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Forethought Variable Insurance Trust – ‘N-Q’ for 3/31/18

On:  Wednesday, 5/30/18, at 3:09pm ET   ·   Effective:  5/30/18   ·   For:  3/31/18   ·   Accession #:  1580642-18-2844   ·   File #:  811-22865

Previous ‘N-Q’:  ‘N-Q’ on 11/29/17 for 9/30/17   ·   Next:  ‘N-Q’ on 5/30/18 for 3/31/18   ·   Latest:  ‘N-Q’ on 11/29/18 for 9/30/18

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  As Of                Filer                Filing    For·On·As Docs:Size              Issuer               Agent

 5/30/18  Forethought Variable Ins Trust    N-Q         3/31/18    2:1.9M                                   Blu Giant, LLC/FAGlobal Atlantic American Funds Managed Risk PortfolioGlobal Atlantic Balanced Managed Risk PortfolioGlobal Atlantic BlackRock Global Allocation Managed Risk PortfolioGlobal Atlantic Franklin Dividend and Income Managed Risk Portfolio Global Atlantic Franklin Dividend and Income Managed Risk Portfolio Class II SharesGlobal Atlantic Goldman Sachs Dynamic Trends Allocation PortfolioGlobal Atlantic Growth Managed Risk Portfolio Global Atlantic Growth Managed Risk Portfolio Class II sharesGlobal Atlantic Moderate Growth Managed Risk Portfolio Global Atlantic Moderate Growth Managed Risk Portfolio Class II sharesGlobal Atlantic Motif Aging of America Portfolio Class II SharesGlobal Atlantic Motif Real Estate Trends Portfolio Class II SharesGlobal Atlantic Motif Technological Innovations Portfolio Class II SharesGlobal Atlantic PIMCO Tactical Allocation PortfolioGlobal Atlantic Select Advisor Managed Risk PortfolioGlobal Atlantic Wellington Research Managed Risk PortfolioGlobal Atlantic Wilshire Dynamic Conservative Allocation Portfolio Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Global Allocation Portfolio Global Atlantic Wilshire Dynamic Global Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Growth Allocation Portfolio Global Atlantic Wilshire Dynamic Growth Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Moderate Allocation Portfolio Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio Class II shares

Quarterly Schedule of Portfolio Holdings of a Management Investment Company   —   Form N-Q
Filing Table of Contents

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Quarterly Schedule of Portfolio Holdings of a       HTML    935K 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     14K 


N-Q   —   Quarterly Schedule of Portfolio Holdings of a Management Investment Company


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united states
securities and exchange commission
washington, d.c. 20549

form n-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22865

 

Forethought Variable Insurance Trust

(Exact name of registrant as specified in charter)

 

10 West Market Street, Suite 2300, Indianapolis, Indiana 46204

(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company

1209 Orange Street, Wilmington, DE, 19801

(Name and address of agent for service)

 

Registrant's telephone number, including area code: 317-223-2703

 

Date of fiscal year end: 12/31

 

Date of reporting period: 3/31/2018

 

 

Item 1. Schedule of Investments.

 

Global Atlantic American Funds® Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     VARIABLE INSURANCE TRUSTS - 95.2%     
     DEBT FUNDS - 33.1%     
 1,302,815   American Funds Insurance - Mortgage Fund - Class I  $13,458,075 
 4,001,502   American Funds Insurance Series® - Bond Fund - Class 1   42,656,013 
 1,879,858   American Funds Insurance Series® - U.S. Government/AAA-Rated Securities Fund - Class I   22,426,700 
         78,540,788 
     EQUITY FUNDS - 62.1%     
 2,824,544   American Funds Insurance Series® - Blue Chip Income and Growth Fund - Class 1   40,871,158 
 1,827,537   American Funds Insurance Series® - Global Growth and Income Fund - Class 1   29,441,617 
 264,472   American Funds Insurance Series® - Global Small Capitalization Fund- Class 1   6,770,480 
 281,506   American Funds Insurance Series® - Growth Fund - Class 1   22,534,516 
 618,936   American Funds Insurance Series® - Growth-Income Fund - Class 1   31,609,049 
 517,995   American Funds Insurance Series® - International Fund - Class 1   11,323,372 
 176,308   American Funds Insurance Series® - New World Fund - Class 1   4,506,424 
         147,056,616 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $207,245,060)   225,597,404 
           
     SHORT-TERM INVESTMENTS - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
           
 1,818   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a)(Cost - $1,818)   1,818 
           
     TOTAL INVESTMENTS - 95.2% (Cost - $207,246,878)  $225,599,222 
     OTHER ASSETS LESS LIABILITIES - NET - 4.8%   11,347,736 
     TOTAL NET ASSETS - 100.0%  $236,946,958 

 

*Represents less than 0.1%

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic Balanced Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.2%     
     DEBT FUNDS - 44.2%     
 17,033   iShares 1-3 Year Credit Bond ETF  $1,768,025 
 21,167   iShares 1-3 Year Treasury Bond ETF   1,768,715 
 225,282   iShares Core U.S. Aggregate Bond ETF   24,161,494 
 13,975   iShares iBoxx $ High Yield Corporate Bond ETF   1,196,819 
 22,349   iShares JP Morgan USD Emerging Markets Bond ETF   2,521,414 
 43,968   iShares US Credit Bond ETF   4,791,193 
 208,130   iShares US Treasury Bond ETF   5,138,730 
         41,346,390 
     EQUITY FUNDS - 51.0%     
 89,551   iShares Core MSCI EAFE ETF   5,899,620 
 15,694   iShares Core MSCI Emerging Markets ETF   916,530 
 99,371   iShares Core S&P 500 ETF   26,370,082 
 19,482   iShares Core S&P Mid-Cap ETF   3,654,239 
 23,435   iShares Core S&P Small-Cap ETF   1,804,729 
 46,522   iShares MSCI Eurozone ETF   2,016,729 
 41,026   iShares MSCI Japan ETF   2,489,458 
 31,660   iShares Russell 1000 ETF   4,649,588 
         47,800,975 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $79,615,443)   89,147,365 
           
     SHORT-TERM INVESTMENT - 0.2%     
     MONEY MARKET FUND - 0.2%     
 213,430   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a)(Cost - $213,430)   213,430 
           
     TOTAL INVESTMENTS - 95.4% (Cost - $79,828,873)  $89,360,795 
     OTHER ASSETS LESS LIABILITIES - NET - 4.6%   4,261,994 
     TOTAL NET ASSETS - 100.0%  $93,622,789 

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic BlackRock Global Allocation Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     VARIABLE INSURANCE TRUST - 95.2%     
     ASSET ALLOCATION FUND - 95.2%     
 15,477,657   BlackRock Global Allocation V.I. Fund - Class 1 (Cost - $259,239,008)  $266,060,921 
           
