from accumulation period to distribution period during 1996 or 1995.
3. The cost of investments represents the accumulated cost of Fund shares
purchased by the Account at net asset value with net participant contributions
received and from reinvestment of all distributions made by the Fund.
4. Participant contributions are net of mortality and expense risk charges,
which generally range from 0.25% to 0.50%, depending on contract size, premium
taxes (if any), and sales load of $207 and $216 for the six months ended June
30, 1996 and 1995 respectively. These amounts are deducted from participant
contributions and paid to CG Life in accordance with the contract.
5. Withdrawal of funds on terminated contracts is net of administrative charges
of $417 and $448 for the six months ended June 30, 1996 and 1995, respectively.
These amounts are paid to CG Life in accordance with the contract.
6. Contracts are sold primarily by persons who are insurance agents of or
brokers for CG Life authorized by applicable law to sell life and other forms of
personal insurance and who are similarly authorized to sell variable annuities.
These persons are for the most part registered representatives of CIGNA
Financial Advisors, Inc.
11
<PAGE>
CG VARIABLE ANNUITY ACCOUNT II
Notes to
Financial Statements (Unaudited)
(Continued)
7. ACCUMULATION UNITS INFORMATION
SCHEDULE OF SELECTED PER-UNIT DATA
----------------------------------
<TABLE>
<CAPTION>
June 30, December 31,
-------- --------------------------------------------
Group Contracts: 1996 1995 1994 1993 1992
-------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C>
Net asset value:
-------------------------------------
Beginning of period $108.072 $ 79.187 $ 78.857 $ 76.776 $ 74.305
End of period 118.581 108.072 79.187 78.857 76.776
-------- -------- -------- -------- --------
Net increase in net asset value
resulting from operations $ 10.509 $ 28.885 $ 0.330 $ 2.081 $ 2.471
======== ======== ======== ======== ========
Accumulation units outstanding:
-------------------------------------
End of period 6,482 6,864 6,819 6,987 8,563
======== ======== ======== ======== ========
Individual Contracts:
Variable annuity contracts:
Net asset value:
-------------------------------------
Beginning of period $ 94.390 $ 69.507 $ 69.564 $ 68.068 $ 66.208
End of period 103.311 94.390 69.507 69.564 68.068
-------- -------- -------- -------- --------
Net increase (decrease) in net asset
value resulting from operations $ 8.921 $ 24.883 $ (0.057) $ 1.496 $ 1.860
======== ======== ======== ======== ========
Accumulation units outstanding:
-------------------------------------
End of period 8,539 8,566 8,823 11,050 11,433
======== ======== ======== ======== ========
Flexible annuity contracts:
Net asset value:
-------------------------------------
Beginning of period $ 89.312 $ 65.997 $ 66.282 $ 65.084 $ 63.528
End of period 97.582 89.312 65.997 66.282 65.084
-------- -------- -------- -------- --------
Net increase (decrease) in net asset
value resulting from operations $ 8.270 $ 23.315 $ (0.285) $ 1.198 $ 1.556
======== ======== ======== ======== ========
Accumulation units outstanding:
-------------------------------------
End of period 22,410 26,647 27,762 30,391 33,228
======== ======== ======== ======== ========
</TABLE>
12
<PAGE>
CG VARIABLE ANNUITY ACCOUNT II
Notes to
Financial Statements (Unaudited)
(Continued)
8. DIVERSIFICATION REQUIREMENTS
Under the provisions of Section 817(h) of the Internal Revenue Code (Code), a
variable annuity contract, other than a contract issued in connection with
certain types of employee benefit plans, will not be treated as an annuity
contract for federal tax purposes for any period for which the investments of
the segregated asset account on which the contract is based are not adequately
diversified. The Code provides that the "adequately diversified" requirement may
be met if the underlying investments satisfy either a statutory safe harbor test
or diversification requirements as set forth in regulations issued by the
Secretary of the Treasury.
The Secretary of Treasury has issued regulations under Section 817(h) of the
Code. CG Life believes that the Account satisfies the current requirements of
the regulations, and it intends that the Account will continue to meet such
requirements.
