<PAGE>
[TREE LEAVES GRAPHIC APPEARS HERE]
CIGNA VARIABLE
PRODUCTS MONEY
MARKET FUND
________________________________________________________________________________
SEMIANNUAL REPORT
JUNE 30, 2000
[CIGNA TREE LOGO GRAPHIC APPEARS HERE]
CIGNA
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________________________________________________________________________________
1
DEAR SHAREHOLDERS:
We are pleased to provide this report for CIGNA Variable Products Money Market
Fund (the "Fund"), covering the six months ended June 30, 2000.
MARKET REVIEW
The Federal Reserve ("Fed") began the year on a strong note by raising the
federal funds rate to 5.75% at the February meeting, and again to 6% at the
March meeting. Consequently, at the beginning of the quarter, there had been
five rate increases totaling 125 basis points since policy tightening began in
May of 1999. Market expectation built in further rate increases by the Fed,
which materialized in a further 50 basis point increase to 6.50% at the May 16
meeting and left the market feeling that more rate hikes were likely. However,
by the end of June, evidence had built to indicate a more moderate economic tone
and interest rates were left unchanged at the June 28 meeting. Economic
indicators seem to be signaling we are close to the end of the tightening cycle,
but market consensus is calling for another tightening at the August Federal
Open Market Committee ("FOMC") meeting.
FUND ACTIVITY AND PERFORMANCE
On June 30, 2000, the portfolio composition was as follows: top-tier domestic
commercial paper, 63.5%; top tier foreign commercial paper, 1.6%; and U.S.
Government and Agencies, 34.5%. The Fund is well diversified.
The Fund's total return for the six months ended June 30, 2000 was 2.83%. By
comparison, the Lipper Money Market Instrument Fund Average and three-month
Treasury bills, as reported by Lehman Brothers (which does not include
investment expenses), returned 2.66% and 2.79%, respectively, for the six months
ended June 30, 2000. As of June 30, 2000, the Fund's annualized 7-day yield was
5.80%, and its weighted average portfolio maturity was 45 days.
OUTLOOK
Federal Reserve Chairman Alan Greenspan has cautioned that we could be close to
the end of this tightening cycle. Market sentiment is building for another
tightening at the next FOMC meeting on August 22. While market participants are
still on the fence, the FOMC has two full sets of economic indicators to aid
them in their decision.
Mr. Greenspan has stated on numerous occasions that new technology has sharply
improved productivity, but his Humphrey Hawkins speech to Congress in late July
should shed more light on his expectations for this current interest rate cycle.
The Fund succeeded in lengthening its average life versus the index. To achieve
this goal, exposure was decreased in floating rate asset classes in the
short-end, and additional exposure was selectively added to longer Agency and
Corporate securities.
This portfolio structure will contribute to performance in
the year ahead, and compliment what we expect will be a more stable interest
rate environment. We will continue to focus on the developing trends in the U.S.
economy as keys to further Fed action and adjust our strategy accordingly.
Sincerely,
/s/ Richard H. Forde
Richard H. Forde
PRESIDENT
CIGNA VARIABLE PRODUCTS MONEY MARKET FUND
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CIGNA VARIABLE PRODUCTS MONEY MARKET FUND INVESTMENTS IN SECURITIES 2
JUNE 30, 2000 (UNAUDITED)
PRINCIPAL VALUE
(000) (000)
-----------------------------------------------------------------
COMMERCIAL PAPER - 63.5%
American Express Credit Corp, 6.48%, 7/6/00 $ 700 $ 700
Assoc. Corp. of North America, 6.60%, 7/12/00 817 816
Bank of America, 7.12%, 6/15/01 500 500
Bell Atlantic Financial Services, 6.58%,
7/24/00 1,285 1,280
Deere, (John) Capital Corp., 6.52%, 7/10/00 1,000 999
duPont (E.I.) de Nemours & Co., 7.65%,
4/19/01 500 500
Edison International, 6.57%, 7/5/00 1,405 1,404
Ford Motor Credit Co.,
6.74%, 8/18/00* 750 750
6.822%, 3/15/01 500 500
General Electric Capital Corp., 6.7%,