     SHORT-TERM INVESTMENTS - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
 3,054   Fidelity Investments Money Market Funds - Government Portfolio Institutional Class to yield 1.49% (a)(Cost - $3,054)   3,054 
           
     TOTAL INVESTMENTS - 95.2% (Cost - $259,242,062)  $266,063,975 
     OTHER ASSETS LESS LIABILITIES - NET - 4.8%   13,394,518 
     TOTAL NET ASSETS - 100.0%  $279,458,493 

 

*Represents less than 0.1%

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     COMMON STOCKS - 70.3%     
     AEROSPACE/DEFENSE - 3.6%     
 26,070   General Dynamics Corp.  $5,758,863 
 36,800   United Technologies Corp.   4,630,176 
         10,389,039 
     AGRICULTURE - 1.6%     
 30,372   Archer-Daniels-Midland Co.   1,317,234 
 46,700   Bunge Ltd.   3,452,998 
         4,770,232 
     APPAREL - 1.3%     
 58,940   NIKE, Inc.   3,915,974 
           
     BEVERAGES - 1.3%     
 33,300   PepsiCo, Inc.   3,634,695 
           
     BUILDING MATERIALS - 1.0%     
 80,775   Johnson Controls International PLC   2,846,511 
           
     CHEMICALS - 7.1%     
 38,500   Air Products & Chemicals, Inc.   6,122,655 
 79,900   Albemarle Corp.   7,409,926 
 45,650   Praxair, Inc.   6,587,295 
 15,350   Versum Materials, Inc.   577,620 
         20,697,496 
     COMMERCIAL SERVICES - 2.4%     
 21,600   Cintas Corp.   3,684,528 
 15,700   Ecolab, Inc.   2,151,999 
 20,400   Matthews International Corp.   1,032,240 
         6,868,767 
     COMPUTERS - 2.5%     
 47,500   Accenture PLC - Cl. A   7,291,250 
           
     COSMETICS/PERSONAL CARE - 2.2%     
 45,966   Colgate-Palmolive Co.   3,294,843 
 38,900   Procter & Gamble Co. (The)   3,083,992 
         6,378,835 
     DISTRIBUTION/WHOLESALE - 0.8%     
 8,100   WW Grainger, Inc.   2,286,387 
           
     DIVERSIFIED FINANCIAL SERVICES - 0.9%     
 21,690   Visa, Inc. - Cl. A   2,594,558 
           
     ELECTRONICS - 2.5%     
 49,860   Honeywell International, Inc.   7,205,268 
           
     FOOD - 0.9%     
 23,860   McCormick & Co., Inc. (The)   2,538,465 
           
     HEALTHCARE-PRODUCTS - 9.7%     
 65,800   Abbott Laboratories   3,942,736 
 33,300   Becton Dickinson and Co.   7,216,110 
 30,200   Dentsply Sirona, Inc.   1,519,362 
 70,800   Medtronic PLC   5,679,576 
 47,300   Stryker Corp.   7,611,516 
 25,000   West Pharmaceutical Services, Inc.   2,207,250 
 C: 

 

 

         28,176,550 
     INSURANCE - 1.4%     
 43,200   Aflac, Inc.   1,890,432 
 15,093   Chubb Ltd.   2,064,270 
 1,300   RLI Corp.   82,407 
         4,037,109 
     IRON/STEEL - 0.6%     
 30,210   Nucor Corp.   1,845,529 
           
     MACHINERY-DIVERSIFIED - 2.7%     
 28,340   Roper Technologies, Inc.   7,954,755 
           
     MEDIA - 1.3%     
 57,400   Comcast Corp.   1,961,358 
 26,840   John Wiley & Sons, Inc.   1,709,708 
         3,671,066 
     MISCELLANEOUS MANUFACTURING - 4.7%     
 22,180   Carlisle Cos, Inc.   2,315,814 
 36,429   Donaldson Co., Inc.   1,641,126 
 55,700   Dover Corp.   5,470,854 
 62,370   Pentair PLC   4,249,268 
         13,677,062 
     OIL & GAS - 1.9%     
 9,900   Chevron Corp.   1,128,996 
 17,100   EOG Resources, Inc.   1,800,117 
 22,300   Exxon Mobil Corp.   1,663,803 
 13,500   Occidental Petroleum Corp.   876,960 
         5,469,876 
     OIL & GAS SERVICES - 0.9%     
 38,000   Schlumberger Ltd.   2,461,640 
           
     PHARMACEUTICALS - 3.9%     
 22,560   AbbVie, Inc.   2,135,304 
 28,790   CVS Health Corp.   1,791,026 
 40,400   Johnson & Johnson   5,177,260 
 16,800   Perrigo Co. PLC   1,400,112 
 24,300   Roche Holding AG - ADR   695,587 
         11,199,289 
     RETAIL - 7.0%     
 52,690   Gap, Inc. (The)   1,643,928 
 20,570   McDonald’s Corp.   3,216,736 
 57,100   Ross Stores, Inc.   4,452,658 
 24,800   Target Corp.   1,721,864 
 23,900   Tiffany & Co.   2,334,074 
 35,870   Walgreens Boots Alliance, Inc.   2,348,409 
 28,900   Wal-Mart, Inc.   2,571,233 
 23,000   Yum! Brands, Inc.   1,957,990 
         20,246,892 
     SEMICONDUCTORS - 4.4%     
 64,471   Analog Devices, Inc.   5,875,242 
 66,800   Texas Instruments, Inc.   6,939,852 
         12,815,094 
     SOFTWARE - 2.8%     
 89,410   Microsoft Corp.   8,160,451 
           
     TRANSPORTATION - 0.9%     
 25,610   United Parcel Service, Inc.   2,680,343 
           
     TOTAL COMMON STOCKS (Cost - $161,406,027)   203,813,133 
 C: 

 

 

    PREFERRED STOCK - 0.0% **          
    PACKAGING & CONTAINERS - 0.0% **  Coupon
Rate (%)
  Maturity    
 100,000   Crown Americas LLC/Crown Americas Capital Corp. VI (a) (Cost - $100,000)  4.750  2/1/2026   96,750 
                 