13
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Investments in Securities
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Number of Market
Shares Value
<S> <C> <C>
COMMON STOCKS - 92.6%
General Electric Co. 21,000 $1,816,500
Coca-Cola Co. 31,600 1,544,450
Exxon Corp. 15,600 1,355,250
AT&T Corp. 20,100 1,246,200
Philip Morris Companies, Inc. 10,500 1,092,000
Royal Dutch Petroleum Co. 6,700 1,030,125
Merck & Co., Inc. 15,500 1,001,688
Microsoft Corp. 7,500 900,938
Johnson & Johnson 16,800 831,600
Procter & Gamble Co. 8,600 779,375
Intel Corp. 10,300 756,406
Wal-Mart Stores, Inc. 28,900 733,337
International Business Machines Corp. 7,200 712,800
PepsiCo. Inc. 19,800 700,425
Hewlett-Packard Co. 6,400 637,600
American International Group, Inc. 5,950 586,819
Bristol-Myers Squibb Co. 6,400 576,000
Pfizer, Inc. 8,000 571,000
Mobil Corp. 5,000 560,625
du Pont (E.I.) de Nemours & Co. 7,000 553,875
Disney (Walt) Co. 8,800 553,300
GTE Corp. 12,200 545,950
BellSouth Corp. 12,500 529,688
Citicorp 6,100 504,012
General Motors Corp. 9,400 492,325
Chevron Corp. 8,200 483,800
Ford Motor Co. 14,700 475,913
American Home Products Corp. 7,800 468,975
Motorola, Inc. 7,400 465,275
Federal National Mortgage Assoc. 13,700 458,950
Amoco Corp. 6,300 455,962
Lilly (Eli) & Co. 6,900 448,500
Abbott Laboratories 9,900 430,650
Ameritech Corp. 7,000 415,625
McDonald's Corp. 8,800 411,400
Cisco Systems, Inc. 7,000 396,375
Chase Manhattan Corp. 5,492 387,873
SBC Communications, Inc. 7,700 379,225
Boeing Company 4,300 374,637
Minnesota Mining & Mfg. Co. 5,300 365,700
BankAmerica Corp. 4,700 356,025
Bell Atlantic Corp. 5,500 350,625
Gillette Co. 5,600 349,300
Eastman Kodak Co. 4,300 334,325
Home Depot, Inc. 6,000 324,000
Oracle Systems Corp. 8,175 322,402
NationsBank Corp. 3,700 305,713
Wells Fargo & Co. 1,266 302,416
Columbia/HCA Healthcare Corp. 5,600 298,900
Chrysler Corp. 4,800 297,600
Unilever NY 2,000 290,250
Schering-Plough Corp. 4,600 288,650
Pharmacia & Upjohn, Inc. 6,310 280,006
Texaco, Inc. 3,300 276,788
American Express Company 6,100 272,212
Kimberly-Clark Corp. 3,516 271,611
Travelers Group, Inc. 5,920 270,100
NYNEX Corp. 5,400 256,500
Allstate Corp. 5,598 255,409
Emerson Electric Co. 2,800 253,050
Schlumberger Ltd. 3,000 252,750
Dow Chemical Co. 3,300 250,800
Monsanto Company 7,500 243,750
Anheuser-Busch Companies, Inc. 3,200 240,000
Sears, Roebuck & Company 4,900 238,263
Atlantic Richfield Co. 2,000 237,000
Sprint Corp. 5,500 231,000
Xerox Corp. 4,200 224,700
First Data Corp. 2,800 222,950
First Union Corp. 3,620 220,367
MCI Communications Corp. 8,533 218,658
Campbell Soup Company 3,100 218,550
Computer Assoc. International, Inc. 3,050 217,312
Lockheed Martin Corp. 2,530 212,520
Southern Company 8,400 206,850
Allied-Signal, Inc. 3,600 205,650
Morgan (J.P.) & Co. 2,400 203,100
WMX Technologies, Inc. 6,100 199,775
Kellogg Co. 2,700 197,775
Sara Lee Corp. 6,100 197,488
Federal Home Loan Mortgage Corp. 2,300 196,650
Banc One Corp. 5,744 195,296
Time Warner, Inc. 4,900 192,325
U.S. WEST Communications Group 5,900 188,062
Warner-Lambert Co. 3,400 187,000
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
14
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Investments in Securities (Continued)
June 30, 1996 (Unaudited)
<TABLE>
<CAPTION>
Number of Market
Shares Value
<S> <C> <C>
NIKE, Inc., Class B 1,800 $184,950
Pacific Telesis Group 5,400 182,250
Union Pacific Corp. 2,600 181,675
Viacom, Inc., Class B/*/ 4,600 178,825
Amgen, Inc./*/ 3,300 178,200
Airtouch Communications, Inc./*/ 6,200 175,150
Northern Telecom Ltd. 3,200 174,000
United Technologies Corp. 1,500 172,500
Caterpillar, Inc. 2,500 169,375
Compaq Computer Corp./*/ 3,300 162,525
Medtronic, Inc. 2,900 162,400
Baxter International, Inc. 3,400 160,650
Raytheon Co. 3,100 160,038
First Chicago NBD Corp. 4,053 158,574
Seagram Company Ltd. 4,700 158,038
- ------------------------------------------------------------------------------
Total 100-Largest Stocks 40,944,771
- ------------------------------------------------------------------------------
Rockwell International Corp. 2,700 154,575
Norwest Corp. 4,400 153,450
Colgate-Palmolive Co. 1,800 152,550
General Re Corp. 1,000 152,250
Tele-Communications, Inc., Class A/*/ 8,200 148,625
Penney (J.C.) Co., Inc. 2,800 147,000
Burlington Northern Santa Fe Corp. 1,789 144,685
Fleet Financial Group, Inc. 3,316 144,246
International Paper Co. 3,907 144,071
Merrill Lynch & Co., Inc. 2,200 143,275
Automatic Data Processing, Inc. 3,700 142,913
Heinz (H.J.) Co. 4,700 142,763
ConAgra, Inc. 3,100 140,662
Phillips Petroleum Co. 3,300 138,187
McDonnell Douglas Corp. 2,800 135,800
May Department Stores Co. 3,100 135,625
Norfolk Southern Corp. 1,600 135,600
Sun Microsystems, Inc./*/ 2,300 135,412
Duke Power Co. 2,600 133,250
WorldCom, Inc./*/ 2,400 132,900
Albertson's, Inc. 3,200 132,400
Deere & Co. 3,300 132,000
Dun & Bradstreet Corp. 2,100 131,250