7/10/00 1,245 1,243
General Mills, Inc., 6.57%, 7/19/00 1,235 1,231
Gap, Inc., 6.51%, 7/5/00 977 977
General Motors Acceptance Corp., 6.34%,
7/27/01* 500 500
Hubbell, Inc., 6.95%, 7/3/00 960 960
Lucent Technologies, Inc., 6.51%, 7/11/00 1,285 1,283
Morgan, (J.P.) & Co, Inc.,
6.5%, 7/10/00 559 559
6.64%, 3/16/01* 500 500
Pfizer, Inc., 6.48%, 7/7/00 1,130 1,129
PPG Industries, Inc., 6.52%, 7/14/00 1,259 1,256
Sherwin Williams Co., 6.55%, 7/18/00 500 498
Sony Capital Corp., 6.62%, 7/6/00 972 971
Teco Finance, Inc., 6.54%, 7/13/00 1,285 1,283
---------
TOTAL COMMERCIAL PAPER 19,839
---------
FOREIGN - 1.6%
Bass Finance (C.I.), 6.65%, 7/17/00 500 499
---------
U.S. GOVERNMENT & AGENCIES - 34.5%
Federal Home Loan Banks,
5.57%, 8/14/00 500 499
6.13%, 10/04/00* 1,600 1,600
5.365%, 12/07/00 500 498
6.6%, 1/26/01 750 750
6.75%, 3/01/01 200 200
PRINCIPAL VALUE
(000) (000)
----------------------------------------------------------------
Federal National Mortgage Assoc.,
6.47%, 2/16/01 $ 250 $ 250
6.57%, 4/26/01 500 499
6.53%, 5/17/01* 500 500
Student Loan Marketing Assoc.,
6.494%, 8/03/00* 1,000 1,000
6.444%, 9/29/00* 1,000 1,000
6.552%, 10/04/00* 1,000 1,000
6.552%, 10/04/00 1,500 1,501
6.294%, 2/1/01* 500 500
6.284%, 2/21/01* 500 500
6.284%, 3/5/01* 500 500
---------
$10,797
---------
TOTAL INVESTMENTS IN SECURITIES - 99.6%
(Total Cost - $31,135) 31,135
Cash and Other Assets, Less Liabilities - 0.4% 114
---------
NET ASSETS - 100.0% $31,249
=========
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CIGNA VARIABLE PRODUCTS MONEY MARKET FUND
TEN LARGEST POSITIONS (Unaudited)
(000)
Student Loan Marketing Assoc. $ 6,000 19.2%
Federal Home Loan Banks 3,547 11.4%
Edison International 1,404 4.5%
Lucent Technologies, Inc. 1,283 4.1%
Teco Finance, Inc. 1,283 4.1%
Bell Atlantic Financial Services 1,280 4.1%
PPG Industries, Inc. 1,256 4.0%
Federal National Mortgage Assoc. 1,250 4.0%
General Electric Capital Corp. 1,243 4.0%
General Mills, Inc. 1,231 3.9%
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* Variable rate security. Rate is as of June 30, 2000.
The Notes to Financial Statements are an integral part of these statements.
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CIGNA VARIABLE PRODUCTS MONEY MARKET FUND 3
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000 (UNAUDITED)
(IN THOUSANDS)
ASSETS:
Investments in securities at value
(Cost - $31,135) $ 31,135
Cash on deposit with custodian 2
Interest receivable 168
Receivable from adviser 2
Investment for Trustees' deferred compensation plan 4
----------------
TOTAL ASSETS 31,311
----------------
LIABILITIES:
Distribution payable 15
Accrued advisory fees payable 13
Custodian fee payable 12
Accrued audit and legal fees payable 8
Administrative fees payable 7
Shareholders reports payable 3
Payable for Trustees' deferred compensation plan 4
----------------
TOTAL LIABILITIES 62
----------------
NET ASSETS (Equivalent to $1.00 per share
based on 31,249 shares outstanding) $ 31,249
================
COMPONENTS OF NET ASSETS:
Paid in capital $ 31,249
Undistributed net investment income -
Accumulated net realized gain on investments -
Unrealized appreciation of investments -
----------------
NET ASSETS $ 31,249
================
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED JUNE 30, 2000 (UNAUDITED)
(IN THOUSANDS)
INVESTMENT INCOME
INCOME:
Interest $ 1,047
------------
EXPENSES:
Investment advisory fees 61
Custodian fees 21
Administrative services 11
Auditing and legal fees 7
Shareholders reports 3
Other 2
--------------------
Total expenses 105
Less expenses waived by investment adviser (19)
--------------------
Net expenses 86
--------------------
NET INVESTMENT INCOME 961
--------------------
REALIZED AND UNREALIZED GAIN ON INVESTMENTS:
Net realized gain from investments -
Unrealized appreciation of investments -
--------------------
NET REALIZED AND UNREALIZED GAIN ON
INVESTMENTS -
--------------------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $ 961
====================
The Notes to Financial Statements are an integral part of these statements.