Principal Amount               
     ASSET BACKED SECURITIES - 5.2%           
$300,000   AMMC CLO 21 Ltd. 3 Month LIBOR + 2.10 (a)^  3.878  11/2/2030   300,696 
 200,000   BlueMountain Fuji CLO 2017-2A B 3 Month LIBOR + 2.15 (a) ^  3.481  10/20/2030   200,376 
 1,000,000   Carlyle Global Market Strategies CLO 2015-2A A1 3 Month LIBOR + 1.47 (a) ^  3.230  4/27/2027   1,000,040 
 200,000   Carlyle Global Market Strategies CLO 2017-4 3 Month LIBOR + 2.80 (a) ^  4.287  1/15/2030   201,071 
 250,000   CD 2016-CD2 A4 ^  3.526  11/10/2049   251,083 
 330,500   Colony American Homes 2015-1 1 Month LIBOR + 1.20 (a) ^  2.918  7/17/2032   330,632 
 300,000   Dryden 50 Senior Loan Fund 3 Month LIBOR + 2.25 (a) ^  3.970  7/15/2030   302,097 
 300,000   Dryden 64 CLO Ltd. 3 Month LIBOR + 2.65 (a) ^  0.000  4/18/2031   300,000 
 250,000   Eleven Madison Trust 2015-11MD Mortgage Trust (a) ^  3.555  9/10/2035   252,720 
 197,942   Emerson Park CLO Ltd. 3 Month LIBOR + 0.98 (a) ^  2.702  7/15/2025   197,971 
 60,000   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 2.60 ^  4.472  5/25/2024   63,526 
 283,822   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 2.60 ^  4.472  5/25/2024   298,771 
 273,311   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 2.90 ^  4.772  7/25/2024   290,785 
 326,293   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 3.00 ^  4.872  7/25/2024   348,127 
 218,854   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 4.00 ^  5.872  5/25/2025   234,930 
 264,046   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 4.90 ^  6.772  11/25/2024   301,479 
 245,579   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 5.00 ^  6.872  7/25/2025   278,608 
 208,120   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 5.00 ^  6.872  7/25/2025   231,736 
 130,000   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 5.75 ^  7.621  7/25/2029   151,813 
 1,400,000   Flagship CLO 3 Month LIBOR + 1.25 (a) ^  2.972  1/16/2026   1,400,276 
 250,000   Flagship CLO 3 Month LIBOR + 3.70 (a) ^  5.422  1/16/2026   250,081 
 350,000   Freddie Mac - STACR 1 Month LIBOR + 3.25 ^  5.122  5/25/2025   395,296 
 300,000   Freddie Mac - STACR 1 Month LIBOR + 3.80 ^  5.672  3/25/2025   319,747 
 300,000   Freddie Mac - STACR 1 Month LIBOR + 3.90 ^  5.772  12/25/2027   332,260 
 489,650   Freddie Mac - STACR 1 Month LIBOR + 4.00 ^  5.872  8/25/2024   534,460 
 280,213   Freddie Mac - STACR 1 Month LIBOR + 4.15 ^  6.022  1/25/2025   301,490 
 250,000   Freddie Mac - STACR 1 Month LIBOR + 5.55 ^  7.422  7/25/2028   304,380 
 200,000   Gilbert Park CLO Ltd. 3 Month LIBOR + 2.95 (a) ^  4.315  10/15/2030   201,345 
 329,872   Invitation Homes Trust ^  3.050  8/17/2032   330,101 
 306,412   Invitation Homes Trust 2015-SRF1 1 Month LIBOR + 1.45 (a) ^  3.200  3/17/2032   308,603 
 500,000   LCM XXV Ltd. 3 Month LIBOR + 2.30 (a) ^  4.045  7/20/2030   504,843 
 918,000   Madison Park Funding XXVII Ltd. 3 Month LIBOR + 1.13 (a) ^  3.177  4/20/2030   918,536 
 268,040   Mill City Mortgage Loan Trust 2016-1 (a) ^  2.500  4/25/2057   268,240 
 649,000   Neuberger Berman Loan Advisers CLO 27 Ltd. 3 Month LIBOR + 1.10 (a) ^  3.117  1/15/2030   648,757 
 200,000   NZCG Funding LLD 15-1 3 Month LIBOR + 1.55 (a) ^  3.494  2/26/2031   199,996 
 300,000   Octagon Investment Partners 33 Ltd. 3 Month LIBOR + 1.50 (a) ^  2.901  1/20/2031   300,526 
 100,000   Octagon Investment Partners 33 Ltd. 3 Month LIBOR + 2.75 (a) ^  4.151  1/20/2031   100,259 
 500,000   Octagon Investment Partners 35 Ltd. 3 Month LIBOR + 1.10 (a) ^  2.848  1/20/2031   500,078 
 150,000   Radnor RE 2018-1 Ltd. 1 Month LIBOR + 1.40 (a) ^  3.254  3/25/2028   150,000 
 100,000   TCI-Flatiron CLOS 2017-1 Ltd. 3 Month LIBOR + 2.75 (a) ^  4.377  11/17/2030   100,230 
 278,703   Towd Point Mortgage Trust 2015-1 (a) ^  2.750  11/25/2060   279,409 
 278,854   Towd Point Mortgage Trust 2016-4 (a) ^  2.250  7/25/2056   275,259 
 267,072   Towd Point Mortgage Trust 2017-2 (a) ^  2.750  4/25/2057   266,374 
 175,854   Towd Point Mortgage Trust 2017-3 (a) ^  2.750  7/25/2057   175,376 
 250,000   Voya CLO 2014-1 Ltd. 3 Month LIBOR + 2.80 (a) ^  0.000  4/18/2031   250,000 
     TOTAL ASSET BACKED SECURITIES (Cost - $15,115,717)         15,152,383 
                 
     CORPORATE BONDS - 9.5%           
     AEROSPACE/DEFENSE - 0.2%           
 300,000   Lockheed Martin Corp.  4.700  5/15/2046   325,560 
 100,000   Transdigm, Inc.  6.500  7/15/2024   102,500 
 100,000   United Technologies Corp.  1.125  12/15/2021   126,388 
               554,448 
 C: 

 

 

     AGRICULTURE - 0.1%           
 300,000   Reynolds American, Inc.  5.700  8/15/2035   341,326 
                 
     AIRLINES - 0.1%           
 200,000   United Airlines 2018-1 Class AA Pass Through Trust  3.500  3/1/2030   197,537 
                 
     AUTO PARTS & EQUIPMENT - 0.1%           
 200,000   Delphi Corp.  4.150  3/15/2024   205,101 
                 
     BANKS - 2.1%           
 300,000   Banca Monte Dei Paschi di Siena SpA  2.125  11/26/2025   391,906 
 700,000   Bank of America Corp.  3.500  4/19/2026   687,763 
 300,000   Barclays PLC  4.375  9/11/2024   293,053 
 700,000   Capital One Financial Corp.  3.200  2/5/2025   671,383 
 600,000   Citigroup, Inc.  3.400  5/1/2026   579,913 
 500,000   Goldman Sachs Group, Inc. (The)  3.750  2/25/2026   491,270 
 400,000   HSBC Holdings PLC  4.300  3/8/2026   409,250 
 200,000   ICICI Bank Ltd. (a)  3.800  12/14/2027   186,325 
 250,000   Industrial & Commercial Bank of China Ltd.  2.957  11/8/2022   243,930 
 500,000   JPMorgan Chase & Co.  3.200  6/15/2026   479,658 
 300,000   JPMorgan Chase & Co.  3.250  9/23/2022   299,112 
 500,000   Morgan Stanley  3.875  1/27/2026   499,565 
 400,000   Wells Fargo & Co.  2.500  3/4/2021   392,733 
 500,000   Wells Fargo & Co.  3.000  4/22/2026   469,425 
               6,095,286 
     BEVERAGES - 0.2%           
 500,000   Anheuser-Busch InBev Finance, Inc.  3.650  2/1/2026   497,024 
                 