Enron Corp. 3,200 130,800
CPC International, Inc. 1,800 129,600
Bank of New York, Inc. 2,500 128,125
<CAPTION>
Number of Market
Shares Value
<S> <C> <C>
PNC Bank Corp. 4,300 $127,925
Gannett Co., Inc. 1,800 127,350
Aluminum Co. of America 2,200 126,225
CSX Corp. 2,600 125,450
Archer-Daniels-Midland Co. 6,507 124,446
Pacific Gas & Electric Co. 5,300 123,225
Dean Witter, Discover & Co. 2,100 120,225
Texas Utilities Co. 2,800 119,700
Texas Instruments, Inc. 2,400 119,700
Barrick Gold Corp. 4,400 119,350
Loews Corp. 1,500 118,312
CIGNA Corp. 1,000 117,875
PPG Industries, Inc. 2,400 117,000
GAP (The), Inc. 3,600 115,650
KeyCorp 2,958 114,623
Tenneco, Inc. 2,200 112,475
Corning, Inc. 2,900 111,288
United Healthcare Corp. 2,200 111,100
Chubb Corp. 2,200 109,725
General Mills, Inc. 2,000 109,000
AMP, Inc. 2,712 108,819
CoreStates Financial Corp. 2,800 107,800
U S WEST Media Group/*/ 5,900 107,675
Weverhaeuser Co. 2,500 106,250
FPL Group, Inc. 2,300 105,800
Unocal Corp. 3,100 104,625
United States HealthCare, Inc. 1,900 104,500
First Bank System, Inc. 1,800 104,400
American Brands, Inc. 2,300 104,362
Walgreen Co. 3,100 103,850
SunTrust Banks, Inc. 2,800 103,600
Illinois Tool Works, Inc. 1,500 101,438
Aetna Life & Casualty Co. 1,400 100,100
ITT Corp. 1,500 99,375
Occidental Petroleum Corp. 4,000 99,000
Boston Scientific Corp./*/ 2,200 99,000
Edison International 5,600 98,700
Mattell, Inc. 3,445 98,613
National City Corp. 2,800 98,350
Morgan Stanley Group, Inc. 2,000 98,250
American Electric Power Co., Inc. 2,300 98,038
Westinghouse Electric Corp. 5,200 97,500
Toys 'R' Us, Inc./*/ 3,400 96,900
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
15
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Investments in Securities (Continued)
June 30, 1996 (Unaudited)
Number of Market
Shares Value
3Com Corp.* 2,100 $96,075
American General Corp. 2,600 94,575
Mellon Bank Corp. 1,650 94,050
Dayton Hudson Corp. 900 92,812
Wachovia Corp. 2,100 91,875
Goodyear Tire & Rubber Co. 1,900 91,675
Household International, Inc. 1,200 91,200
AMR Corp.* 1,000 91,000
Pitney-Bowes, Inc. 1,900 90,725
Federated Dept. Stores, Inc.* 2,600 88,725
Dominion Resources, Inc. 2,200 88,000
Textron, Inc. 1,100 87,862
Consolidated Edison Co. of N.Y., Inc. 3,000 87,750
Honeywell, Inc. 1,600 87,200
Marsh & McLennan Companies, Inc. 900 86,850
Service Corp. International 1,500 86,250
Marriott International, Inc. 1,600 86,000
Digital Equipment Corp.* 1,900 85,500
Alcan Aluminum Ltd. 2,800 85,400
Georgia-Pacific Corp. 1,200 85,200
Grace (W.R.) & Co. 1,200 85,050
Public Service Enterprises Group, Inc. 3,100 84,862
Ralston Purina Co. 1,300 83,363
PacificCorp 3,700 82,325
Entergy Corp. 2,900 82,287
UST, Inc. 2,400 82,200
CUC International, Inc.* 2,300 81,850
Tyco International Ltd. 2,000 81,500
Houston Industries, Inc. 3,300 81,263
Avon Products, Inc. 1,800 81,225
MBNA Corp. 2,850 81,225
- -------------------------------------------------------------------------------
Total 200-Largest Stocks 52,000,048
- -------------------------------------------------------------------------------
Air Products 7 Chemicals, Inc. 1,400 80,850
Boatmen's bancshares, Inc. 2,000 80,250
ITT Hartford Group, Inc. 1,500 79,875
Freeport McMoRan Copper
& Gold, Inc., Class B 2,500 79,887
Sysco Corp. 2,300 78,775
Central 7 Southwest Corp. 2,700 78,300
Browning-Ferris Inds., Inc. 2,700 78,300
Halliburton Co. 1,400 77,700
Hercules, Inc. 1,400 77,350
Praxair, Inc. 1,800 $76,050
Wrigley (Wm.) Jr. Company 1,500 75,750
Unicom Corp. 2,700 75,262
American Stores Co. 1,800 74,250
Bankers Trust New York Corp. 1,000 73,875
ALLTEL Corp. 2,400 73,800
Tollabs, Inc. 1,100 73,562
Hershey Foods Corp. 1,000 73,375
Barnett banks, Inc. 1,200 73,200
Limited, Inc. 3,400 73,100
Transamerica Corp. 900 72,900
RECO Energy Co. 2,800 72,800
USX Corporation-Marathon Group 3,600 72,450
Alco Standard Corporation 1,600 72,400
Lowes Companies, Inc. 2,000 72,250
Carolina Power & Light Co. 1,900 72,200
Crown Cork & Seal Co., Inc. 1,600 72,000
Fiuor Corp. 1,100 71,913
TBW, Inc. 800 71,900
Kmart Corp. 5,800 71,775
Placer Dome, Inc. 3,000 71,625
Aon Corp. 1,400 71,050
Morton International, Inc. 1,900 70,775
Fifth Third Bancorp 1,300 70,200
Applied Materials, Inc.* 2,300 70,150
Bank of Boston Corp. 1,400 69,300
Burlington Resources, Inc. 1,600 68,800
U.S. Bancorp, Inc. 1,900 68,637
Genuine Parts Co. 1,500 68,625
Dresser Industries Inc. 2,300 67,850
Union Carbide Corp. 1,700 67,575
Hilton Hotels Corp. 600 67,500
Micron Technology, Inc. 2,600 67,275
Winn-Dixie Stores, Inc. 1,900 67,212
Coamerica, Inc. 1,500 66,937
International Flavors & Fragrances, Inc. 1,400 66,675
Conrail, Inc. 1,000 66,375
Donnelley (R.R.) & Sons Co. 1,900 66,262
Cinergy Corp. 2,020 64,640
Dover Corp. 1,400 64,575
Williams (The) Companies, Inc. 1,300 64,350
Amerada Hess Corp. 1,200 64,350
Becton, Dickinson and Co. 800 64,200
The Notes to Financial Statements are an integral part of these statements.