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CIGNA VARIABLE PRODUCTS MONEY MARKET FUND 4
STATEMENTS OF CHANGES IN NET ASSETS
(IN THOUSANDS)
<TABLE>
<CAPTION>
(UNAUDITED)
SIX MONTHS
ENDED YEAR ENDED
JUNE 30, DECEMBER 31,
2000 1999
------------- -----------
<S> <C> <C>
OPERATIONS:
Net investment income $ 961 $ 1,483
Net realized gain from investments - -
------------- -----------
Net increase in net assets from operations 961 1,483
------------- -----------
DISTRIBUTIONS TO SHAREHOLDERS:
From net investment income (961) (1,483)
From net realized capital gains - -
------------- -----------
Total distributions to shareholders (961) (1,483)
------------- -----------
CAPITAL SHARE TRANSACTIONS:
Net proceeds from sales of shares 88,664 49,605
Value of distributions reinvested 950 1,482
------------- -----------
89,614 51,087
Cost of shares redeemed (89,710) (48,354)
------------- -----------
Net increase (decrease) from fund share transactions (96) 2,733
------------- -----------
NET INCREASE (DECREASE) IN NET ASSETS (96) 2,733
NET ASSETS:
Beginning of period 31,345 28,612
------------- -----------
End of period $ 31,249 $31,345
============= ===========
TRANSACTIONS IN CAPITAL STOCK
Shares sold 88,664 49,605
Shares issued in reinvestment of
dividends and distributions 950 1,482
------------- -----------
89,614 51,087
Shares redeemed (89,710) (48,354)
------------- -----------
Net increase (decrease) in shares outstanding (96) 2,733
============= ===========
</TABLE>
The Notes to Financial Statements are an integral part of these statements.
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CIGNA VARIABLE PRODUCTS MONEY MARKET FUND NOTES TO FINANCIAL STATEMENTS 5
(UNAUDITED)
1. SIGNIFICANT ACCOUNTING POLICIES. CIGNA Variable Products Money Market Fund
(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 objective of the Fund is to provide as high a
level of current income as is consistent with the preservation of capital and
liquidity and the maintenance of a stable $1.00 per share net asset value by
investing in short-term money market instruments. The preparation of financial
statements in accordance with accounting principles generally accepted in the
United States 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 - The Fund's investments are valued at amortized cost,
which the Board of Trustees has determined constitutes fair value and which at
June 30, 2000 approximated cost for federal income tax purposes.
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).
Interest income, which includes amortization of premium and accretion of
discount, is recorded on the accrual basis. Securities gains and losses are
recognized on the specific cost identification basis.
C. FEDERAL TAXES - For federal income tax purposes, the Fund is taxed as a
separate entity. Its policy is 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 to its shareholders. Therefore, no
federal income or excise taxes on realized income or net capital gains have been
accrued.
D. DIVIDENDS - Dividends from net investment income and net realized gains are
declared and reinvested daily. Dividends and distributions are recorded by the
Fund on the ex-dividend date. The timing and characterization of certain income
and capital gains distributions are determined in accordance with federal tax
regulations which may differ from generally accepted accounting principles. To
the extent that such differences are permanent, a reclassification to paid in
capital may be required.
2. INVESTMENT ADVISORY FEES AND OTHER TRANSACTIONS WITH AFFILIATES. Investment
advisory fees are paid or accrued to TimesSquare Capital Management, Inc.
("TimesSquare"), 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. TimesSquare has voluntarily agreed to
reimburse the Fund for any amount by which its expenses (including the advisory
fee but excluding interest, taxes, transaction costs incurred in acquiring and
disposing of portfolio securities, and extraordinary expenses) exceed 0.50% of
average daily net assets until April 30, 2001 and thereafter to the extent
described in the Fund's then current prospectus.