     BIOTECHNOLOGY - 0.2%           
 200,000   Baxalta, Inc.  3.600  6/23/2022   199,385 
 200,000   Biogen, Inc.  5.200  9/15/2045   218,396 
 100,000   Celgene Corp.  3.450  11/15/2027   94,794 
               512,575 
     CHEMICALS - 0.2%           
 200,000   Chemours Co.  5.375  5/15/2027   200,500 
 300,000   LYB International Finance BV  4.000  7/15/2023   305,606 
               506,106 
     COAL - 0.0% **           
 100,000   SunCoke Energy Partners LP/SunCoke Energy Partners Finance Corp. (a)  7.500  6/15/2025   103,000 
                 
     COMMERCIAL SERVICES - 0.0% **           
 100,000   IHS Markit Ltd. (a)  4.000  3/1/2026   96,000 
                 
     COMPUTERS - 0.1%           
 100,000   Dell International LLC (a)  3.480  6/1/2019   100,452 
 200,000   West Corp. (a)  8.500  10/15/2025   193,500 
               293,952 
     DIVERSIFIED FINANCIAL SERVICES - 0.1%           
 200,000   Navient Corp.  6.750  6/25/2025   202,750 
 200,000   Tempo Acquisition LLC (a)  6.750  6/1/2025   199,750 
               402,500 
     ELECTRIC - 1.1%           
 600,000   Calpine Corp.  5.375  1/15/2023   574,380 
 200,000   Colbun SA (a)  3.950  10/11/2027   193,044 
 400,000   Dominion Energy, Inc.  3.900  10/1/2025   400,013 
 200,000   Dynegy, Inc. (a)  8.125  1/30/2026   220,750 
 400,000   Electricite De France SA 10 Year Swap Rate + 3.709 (a) ^  5.250  1/29/2049   400,800 
 200,000   Israel Electric Corp. Ltd. (a)  4.250  8/14/2028   195,964 
 500,000   Southern Co. (The)  3.250  7/1/2026   475,114 
 300,000   State Grid Overseas Investment (a)  3.500  5/4/2027   289,248 
 100,000   Talen Energy Supply LLC (a)  9.500  7/15/2022   97,000 
 100,000   Talen Energy Supply LLC (a)  10.500  1/15/2026   86,000 
 300,000   Three Gorges Finance Ltd. (a)  3.700  6/10/2025   298,425 
               3,230,738 
 C: 

 

 

     ELECTRICAL COMPONENTS & EQUIPMENT - 0.1%           
 100,000   Legrand France SA  8.500  2/15/2025   126,979 
                 
     ELECTRONICS - 0.0% **           
 100,000   Tech Data Corp.  4.950  2/15/2027   100,249 
                 
     FOOD - 0.3%           
 400,000   Kraft Heinz Foods Co.  3.500  7/15/2022   399,242 
 300,000   Kroger Co. (The)  4.000  2/1/2024   305,746 
 100,000   Lamb Weston HLD (a)  4.875  11/1/2026   99,125 
               804,113 
     FOOD SERVICE - 0.0% **           
 100,000   Aramark Services, Inc. (a)  5.000  2/1/2028   97,875 
                 
     HEALTHCARE-PRODUCTS - 0.1%           
 100,000   Avantor, Inc. (a)  6.000  10/1/2024   99,500 
 300,000   Stryker Corp.  3.500  3/15/2026   299,131 
               398,631 
     HEALTHCARE-SERVICES - 0.0% **           
 100,000   Community Health Systems, Inc.  6.250  3/31/2023   92,125 
 35,000   Orlando Health Obligated Group  3.777  10/1/2028   35,169 
               127,294 
     HOME BUILDERS - 0.0% **           
 100,000   Pultegroup, Inc.  5.000  1/15/2027   97,220 
                 
     INSURANCE - 0.3%           
 300,000   Liberty Mutual Group, Inc. (a)  4.950  5/1/2022   316,773 
 100,000   MetLife, Inc.  3.000  3/1/2025   96,155 
 400,000   Teachers Insurance & Annuity Association of America (a)  4.900  9/15/2044   440,861 
               853,789 
     INTERNET - 0.1%           
 100,000   Amazon.com, Inc. (a)  2.800  8/22/2024   97,030 
 100,000   Symantec Corp. (a)  5.000  4/15/2025   100,855 
 200,000   Tencent Holdings Ltd. (a)  3.595  1/19/2028   192,636 
               390,521 
     LODGING - 0.2%           
 300,000   Marriott International, Inc.  3.750  10/1/2025   298,735 
 200,000   Wynn Las Vegas Capital Corp. LLC (a)  5.250  5/15/2027   196,250 
               494,985 
     MACHINERY - CONSTRUCTION AND MINING - 0.1%           
 200,000   Vertiv Group Corp. (a)  9.250  10/15/2024   209,000 
                 
     MACHINERY - DIVERSIFIED - 0.1%           
 100,000   CNH Industrial NV  3.850  11/15/2027   97,163 
 100,000   Tennant Co.  5.625  5/1/2025   102,000 
               199,163 
     MEDIA - 0.4%           
 200,000   Altice U.S. Finance Corp. (a)  5.500  5/15/2026   195,480 
 200,000   CCO Holdings LLC (a)  5.125  5/1/2027   189,880 
 300,000   Comcast Corp.  3.150  2/15/2028   285,744 
 100,000   Nexstar Broadcasting, Inc. (a)  5.625  8/1/2024   97,970 
 300,000   Time Warner, Inc.  2.950  7/15/2026   274,753 
               1,043,827 
     MINING - 0.2%           
 100,000   First Quantum Minerals Ltd. (a)  7.250  4/1/2023   98,750 
 300,000   Glencore Finance Canada (a)  4.950  11/15/2021   312,540 
 100,000   Northwest Acquisitions ULC/Dominion Finco, Inc. (a)  7.125  11/1/2022   102,000 
               513,290 
 C: 

 

 

     OIL & GAS - 0.4%           
 300,000   Anadarko Petroleum Corp.  6.450  9/15/2036   359,690 
 400,000   CNOOC Finance 2015 USA LLC  3.500  5/5/2025   386,365 
 400,000   Sinopec Group Overseas Development 2015 Ltd. (a)  3.250  4/28/2025   381,630 
 100,000   Sunoco LP/Sunoco Finance Corp. (a)  4.875  1/15/2023   96,375 
               1,224,060 
     OIL & GAS SERVICES - 0.1%           
 200,000   Weatherford International Ltd.  8.250  6/15/2023   174,394 
                 