16
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
INVESTMENTS IN SECURITIES (Continued)
June 30, 1996(Unaudited)
Number of Market
Shares Value
Novell, Inc.* 4,600 $63,825
Kroger Co.* 1,600 63,200
Consolidated Natural Gas Co. 1,200 62,700
Green Tree Financial Corp. 2,000 62,500
PanEnergy Corp. 1,900 62,463
Clorox Co. 700 62,037
Cabletron Systems, Inc.* 900 61,762
Newell Company 2,000 61,250
Ingersol-Rand Co. 1,400 61,250
Times Mirror Co., Class A 1,400 60,900
Eastman Chemical Co. 1,000 60,875
Masco Corp. 2,000 60,500
Lincoln National Corp. 1,300 60,125
Bay Networks, Inc.* 2,300 59,225
Baker Hughes, Inc. 1,800 59,175
St. Paul Companies, Inc. 1,100 58,850
Eaton Corp. 1,000 58,625
Pioneer Hi-Bred International, Inc. 1,100 58,163
Tribune Co. 800 58,100
Cooper Industries, Inc. 1,400 58,100
Quaker Oats Co. 1,700 58,013
Newmont Mining Corp. 1,172 57,867
Federal Express Corp.* 700 57,400
Salomon, Inc. 1,300 57,200
Andrew Corp.* 1,062 57,083
SAFECO Corp. 1,600 56,600
General Public Utilities Corp. 1,600 56,400
Phelps Dodge Corp. 900 56,138
UNUM Corp. 900 56,025
Nucor Corp. 1,100 55,688
DTE Energy Co. 1,800 55,575
Tenet Healthcare Corp. 2,600 55,575
McGraw-Hill, Inc. 1,200 54,900
Rubbermaid, Inc. 2,000 54,500
Coastal Corp. 1,300 54,275
Price/Costco, Inc.* 2,500 54,062
Baltimore Gas & Electric Co. 1,900 53,912
Melville Corp. 1,300 52,650
Southwest Airlines Co. 1,800 52,425
Computer Sciences Corp.* 700 52,325
Union Electric Co. 1,300 52,325
EMC Corp.* 2,800 52,150
Providian Corp. 1,200 51,450
Sherwin-Williams Co. 1,100 51,150
Dillard Department Stores, Inc., Class A 1,400 51,100
Rohm & Haas Co. 800 50,200
Champion International Corp. 1,200 50,100
Dow Jones & Co., Inc. 1,200 50,100
------------------------------------------------------------------------------
Total 300-Largest Stocks 58,461,698
------------------------------------------------------------------------------
Great Lakes Chemical Corp. 800 49,800
Delta Air Lines, Inc. 600 49,800
General Dynamics Corp. 800 49,600
Sonat, Inc. 1,100 49,500
Inco Ltd. 1,500 48,375
Silcon Graphics, Inc.* 2,000 48,000
VF Corp 800 47,700
PP & L Resources, Inc. 2,000 47,250
Interpublic Group of Cos., Inc. 1,000 46,875
Grainger (W.W.), Inc. 600 46,500
DSC Communications Corp.* 1,500 45,187
Harcourt General, Inc. 900 45,000
Engelhard Corp. 1,950 44,850
Whirlpool Corp. 900 44,662
Nordstrom, Inc. 1,000 44,500
Northern States Power Co. 900 44,438
Jefferson-Pilot Corp. 850 43,881
Union Camp Corp. 900 43,875
Republic New York Corp. 700 43,575
Knight-Ridder, Inc. 600 43,500
Circuit City Stores, Inc. 1,200 43,350
General Instrument Corp.* 1,500 43,313
Ahmanson (H. F.) & Co. 1,600 43,200
Case Corp. 900 43,200
Raychem Corp. 600 43,125
Black & Decker Corp. 1,100 42,487
Block (H & R), Inc. 1,300 42,412
Reynolds Metals Co. 800 41,700
Willamette Industries, Inc. 700 41,650
LSI Logic Corp.* 1,600 41,600
Ohio Edison Co. 1,900 41,563
Northrop Grumman Corp. 600 40,875
Western Atlas, Inc.* 700 40,775
Great Western Financial Corp. 1,700 40,588
Ceridian Corp.* 800 40,400
Westvaco Corp. 1,350 40,331
The Notes to Financial Statements are an integral part of these statements.