For administrative services, the Fund reimburses TimesSquare for a portion of
the compensation and related expenses of the Trust's Treasurer and Secretary and
certain persons who assist in carrying out the responsibilities of those
offices. For the six months ending June 30, 2000, the Fund paid or accrued
$10,877.
TimesSquare is an indirect, wholly-owned subsidiary of CIGNA Corporation.
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CIGNA VARIABLE PRODUCTS MONEY MARKET FUND NOTES TO FINANCIAL STATEMENTS 6
(UNAUDITED)(CONTINUED)
3. 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 all or a portion of their fees which are invested in
mutual fund shares in accordance with a deferred compensation plan.
4. CAPITAL STOCK. The Fund is a separate series of the Trust which offers an
unlimited number of shares of beneficial interest, without par value.
Connecticut General Life Insurance Company, an indirect, wholly-owned subsidiary
of CIGNA Corporation, is the sole shareholder of the Fund.
5. 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>
(UNAUDITED)
SIX MONTHS
ENDED YEARS ENDED DECEMBER 31 MARCH 1, 1996* TO
JUNE 30, -----------------------, DECEMBER 31,
2000 1999 1998 1997 1996
---- ---- ---- ---- ----
<S> <C> <C> <C> <C> <C>
PER SHARE OPERATING PERFORMANCE:
NET ASSET VALUE, BEGINNING OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
--------- --------- --------- --------- ----------
INCOME FROM INVESTMENT OPERATIONS
Net investment income (a) 0.03 0.05 0.05 0.05 0.04
Net realized and unrealized gain on
securities - - - - -
--------- --------- --------- --------- ----------
TOTAL FROM INVESTMENT OPERATIONS 0.03 0.05 0.05 0.05 0.04
--------- --------- --------- --------- ----------
LESS DISTRIBUTIONS:
Dividends from net investment income (0.03) (0.05) (0.05) (0.05) (0.04)
Distributions from capital gains - - - - -
--------- --------- --------- --------- ----------
TOTAL DISTRIBUTIONS (0.03) (0.05) (0.05) (0.05) (0.04)
--------- --------- --------- --------- ----------
NET ASSET VALUE, END OF PERIOD $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00
========= ========= ========= ========= ==========
TOTAL RETURN (B) 2.83% (c) 4.83% 5.14% 5.19% 4.18% (c)
RATIOS TO AVERAGE NET ASSETS:
Net expenses 0.50% (d) 0.50% 0.50% 0.50% 0.58% (d)
Net investment income 5.73% (d) 4.72% 4.98% 5.07% 4.92% (d)
Fees and expenses waived by the Adviser 0.12% (d) 0.14% 0.23% 0.61% 1.03% (d)
Net assets, end of period (000 omitted) $31,249 $ 31,345 $ 28,612 $ 14,540 $ 6,003
(a) Per share data was calculated using average shares outstanding during the period.
(b) Had the Adviser not waived or reimbursed a portion of expenses, total return would have been reduced.
(c) Not annualized.
(d) Annualized.
* Commencement of operations.
</TABLE>
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CIGNA VARIABLE PRODUCTS MONEY MARKET FUND 7
<TABLE>
<CAPTION>
_____________________________________________________________________________________________________________________
TRUSTEES OFFICERS
<S> <C> <C>
Thomas C. Jones
Hugh R. Beath PRESIDENT, CIGNA RETIREMENT & INVESTMENT
ADVISORY DIRECTOR SERVICES AND CHAIRMAN OF THE BOARD, Richard H. Forde
ADMEDIA CORPORATE ADVISORS, INC. TIMESSQUARE CAPITAL MANAGEMENT, INC. PRESIDENT
Paul J. McDonald
Russell H. Jones SPECIAL ADVISOR TO THE BOARD OF
VICE PRESIDENT AND TREASURER DIRECTORS, Alfred A. Bingham III
KAMAN CORPORATION FRIENDLY ICE CREAM CORPORATION VICE PRESIDENT AND TREASURER
Jeffrey S. Winer
VICE PRESIDENT AND SECRETARY
_____________________________________________________________________________________________________________________
</TABLE>
CIGNA Variable Products Money Market Fund is an open-end, diversified management
investment company that invests in short-term money market instruments. The
investment adviser is TimesSquare Capital Management, Inc., 900 Cottage Grove
Road, Hartford, Connecticut 06152.