     PACKAGING & CONTAINERS - 0.3%           
 200,000   Ardagh Packaging Finance PLC (a)  6.000  2/15/2025   201,000 
 200,000   Bway Holding Co. (a)  7.250  4/15/2025   204,000 
 100,000   Multi-Color Corp. (a)  4.875  11/1/2025   93,500 
 100,000   OI European Group BV (a)  4.000  3/15/2023   95,250 
 200,000   Plastipak Holdings, Inc. (a)  6.250  10/15/2025   199,500 
 150,000   Reynolds Group Issuer, Inc. (a)  7.000  7/15/2024   157,031 
               950,281 
     PHARMACEUTICALS - 0.3%           
 300,000   Allergan Funding SCS  4.550  3/15/2035   293,694 
 100,000   Catalent Pharma Solutions, Inc. (a)  4.875  1/15/2026   97,500 
 100,000   CVS Health Corp.  4.300  3/25/2028   100,426 
 200,000   Endo DAC/Endo Finance Ltd. (a)  6.000  2/1/2025   143,500 
 200,000   Valeant Pharmaceuticals International, Inc. (a)  7.500  7/15/2021   200,750 
               835,870 
     PIPELINES - 0.5%           
 200,000   Cheniere Corpus Christi Holdings LLC  7.000  6/30/2024   221,250 
 100,000   Cheniere Energy Partners LP (a)  5.250  10/1/2025   98,625 
 100,000   Energy Transfer Equity LP  4.250  3/15/2023   97,000 
 400,000   Enterprise Products Operating LLC  4.450  2/15/2043   398,110 
 100,000   Kinder Morgan Energy Partners LP  6.500  9/1/2039   114,047 
 400,000   Sabine Pass Liquefacation LLC  5.000  3/15/2027   415,564 
               1,344,596 
     REAL ESTATE - 0.1%           
 100,000   American Homes 4 Rent LP  4.250  2/15/2028   97,993 
 150,000   Prologis LP  3.750  11/1/2025   151,484 
               249,477 
     REAL ESTATE INVESTMENT TRUSTS - 0.3%           
 300,000   American Tower Corp.  4.400  2/15/2026   303,160 
 200,000   Crown Castle International Corp.  3.800  2/15/2028   192,354 
 100,000   MPT Operating Partnership LP  5.000  10/15/2027   98,030 
 400,000   Realty Income Corp.  4.125  10/15/2026   403,678 
               997,222 
     RETAIL - 0.3%           
 200,000   Beacon Escrow Corp. (a)  4.875  11/1/2025   190,500 
 300,000   Dollar General Corp.  4.150  11/1/2025   308,296 
 300,000   Home Depot, Inc. (The)  2.125  9/15/2026   271,375 
 100,000   New Red Finance, Inc. (a)  5.000  10/15/2025   95,220 
 200,000   PetSmart, Inc. (a)  7.125  3/15/2023   113,500 
               978,891 
     SOFTWARE - 0.1%           
 100,000   Ascend Learning LLC (a)  6.875  8/1/2025   102,750 
 200,000   Fiserv, Inc.  3.850  6/1/2025   201,865 
               304,615 
     TELECOMMUNICATIONS - 0.4%           
 200,000   Juniper Networks, Inc.  4.350  6/15/2025   202,422 
 250,000   Sprint Corp.  7.125  6/15/2024   243,750 
 200,000   Sprint Spectrum Co. LLC (a)  5.152  3/20/2028   201,060 
 150,000   Telefonica Emisiones, S.A.U.  4.570  4/27/2023   157,718 
 300,000   Verizon Communications, Inc.  2.625  8/15/2026   273,971 
               1,078,921 
 C: 

 

 

     TRANSPORTATION - 0.2%           
 500,000   FedEx Corp.  3.250  4/1/2026   485,847 
                 
     TRUCKING & LEASING - 0.1%           
 200,000   DAE Funding LLC (a)  5.000  8/1/2024   189,250 
 100,000   Park Aerospace Holdings (a)  5.250  8/15/2022   97,970 
               287,220 
                 
     TOTAL CORPORATE BONDS (Cost $28,229,719)         27,403,923 
                 
     MUNICIPAL BOND - 0.0% **           
 90,000   San Jose Redevelopment Agency Successor Agency (Cost - $90,000)  3.226  8/1/2027   88,411 
                 
     TERM LOANS - 0.9%           
 149,248   AMC Entertainment Holdings, Inc. ^  3.727  12/15/2023   149,559 
 81,000   Aristocrat International Pty Ltd. ^  3.357  9/19/2024   81,304 
 98,591   Ascena Retail Group, Inc. ^  5.875  8/21/2022   86,513 
 64,862   B&G Foods ^  0.000  11/2/2022   65,206 
 198,500   Cablevision  3.741  7/17/2025   197,797 
 223,869   Car TL B 1L USD Corp. ^  3.340  3/15/2022   224,989 
 34,912   Chemours ^  0.000  5/12/2022   34,869 
 10,000   Commscope ^  0.000  12/29/2022   10,044 
 99,222   Eldorado Resorts, Inc. ^  3.625  3/16/2024   99,470 
 34,912   Endo International ^  5.625  4/12/2024   34,810 
 99,499   Felp TL B 1L USD Corp. ^  7.083  3/28/2022   97,737 
 100,000   Fieldwood Energy LLC ^  4.208  9/28/2018   99,563 
 107,074   General Nutrition Centers, Inc. ^  10.558  3/4/2021   100,738 
 42,926   General Nutrition Centers, Inc. ^  8.650  12/31/2022   43,881 
 34,913   Harbor Freight Tools  3.789  8/16/2023   34,944 
 99,242   Hertz Corp. (The) ^  4.100  6/30/2023   99,196 
 114,043   IMS ^  3.600  1/13/2025   114,556 
 248,747   JBS USA Lux SA  6.000  10/30/2022   247,866 
 20,894   Jo-Ann Stores ^  6.551  10/21/2023   20,777 
 80,000   Live Nation ^  0.000  10/27/2023   80,350 
 131,066   Mallinckrodt International Finance SA ^  4.083  9/24/2024   130,466 
 149,246   Mueller Water Products, Inc. ^  4.100  11/25/2021   150,179 
 99,490   PetSmart, Inc. ^  4.340  3/10/2022   79,626 
 98,726   Post ^  3.280  5/24/2024   99,010 
 198,732   U.S. Renal Care, Inc. ^  5.583  11/16/2022   199,393 
 70,755   Valeant Pharmaceuticals International, Inc.  4.940  3/11/2022   71,476 
 41,436   Western Digital Corp. ^  3.313  4/29/2023   41,636 
     TOTAL TERM LOANS (Cost - $2,690,856)         2,695,955 
                 