17
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Investments in Securities (Continued)
June 30, 1996 (Unaudited)
Number of Market
Shares Value
Dana Corp. 1,300 $40,300
Parker-Hannifin Corp. 950 40,256
Laidlaw, Inc., Class B 3,900 39,488
Torchmark Corp. 900 39,375
Hasbro, Inc. 1,100 39,325
Beneficial Corp. 700 39,288
Golden West Financial Corp. 700 39,200
New York Times Co., Class A 1,200 39,150
Avery Dennison Corp. 700 38,412
Woolworth Corp. 1,700 38,250
Tandy Corp. 800 37,900
ITT Industries, Inc. 1,500 37,688
Kerr-McGee Corp. 600 36,525
Mead Corp. 700 36,312
Brown-Forman Corp., Class B 900 36,000
Humana, Inc.* 2,000 35,750
Stanley Works 1,200 35,700
Deluxe Corp. 1,000 35,500
Harrah's Entertainment, Inc.* 1,250 35,312
Mallinckrodt Group, Inc. 900 34,987
Johnson Controls, Inc. 500 34,750
Dial Corp. 1,200 34,350
Tupperware Corp.* 800 33,800
Pall Corp. 1,400 33,775
TJX Companies, Inc. 1,000 33,750
Reebok International Ltd. 1,000 33,625
Apple Computer, Inc. 1,600 33,600
Rite Aid Corp. 1,100 32,725
Temple-Inland, Inc. 700 32,725
FMC Corp.* 500 32,625
Pacific Enterprises 1,100 32,588
Homestake Mining Co. 1,900 32,537
Sigma-Aldrich Corp. 600 32,100
Ashland, Inc. 800 31,700
Manor Care, Inc. 800 31,500
Allergan, Inc. 800 31,400
Whitman Corp. 1,300 31,362
Maytag Corp. 1,500 31,313
Columbia Gas Systems, Inc. 600 31,275
USX-U.S. Steel Group 1,100 31,212
Liz Claiborne, Inc. 900 31,163
Louisiana-Pacific Corp. 1,400 30,975
Ryder System, Inc. 1,100 30,938
Harris Corp. 500 30,500
Echlin, Inc. 800 30,300
Wendy's International, Inc. 1,600 29,800
Bausch & Lomb, Inc. 700 29,750
Mercantile Stores Co., Inc. 500 29,312
James River Corp. 1,100 29,012
Perkin-Elmer Corp. 600 28,950
Teledyne, Inc. 800 28,900
Armstrong World Ind., Inc. 500 28,812
Giant Foods, Inc., Class A 800 28,700
St. Jude Medical, Inc. 850 28,475
SuperValu, Inc. 900 28,350
Comcast Corp., Class A (Special) 1,500 27,750
Pennzoil Co. 600 27,750
Comcast Corp., Class A 1,500 27,563
Polaroid Corp. 600 27,375
American Greetings Corp., Class A 1,000 27,375
ALZA Corp.* 1,000 27,375
Sun Company, Inc. 900 27,338
Pep Boys-Manny, Moe & Jack 800 27,200
Cyprus Amax Minerals Co. 1,200 27,150
------------------------------------------------------------------------------
Total 400-Largest Stocks 62,157,378
------------------------------------------------------------------------------
Cox Communications, Inc., Class A* 1,229 26,577
Moore Corporation Ltd. 1,400 26,425
Ecolab, Inc. 800 26,400
National Semiconductor Corp.* 1,700 26,350
Brunswick Corp. 1,300 26,000
Santa Fe Pacific Gold Corp. 1,840 25,990
Owens-Corning Fiberglas Corp.* 600 25,800
Fruit of the Loom, Inc., Class A* 1,000 25,500
Nalco Chemical Co. 800 25,200
Millipore Corp. 600 25,125
United States Surgical Corp. 800 24,800
Advanced Micro Devices, Inc.* 1,800 24,525
Bemis Company, Inc. 700 24,500
Cooper Tire & Rubber Co. 1,100 24,475
Varity Corp.* 500 24,062
Bard (C. R.), Inc. 700 23,800
Snap-On Tools Corp. 500 23,688
Darden Restaurants, Inc. 2,200 23,650
National Service Industries, Inc. 600 23,475
PACCAR, Inc. 475 23,275
The Notes to Financial Statements are an integral part of these statements.
18
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Investments in Securities (Continued)
June 30, 1996 (Unaudited)
Number of Market
Shares Value
Lehman Brothers Holdings, Inc. 940 $23,265
Louisiana Land & Exploration Co. 400 23,050
Biomet, Inc.* 1,600 23,000
Worthington Industries, Inc. 1,100 22,962
Oryx Energy Co. 1,400 22,750
General Signal Corp. 600 22,725
Thomas & Betts Corp. 600 22,500
Foster Wheeler Corp. 500 22,438
Goodrich (B.F.) Co. 600 22,425
Boise Cascade Corp. 600 21,975
USF&G Corp. 1,300 21,287
Cummins Engine Co., Inc. 500 20,187
Harnischfeger Industries, Inc. 600 19,950
NICOR, Inc. 700 19,862
Tandem Computers, Inc.* 1,600 19,800
ENSERCH Corp. 900 19,575
Shared Medical Systems Corp. 300 19,275
Bally Entertainment Corp.* 700 19,250
Fleetwood Enterprises, Inc. 600 18,600
Alberto-Culver Co., Class B 400 18,550
NorAm Energy Corp. 1,700 18,488
King World Productions, Inc.* 500 18,188
Autodesk, Inc. 600 17,925
Tektronix, Inc. 400 17,900
Bethlehem Steel Corp. 1,500 17,812
Rowan Companies, Inc.* 1,200 17,700
Echo Bay Mines Ltd. 1,600 17,200
Amdahl Corp. 1,600 17,200
Unisys Corp.* 2,400 17,100
Scientific-Atlanta, Inc. 1,100 17,050
Caliber System, Inc. 500 17,000
Peoples Energy Corp. 500 16,750
Meredith Corp. 400 16,700
McDermott International, Inc. 800 16,700
Asarco, Inc. 600 16,575
Briggs & Stratton Corp. 400 16,450
Great Atlantic & Pacific Tea Co., Inc. 500 16,438
Crane Co. 400 16,400
USAir Group, Inc.* 900 16,200
Payless ShoeSource, Inc.* 496 15,748
Potlatch Corp. 400 15,650
Timken Co. 400 15,500
Niagara Mohawk Power Co. 2,000 15,500
Santa Fe Energy Resources, Inc. 1,300 15,438
Stone Container Corp. 1,100 15,125
USLIFE Corp. 450 14,794
Beverly Enterprises, Inc.* 1,200 14,400
Safety-Kleen Corp. 800 14,000
Russell Corp. 500 13,812
Longs Drug Stores Corp. 300 13,388
TRINOVA Corp. 400 13,350
EG & G, Inc. 600 12,825
Ogden Corp. 700 12,688
Consolidated Freightways, Inc. 600 12,675
Centex Corp. 400 12,450
Cincinnati Milacron, Inc. 500 12,000
Alexander & Alexander Services, Inc. 600 11,850
Jostens, Inc. 600 11,850
Inland Steel Industries, Inc. 600 11,775
Ball Corp. 400 11,500
Helmerich & Payne, Inc. 300 10,988
Navistar International Corp.* 1,100 10,863
Pulte Corp. 400 10,700
Springs Industries, Inc., Class A 200 10,100
ONEOK, Inc. 400 10,000
Eastern Enterprises 300 9,975
Charming Shoppes, Inc. 1,400 9,888
Harland (J.H.) Co. 400 9,850
Coors (Adolph) Co., Class B 500 8,937
Giddings & Lewis, Inc. 500 8,125
Armco, Inc. 1,500 7,500
Ryans Family Steak Houses, Inc.* 800 7,400
Intergraph Corp.* 600 7,275
Kaufman & Broad Home Corp. 500 7,250
Fleming Companies, Inc. 500 7,187
Luby's Cafeterias, Inc. 300 7,050
Shoney's, Inc.* 600 6,525
Data General Corp.* 500 6,500
Schweitzer-Mauduit International, Inc.* 230 6,469
Stride Rite Corp. 700 5,775
Community Psychiatric Centers 600 5,700
NACCO Industries, Inc., Class A 100 5,537
Outboard Marine Corp. 300 5,438
Bassett Furniture Industries, Inc. 200 5,350
The Notes to Financial Statements are an integral part of these statements.