     MORTGAGE BACKED SECURITIES - 5.7%           
     FEDERAL HOME LOAN MORTGAGE CORP. - 3.1%           
 230,000   Freddie Mac Gold Pool +  3.50  6/15/2047   230,467 
 1,447,179   Freddie Mac Gold Pool  3.50  9/1/2047   1,450,842 
 1,900,000   Freddie Mac Gold Pool  3.50  4/1/2048   1,905,079 
 1,850,000   Freddie Mac Gold Pool +  4.00  11/15/2045   1,898,274 
 3,295,934   Freddie Mac Gold Pool  4.00  9/1/2047   3,386,525 
               8,871,187 
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.3%           
 1,760,000   Fannie Mae Pool  3.00  4/1/2033   1,758,690 
 300,000   Fannie Mae Pool +  3.50  2/25/2046   300,627 
 1,739,058   Fannie Mae Pool  3.50  9/1/2047   1,742,397 
 740,000   Fannie Mae Pool  3.50  4/1/2048   741,421 
 520,000   Fannie Mae Pool +  4.00  11/25/2045   533,487 
 949,310   Fannie Mae Pool  4.00  9/1/2047   974,362 
 700,000   Fannie Mae Pool +  4.50  8/25/2044   732,922 
               6,783,906 
 C: 

 

 

     GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.3%           
 544,978   Ginnie Mae II Pool  3.50  8/20/2047   550,773 
 300,000   Ginnie Mae II Pool +  3.50  8/20/2047   302,912 
 99,512   Ginnie Mae II Pool  3.50  1/20/2048   100,511 
               954,196 
                 
     TOTAL MORTGAGE BACKED SECURITIES (Cost - $16,816,146)         16,609,289 
                 
     COMMERCIAL MORTGAGE OBLIGATIONS - 0.1%           
 280,000   FREMF Mortgage Trust (a) (Cost - $283,196)  3.992  12/25/2050   272,380 
                 
     SOVEREIGN DEBT - 0.3%           
 200,000   Export-Import Bank of China (The) (a)  3.63  7/31/2024   200,100 
 200,000   Export-Import Bank of India (a)  3.88  2/1/2028   193,786 
 300,000   Export-Import Bank of Korea  2.25  1/21/2020   295,488 
     TOTAL SOVEREIGN DEBT (Cost - $707,224)         689,374 
                 
     U.S. TREASURY SECURITIES - 3.5%           
 1,105,000   United States Treasury Bond  2.250  8/15/2046   951,811 
 600,000   United States Treasury Bond  2.500  2/15/2045   547,851 
 825,000   United States Treasury Bond  2.500  2/15/2046   750,847 
 840,000   United States Treasury Bond  2.500  5/15/2046   763,875 
 150,000   United States Treasury Bond  2.750  8/15/2047   143,361 
 35,000   United States Treasury Bond  2.750  11/15/2047   33,459 
 940,000   United States Treasury Bond  2.875  5/15/2043   926,561 
 250,000   United States Treasury Bond  3.000  11/15/2044   251,660 
 600,000   United States Treasury Bond  4.250  11/15/2040   732,516 
 820,000   United States Treasury Bond  4.375  2/15/2038   1,008,952 
 300,000   United States Treasury Bond  4.500  2/15/2036   370,699 
 455,000   United States Treasury Inflation Index Note  0.125  7/15/2022   485,522 
 550,000   United States Treasury Inflation Index Note  0.125  7/15/2024   560,931 
 1,400,000   United States Treasury Note  2.000  11/30/2020   1,386,602 
 1,300,000   United States Treasury Note  2.625  11/15/2020   1,308,125 
     TOTAL U.S. TREASURY SECURITIES (Cost - $10,352,881)         10,222,772 
                 
Shares               
    SHORT-TERM INVESTMENTS - 5.5%           
     MONEY MARKET FUND - 5.5%           
 15,986,706   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 1.49% (b)         15,986,706 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $15,986,706)           
                 
     TOTAL INVESTMENTS - 101.0% (Cost - $251,778,472)        $293,031,076 
     OTHER ASSETS LESS LIABILITIES - NET - (1.0)%         (2,867,640)
     TOTAL NET ASSETS - 100.0%        $290,163,436 

 

+All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions.

 

*Non-income producing security.

 

**Represents less than 0.05%

 

^Variable rate security. Interest Rates are subject to periodic change.

 

Benchmark  Rate
1 Month USD LIBOR  1.88%
3 Month USD LIBOR  2.32%

 

ADR - American Depositary Receipt

 

ETF - Exchange Traded Fund

 

LP - Limited Partnership

 

REIT - Real Estate Investment Trust

 

(a)144(a) - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of March 31, 2018, these securities amounted to $19,412,501 or 6.7% of net assets.

 

(b)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

 

                 Unrealized 
                 Appreciation/ 
   Counterparty  Contracts   Expiration Date  Notional Value   (Depreciation) 
SHORT FUTURES CONTRACTS                  
E-Mini Russell 2000 Index Future  Morgan Stanley   8   Jun-18   612,480   $(4,335)
Euro Bund Future  Morgan Stanley   7   Jun-18   1,372,525    (21,691)
Mini MSCI Emerging Markets Index Future  Morgan Stanley   1   Jun-18   59,390    (625)
S&P MidCap 400 E-Mini Future  Morgan Stanley   13   Jun-18   2,448,030    (27,740)
S&P 500 E-Mini Future  Morgan Stanley   180   Jun-18   23,787,000    (271,400)
U.S. 10 Year Note Future  Morgan Stanley   2   Jun-18   242,281    (2,563)
U.S. 10 Year Ultra Bond Future  Morgan Stanley   16   Jun-18   2,077,750    (19,912)
                    (348,266)
                      
LONG FUTURES CONTRACT                     
Australian 10 Year Bond Future  Morgan Stanley   4   Jun-18   397,691    4,225 
Canadian 10 Year Bond Future  Morgan Stanley   6   Jun-18   620,221    10,309 
Long Gilt Future  Morgan Stanley   5   Jun-18   861,460    12,999 
U.S. 5 Year Note Future  Morgan Stanley   46   Jun-18   5,265,203    14,734 
U.S. Long Bond Future  Morgan Stanley   6   Jun-18   879,750    21,563 
                    63,830 
NET UNREALIZED DEPRECIATION OF FUTURES CONTRACTS         $(284,436)
 C: 

 

 

 

INTEREST RATE SWAPS* 
                                  
                            Premiums   Unrealized 
      Floating Rate as  Pay/Receive      Expiration   Notional       Paid/   Appreciation/ 
Counterparty  Floating Rate Index  of 3/31/18  Floating Rate  Fixed Rate   Date   Amount   Value   (Received)   (Depreciation) 
JP Morgan Chase  USA-CPI-U  249.554%  Pay   1.96%   8/31/2024   $900,000   $22,255   $   $22,255 

 

 

CREDIT DEFAULT SWAPS**

 

Counterparty Index Buy/Sell
Protection
Fixed Rate Received Fixed Rate Paid Expiration Date Notional Amount Value Premiums Paid/
(Received)
Unrealized Appreciation/
(Depreciation)
Citibank NA AES Corp. Buy 0.00% 5.00% 6/20/2022  $400,000   $(14,874)  $-   $(14,874)
JPMorgan Ally Financial, Inc. Buy 0.00% 5.00% 12/20/2022  200,000   (47)  -   (47)
Citibank NA Best Buy Co., Inc. Buy 0.00% 5.00% 6/20/2022  250,000   (7,802)  -   (7,802)
Citibank NA Bombardier, Inc. Buy 0.00% 5.00% 6/20/2022  200,000   (5,834)  -   (5,834)
JPMorgan Capital One Financial Corp. Sell 1.00% 0.00% 12/20/2022  100,000   (248)  -   (248)
Citibank NA CDX.EM.29 Sell 1.00% 0.00% 6/20/2023  700,000   1,645   (19)  1,664 
Goldman Sachs International CDX.NA.HY.30 Sell 5.00% 0.00% 6/20/2023  525,000   (1,158)  (583)  (575)
Citibank NA CDX.NA.IG.29 Sell 1.00% 0.00% 12/20/2022  2,000,000   (970)  -   (970)
JPMorgan Dish DBS Corp. Sell 5.00% 0.00% 6/20/2023  100,000   (39)  (56)  17 
JPMorgan Dish DBS Corp. Buy 0.00% 5.00% 6/20/2021  100,000   (2,270)  56   (2,326)
Citibank NA General Electric Co. Sell 1.00% 0.00% 12/20/2022  175,000   (752)  (408)  (344)
Citibank NA/JPMorgan Goldman Sachs Sell 1.00% 0.00% 12/20/2022  200,000   (158)  -   (158)
JPMorgan ITRX.EUR.28 Buy 0.00% 1.00% 12/20/2022  1,750,000   (5,355)  -   (5,355)
Citibank NA MCDX.NA.29 Sell 1.00% 0.00% 12/20/2022  1,050,000   855   -   855 
Citibank NA Morgan Stanley Sell 1.00% 0.00% 12/20/2022  100,000   (177)  -   (177)
Citibank NA Nabors Inds, Inc. Buy 0.00% 1.00% 6/20/2020  50,000   (1,384)  (93)  (1,291)
Citibank NA Nabors Inds, Inc. Sell 1.00% 0.00% 6/20/2022  50,000   2,244   93   2,151 
Citibank NA Republic of Colombia Sell 1.00% 0.00% 6/20/2023  175,000   (636)  (413)  (223)
Goldman Sachs International Republic of Indonesia Sell 1.00% 0.00% 6/20/2023  175,000   (1,056)  (408)  (648)
Barclays Bank PLC Republic of Turkey Buy 0.00% 1.00% 6/20/2023  98,000   (113)  3   (116)
Citibank NA Simon Property Group LP Sell 1.00% 0.00% 6/20/2022  480,000   3,854   -   3,854 
JPMorgan United Mexican States Sell 1.00% 0.00% 6/20/2023  175,000   16   (413)  429 
                 $(2,241)  $(32,018)

 

TOTAL RETURN SWAPS** 
                                
                          Premiums   Unrealized 
      Buy/Sell  Floating Rate  Floating Rate  Expiration  Notional       Paid/   Appreciation/ 
Counterparty  Index  Protection  Received  Paid  Date  Amount   Value   (Received)   (Depreciation) 
Citibank NA  iBoxx $ Liquid  Buy  0.00%  1.33%  6/20/2018  $1,050,000   $3,775   $   $3,775 
Citibank NA  iBoxx $ Liquid  Buy  0.00%  1.63%  9/20/2018  $175,000    (1,587)  $    (1,587)
                            $   $2,188 
                                    
*   Pays at termination.              $   $(7,575)
                       
**  Pays quarterly.                    
 C: 

 

 

 

Schedule of Forward Foreign Currency Contracts

 

Settlement     Currency Units to              Unrealized Appreciation 
Date  Counterparty  Receive/Deliver      In Exchange For   U.S. $ Value   (Depreciation) 
To Buy:           
4/12/2018  Barclays Bank PLC  $1,500,000,000   IDR  $108,775   $108,851   $76 
4/12/2018  Barclays Bank PLC   11,500,000   INR   172,053    176,058    4,005 
4/12/2018  Barclays Bank PLC   3,640,000   MXN   190,896    199,048    8,152 
4/19/2018  Barclays Bank PLC   212,000   AUD   169,664    162,616    (7,048)
4/19/2018  Barclays Bank PLC   216,000   AUD   171,428    165,684    (5,744)
4/19/2018  Barclays Bank PLC   630,000   BRL   194,805    189,269    (5,536)
4/19/2018  Barclays Bank PLC   210,000   CAD   168,833    162,943    (5,890)
4/19/2018  Barclays Bank PLC   163,000   CAD   128,336    126,475    (1,861)
4/19/2018  Barclays Bank PLC   137,000   CAD   106,309    106,301    (8)
4/19/2018  Barclays Bank PLC   90,000   EUR   106,290    110,837    4,547 
4/19/2018  Barclays Bank PLC   140,000   EUR   168,480    172,412    3,932 
4/19/2018  Barclays Bank PLC   146,000   EUR   179,799    179,802    3 
4/19/2018  Barclays Bank PLC   153,000   EUR   188,817    188,422    (395)
4/19/2018  Barclays Bank PLC   24,000   GBP   33,276    33,694    418 
4/19/2018  Barclays Bank PLC   206,000   GBP   289,121    289,211    90 
4/19/2018  Barclays Bank PLC   2,000,000,000   IDR   145,613    145,056    (557)
4/19/2018  Barclays Bank PLC   13,000,000   INR   196,910    198,848    1,938 
4/19/2018  Barclays Bank PLC   19,600,000   JPY   175,357    184,517    9,160 
4/19/2018  Barclays Bank PLC   20,000,000   JPY   180,578    188,282    7,704 
4/19/2018  Barclays Bank PLC   39,400,000   JPY   358,345    370,916    12,571 
4/19/2018  Barclays Bank PLC   21,000,000   JPY   186,501    197,696    11,195 
4/19/2018  Barclays Bank PLC   15,800,000   MXN   803,859    863,072    59,213 
4/19/2018  Barclays Bank PLC   1,450,000   NOK   176,131    184,797    8,666 
4/19/2018  Barclays Bank PLC   500,000   PLN   140,667    146,015    5,348 
4/19/2018  Barclays Bank PLC   1,500,000   SEK   180,875    179,348    (1,527)
4/19/2018  Barclays Bank PLC   642,000   SEK   79,448    76,761    (2,687)
4/19/2018  Barclays Bank PLC   104,000   SGD   78,889    79,347    458 
4/19/2018  Barclays Bank PLC   96,000   SGD   72,876    73,243    367 
                         106,590 
                           