19
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Investments in Securities (Continued)
June 30, 1996 (Unaudited)
Number of Market
Shares Value
Yellow Corp. 400 $5,300
Brown Group, Inc. 300 5,212
GC Companies, Inc.* 120 4,470
Roadway Services, Inc. 300 4,238
Earthgrains Co. 128 4,192
Zurn Industries, Inc. 200 4,150
Strattec Security Corp.* 180 3,195
Highlands Insurance Group, Inc.* 160 3,000
Aviall, Inc. 300 2,775
Gardner Denver Machinery, Inc. 72 1,899
Crown Vantage, Inc.* 120 1,740
Harris Computer Systems, Inc.* 90 1,552
Bally Total Fitness Holding Co.* 175 766
Morrison Knudsen Corp. 500 563
Brunos, Inc. 31 430
TOTAL COMMON STOCKS - 92.6%
----------
(Cost $44,701,332) 63,926,379
----------
PREFERRED STOCK - .1%
(Cost $356)
Teledyne, Inc., Class E* 42 646
----------
The Notes to Financial Statements are an integral part of these statements.
20
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Investments in Securities (Continued)
June 30, 1996 (Unaudited)
Market
Par Value
SHORT-TERM OBLIGATIONS - 7.4%
Commerical Paper - 7.1%
American Greetings Co., 5.6%, 7/1/96 $ 2,000,000 $ 2,000,000
Becton Dickinson and Co., 5.42%, 7/8/96 2,877,000 2,877,964
-----------
4,877,964
-----------
U.S. Government and Agencies -.3%
U.S. Treasury Bills, 5.04%, 8/22/96** 248,000 248,180
TOTAL SHORT-TERM OBLIGATIONS
(Cost - $5,126,144) 5,126,144
-----------
TOTAL INVESTMENT IN SECURITIES - 100.1%
(Total Cost - $49,827,832) 69,053,169
Liabilities, Less Cash and Other Assets - .1% (20,750)
-----------
NET ASSETS - 100.0% $69,032,419
===========
(equivalent to $11.81 per share based on 5,842,971
shares outstanding)
* Non-income producing securities.
** Pledged as initial margin for Stock Index Futures Contracts. At June 30,
1996, the Fund was long 16 S&P 500 Futures Contracts expiring in Sept. 1996.
Unrealized loss amounted to $80,000.
The Notes to Financial Statements are an integral part of these statements.
21
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Statement of
Assets and Liabilities
June 30, 1996 (Unaudited)
ASSETS:
Investments in securities, at market value
(Cost -- $49,827,832) $69,053,169
Cash on deposit with custodian 3,301
Receivable for fund shares sold 1,044
Dividends and interest receivable 97,312
Variation margin receivable 30,000
Investment for deferred compensation plan 62,000
(Cost - $48,778)
Other 3,279
-----------
Total assets 69,250,105
-----------
LIABILITIES:
Payable for fund shares repurchased 99,574
Accrued advisory fees payable 15,054
Accrued audit and legal fees payable 19,512
Accrued custody fees payable 3,538
Payable for deferred compensation plan 62,000
Other accrued expenses
(including $12,253 due to affiliate) 18,008
-----------
Total liabilities 217,686
-----------
NET ASSETS:
(Equivalent to $11.81 per share based
on 5,842,971 shares outstanding) $69,032,419
===========
COMPONENTS OF NET ASSETS:
Capital paid In $46,832,515
Undistributed net investment income 564,480
Unrealized appreciation of investments 19,158,559
Accumulated net realized gains 2,476,865
-----------
NET ASSETS $69,032,419
===========
Statement of
Operations
Six months ended June 30, 1996 (Unaudited)
INVESTMENT INCOME:
Income:
Dividends $ 714,399
Interest 93,349
-----------
807,748
Expenses:
Investment advisory fees 84,633
Custodian fees and expenses 65,815
Administrative services 26,768
Trustees' fees 16,842
Shareholder report 7,059
Auditing and legal fees 6,681
Other 2,780
-----------
Total expenses 210,578
Less expenses waived
by advisor (13,348)
-----------
Net expenses 197,230
NET INVESTMENT INCOME 610,518
-----------
REALIZED AND UNREALIZED GAIN
ON INVESTMENTS:
Net realized gain from securities
transactions 2,093,186
Net realized gain from futures
transactions 322,275
Unrealized appreciation of
investments 3,412,298
Unrealized depreciation of futures
contracts (80,000)
-----------
NET REALIZED AND UNREALIZED
GAIN ON INVESTMENTS 5,747,759
-----------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $ 6,358,277
===========
The Notes to Financial Statements are an integral part of these statements.
22
<PAGE>
CIGNA Variable Products S&P 500 Index Fund
Statement of
Changes in Net Assets (Unaudited)
<TABLE>
<CAPTION>
Six months ended Year Ended
June 30, December 31,
1996 1995
----------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income $ 610,518 $ 1,251,996
Net realized gain from securities transactions 2,093,186 841,069
Net realized gain from futures transactions 322,275 836,257
Unrealized appreciation of investments 3,412,298 16,116,399
Unrealized depreciation of futures contracts (80,000) (29,550)
----------- -----------
Net increase in net assets from operations 6,358,277 19,016,171
----------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income
($.27 per share) -- (1,592,502)
In excess of net investment income
(less than $.01 per share) -- (46,038)
From net realized gain
($.18 per share) -- (1,065,000)
----------- -----------
Total distributions to shareholders -- (2,703,540)
----------- -----------
CAPITAL SHARE TRANSACTIONS:
Net decrease from capital share transactions (3,608,969) (4,757,930)
----------- -----------
NET INCREASE IN NET ASSETS 2,749,308 11,554,701
NET ASSETS:
Beginning of period 66,283,111 54,728,410
----------- -----------
End of period (including undistributed net
investment income of $564,479 and
overdistributed net investment income of
$46,038) $69,032,419 $66,283,111
=========== ===========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
23
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Notes to Financial Statements (Unaudited)
1. Utilization of Indexation Approach. The CIGNA Variable Products S&P 500
Index Fund (the Fund), known as the Companion Fund prior to January 2, 1996,
seeks to achieve its long term growth objective by attempting to replicate the
total return performance, reduced by Fund expenses, of the Standard & Poor's 500
Composite Stock Price Index.
2. Significant Accounting Policies. The Fund is a separate series of CIGNA
Variable Products Group, a Massachusetts business trust (the "Trust"). The
Trust is registered under the Investment Company Act of 1940, as amended, as a
diversified, open-end management investment company. The preparation of
financial statements in accordance with generally accepted accounting principles
requires management to make estimates and assumptions that affect the reported
amounts and disclosures in the financial statements. Actual results could
differ from those estimates. The following is a summary of significant
accounting policies consistently followed by the Fund in the preparation of its
financial statements.
A. Security Valuation - Equity securities, including warrants, that are listed
on a national securities exchange or part of the NASDAQ National Market System
are valued at the last sale price or, if there has been no sale that day, at the
last bid price. Debt and other equity securities traded in the over-the-counter
market, including listed securities whose primary markets are believed to be
over-the-counter, are valued at the most recent bid price. Short-term
investments with remaining maturities of up to and including 60 days are valued
at amortized cost, which approximates market. Short-term investments that
mature in more than 60 days are valued at current market quotations. Other
securities and assets of the Fund are appraised at fair value as determined in
good faith by, or under the authority of, the Trust's Board of Trustees.
Futures Contracts - The Fund may purchase Standard & Poor's 500 futures
contracts with the objective of earning returns on its short-term investments
equivalent to returns on the Standard & Poor's 500 Composite Stock Price Index.
The purchase of futures contracts simulates a fully invested position in the
underlying index while maintaining liquidity. Upon entering into a futures
contract, the Fund is required to pledge to the broker an amount of cash and/or
securities equal to the initial margin requirements. During the period a futures
contract is open, changes in the value of a contract are recognized as
unrealized gains or losses by "marking to market" on a daily basis to reflect
the market value of the contract at the end of each day's trading. Daily
variation margin payments are received or made, depending on whether there were
unrealized gains or losses. When a contract is closed, the Fund records a
realized gain or loss equal to the difference between the value of the contract
at the time it was opened and the value at the time it was closed. Futures
contracts include the risk that a change in the value of the contract may not
correlate with the value of the underlying securities.
B. Security Transactions and Related Investment Income - Security transactions
are accounted for on the trade date (date the order to buy or sell is executed).
Dividend income is recorded on the ex-dividend date, and interest income is
recorded on the accrual basis. Securities gains and losses are determined on the
basis of identified cost. The cost for Federal income tax purposes is
substantially the same.
C. Federal Taxes - It is the Fund's policy to continue to comply with the
requirements of the Internal Revenue Code applicable to regulated investment
companies and to distribute all of its taxable income and capital gains, if any,
to its shareholders. Therefore, no Federal income or excise taxes on realized
income have been accrued.
24
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Notes to Financial Statements (Unaudited)
(Continued)
D. Dividends and Distributions to Shareholders - Dividends and distributions
are recorded by the Fund on the ex-dividend date. Payments in excess of
financial accounting income due to differences between financial and tax
accounting, to meet the minimum distribution requirements for tax basis income,
are deducted from paid in capital when such differences are determined to be
permanent.
3. Investment Advisory Fees and Other Transactions with Affiliates. Investment
advisory fees were paid or accrued to CIGNA Investments, Inc. ("CII"), certain
officers and directors of which are affiliated with the Fund. Such advisory
fees are based on an annual rate of 0.35% applied to the average daily net
assets of the Fund.
The Fund reimburses CII for a portion of the compensation and related expenses
of the Fund's Treasurer and Secretary and certain persons who assist in carrying
out the responsibilities of those offices. For the six months ended June 30,
1996, the Fund paid or accrued $26,768.
CII is an indirect, wholly-owned subsidiary of CIGNA Corporation.
4. Trustees' Fees. Trustees' fees represent remuneration paid or accrued to
trustees who are not employees of CIGNA Corporation or any of its affiliates.
Trustees may elect to defer receipt of all or a portion of their fees which are
invested in mutual fund shares in accordance with a deferred compensation plan.
5. Purchases and Sales of Securities. Purchases and sales of securities,
excluding short-term obligations, aggregated $1,129,704 and $7,442,876,
respectively, for the six months ended June 30, 1996. As of June 30, 1996, the
cost of securities for Federal income tax purposes was $50,269,642. At June 30,
1996, unrealized appreciation for Federal income tax purposes aggregated
$19,225,337, of which $20,203,973 related to appreciated securities and $978,636
related to depreciated securities.
6. Capital Stock. The Fund offers an unlimited number of shares of beneficial
interest without par value. Of the 5,842,971 shares outstanding at June 30,
1996, 5,713,205 shares were held by State Street Bank and Trust Company as
custodian under agreement with CG Life relating to variable annuity contracts
issued by that company. The remainder, representing 2.2% of the shares
outstanding, was held by an employee benefit plan established by CG Life for
certain of its employees.
25
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Notes to Financial Statements (Unaudited)
(Continued)
Transactions in capital stock were as follows:
<TABLE>
<CAPTION>
Six Months Ended Year Ended
June 30, 1996 December 31, 1995
Shares Amount Shares Amount
- -----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 52,548 $ 592,671 161,710 $ 1,578,966
Shares issued to shareholders
in reinvestment of dividends
and distributions -- -- 252,673 2,703,540
-------------------------------------------------------------
52,548 592,671 414,383 4,282,506
Shares redeemed (373,727) (4,201,640) (935,565) (9,040,436)
-------------------------------------------------------------
Net decrease (321,179) $(3,608,969) (521,182) $(4,757,930)
=============================================================
</TABLE>
26
<PAGE>
CIGNA VARIABLE PRODUCTS S&P 500 INDEX FUND
Notes to Financial Statements (Unaudited)
(Continued)
7. FINANCIAL HIGHLIGHTS. The following selected per share data, ratios and
supplemental data is computed on the basis of a share outstanding throughout the
period.
<TABLE>
<CAPTION>
- ------------------------------------------------------------------------------------------------------------------------------------
Six Months
Ended
June 30,
1996 1995 1994 1993 1992 1991
- ------------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF YEAR $10.75 $8.19 $9.20 $11.94 $12.83 $10.75
-------- -------- -------- -------- -------- --------
Income from investment operations
Net investment income* 0.10 0.21 0.19 0.16 0.12 0.19
Net realized and unrealized gains (losses) 0.96 2.80 (0.13) 0.22 0.34 3.79
-------- -------- -------- -------- -------- --------
TOTAL FROM INVESTMENT OPERATIONS 1.06 3.01 0.06 0.38 0.46 3.98
-------- -------- -------- -------- -------- --------
Less: Distributions
Dividends from net investment income -- (0.27) (0.14) (0.17) (0.12) (0.20)
Distributions from capital gains -- (0.18) (0.85) (2.95) (1.23) (1.70)
Required for tax purposes in excess of
realized gains -- -- (0.08) -- -- --
-------- -------- -------- -------- -------- --------
TOTAL DISTRIBUTIONS -- (0.45) (1.07) (3.12) (1.35) (1.90)
-------- -------- -------- -------- -------- --------
NET ASSET VALUE, END OF YEAR $11.81 $10.75 $8.19 $9.20 $11.94 $12.83
======== ======== ======== ======== ======== ========
Total return 9.86% 36.82% 0.67% 2.97% 3.59% 37.46%
Ratios and Supplemental Data:
Net assets, end of period (000) $69,032 $66,283 $54,728 $61,478 $68,287 $73,446
Ratio of expenses to average net assets 0.29%*** 0.73% 0.78% 0.66% 0.59% 0.56%
Ratio of net investment income
to average net assets 0.90%*** 2.05% 2.23% 1.30%** 0.94% 1.38%
Portfolio Turnover 2% 4% 4% 185% 82% 77%
Average Commission Rate Paid**** $0.0234
</TABLE>
* Net investment income per share has been calculated in accordance with SEC
requirements, with the exception that end of year accumulated
undistributed/(overdistributed) net investment income has not been adjusted to
reflect current year permanent differences between financial and tax accounting.
** During November 1993, the portfolio was indexed to the S&P 500, resulting in
a complete turnover of the portfolio at that time.
*** Ratio of expenses to average net assets prior to reduction of advisory fee
is 0.31%. ratio of net investment income to average net assets prior to
reduction of advisory fee is 0.88%.
**** Required information as of 1996.
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<PAGE>
Trustees and Officers
CIGNA Variable Products S&P 500 Index Fund
Trustees:
R. Bruce Albro (Chairman)
Senior Managing Director,
CIGNA Investments, Inc.
Hugh R. Beath
Advisory Director,
AdMedia Corporate Advisors, Inc.
Russell H. Jones
Vice President,
Kaman Corporation
Paul J. McDonald
Executive Vice President, Finance
and Chief Financial Officer,
Friendly Ice Cream Corporation
Arthur C. Reeds, III
President, CIGNA Investment
Management and CIGNA
Investments, Inc.
Officers:
R. Bruce Albro
Chairman of the Board and President
Alfred A. Bingham III
Vice President and Treasurer
Lawrence S. Harris
Vice President
Jeffrey S. Winer
Vice President and Secretary
Custodian and Transfer Agent:
State Street Bank and Trust Company
P.O. Box 2351
Boston, Massachusetts 02107
Investment Adviser:
CIGNA Investments, Inc.
Hartford, Connecticut 06152
The Fund:
1380 Main Street
Springfield, Massachusetts 01103
- --------------------------------------------------------------------------------
"Standard & Poor's(R)," "S&P(R)," "S&P 500(R)," "Standard & Poor's 500," and
"500" are trademarks of the Standard & Poor's Corporation (S&P) and have been
licensed for use by CG Life. The S&P 500 Index Fund is not sponsored, endorsed,
sold or promoted by S&P, and S&P makes no representation regarding the
advisability of investing in the Fund.
29
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