To Sell:      
4/12/2018  Barclays Bank PLC   3,640,000   MXN   193,375    199,048    (5,673)
4/19/2018  Barclays Bank PLC   770,000   AUD   603,357    590,635    12,722 
4/19/2018  Barclays Bank PLC   340,000   CAD   271,046    263,813    7,233 
4/19/2018  Barclays Bank PLC   430,000   CAD   342,758    333,646    9,112 
4/19/2018  Barclays Bank PLC   1,140,000   EUR   1,353,055    1,403,931    (50,876)
4/19/2018  Barclays Bank PLC   230,000   GBP   304,327    322,905    (18,578)
4/19/2018  Barclays Bank PLC   100,000,000   JPY   902,039    941,411    (39,372)
4/19/2018  Barclays Bank PLC   165,000,000   KRW   146,150    154,900    (8,750)
4/19/2018  Barclays Bank PLC   2,100,000   MXN   111,385    114,712    (3,327)
4/19/2018  Barclays Bank PLC   730,000   NOK   93,976    93,036    940 
4/19/2018  Barclays Bank PLC   720,000   NOK   93,171    91,761    1,410 
4/19/2018  Barclays Bank PLC   3,650,000   PHP   69,944    69,888    56 
4/19/2018  Barclays Bank PLC   200,000   SGD   148,324    152,591    (4,267)
9/13/2018  Barclays Bank PLC   300,000   EUR   367,050    373,780    (6,730)
                         (106,100)
                           
Net unrealized appreciation on forward foreign currency contracts   $490 
 C: 

 

 

Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 33.8%           
     DEBT FUNDS - 9.6%           
 26,657   iShares Short Maturity Bond ETF        $1,317,051 
 9,000   iShares Short Treasury Bond ETF         993,330 
 9,050   SPDR Bloomberg Barclays 1-3 Month T-Bill ETF         828,528 
               3,138,909 
     EQUITY FUNDS - 24.2%           
 7,536   iShares Core S&P 500 ETF         1,999,828 
 15,063   SPDR S&P 500 ETF Trust         3,963,828 
 8,237   Vanguard S&P 500 ETF         1,994,013 
               7,957,669 
     TOTAL EXCHANGE TRADED FUNDS (Cost $9,675,311)         11,096,578 
Principal Amount      Coupon Rate (%)  Maturity     
     U.S. TREASURY NOTE - 28.5%           
$9,720,000   United States Treasury Note (Cost $9,251,501)  2.25  2/15/2027   9,342,211 
                 
Contracts      Counterparty  Notional Value     
    PURCHASED OPTIONS - 1.6%           
 9   Nikkei 225 Index, June 2018, Put @ $20,250  Morgan Stanley  182,250,000   37,870 
 9   Nikkei 225 Index, September 2018, Put @ $20,000  Morgan Stanley  180,000,000   61,989 
 36   S&P 500 Index, June 2018, Put @ $2,525  Morgan Stanley  9,090,000   169,560 
 36   S&P 500 Index, September 2018, Put @ $2,450  Morgan Stanley  8,820,000   245,880 
     TOTAL PURCHASED OPTIONS (Cost - $376,442)         515,299 
                 
Shares               
    SHORT-TERM INVESTMENTS - 32.4%           
     MONEY MARKET FUND - 32.4%           
 10,629,803   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 1.49% (a) (Cost - $10,629,803)         10,629,803 
                 
     TOTAL INVESTMENTS - 96.3% (Cost - $29,933,057)        $31,583,891 
     OTHER ASSETS LESS LIABILITIES - NET - 3.7%         1,203,628 
     TOTAL NET ASSETS - 100.0%        $32,787,519 

 

(a)Money market rate shown represents the rate at March 31, 2018.

 

Contracts   Options Written  Counterparty  Notional Value   Value 
 18   Nikkei 225 Index, April 2018, Call @ $22,250  Morgan Stanley   400,500,000   $(6,685)
 72   S&P 500 Index, April 2018, Call @ $2,860  Morgan Stanley   20,592,000    (5,400)
     TOTAL OPTIONS WRITTEN (Premiums received - $71,147)          $(12,085)
 C: 

 

 

 

                Unrealized Appreciation/ 
   Counterparty  Contracts  Expiration Date  Notional Value   (Depreciation) 
LONG FUTURES CONTRACTS                 
E-Mini Russell 2000 Index Future  Credit Suisse  48  6/30/2018   3,674,880   $(168,360)
Nikkei 225 Index Future  Credit Suisse  18  6/30/2018   3,589,845    (15,085)
S&P 500 E-Mini Future  Credit Suisse  37  6/30/2018   4,889,550    (260,333)
S&P Midcap 400 E-Mini Future  Credit Suisse  13  6/30/2018   2,448,030    (51,770)
TOTAL UNREALIZED DEPRECIATION OF FUTURES CONTRACTS    $(495,548)
 C: 

 

 

Global Atlantic Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.5%     
     DEBT FUNDS - 14.9%     
 43,311   iShares 1-3 Year Credit Bond ETF  $4,495,682 
 53,822   iShares 1-3 Year Treasury Bond ETF   4,497,366 
 380,630   iShares Core U.S. Aggregate Bond ETF   40,822,568 
 24,742   iShares iBoxx $ High Yield Corporate Bond ETF   2,118,905 
 51,808   iShares JP Morgan USD Emerging Markets Bond ETF   5,844,979 
 64,596   iShares US Credit Bond ETF   7,039,026 
 253,226   iShares US Treasury Bond ETF   6,252,150 
         71,070,676 
     EQUITY FUNDS - 80.6%     
 939,248   iShares Core MSCI EAFE ETF   61,877,658 
 129,888   iShares Core MSCI Emerging Markets ETF   7,585,459 
 824,604   iShares Core S&P 500 ETF   218,825,163 
 161,639   iShares Core S&P Mid-Cap ETF   30,318,627 
 194,110   iShares Core S&P Small-Cap ETF   14,948,411 
 117,770   iShares MSCI Eurozone ETF   5,105,330 
 103,940   iShares MSCI Japan ETF   6,307,079 
 262,877   iShares Russell 1000 ETF   38,606,116 
         383,573,843 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $379,490,534)   454,644,519 
           
     SHORT-TERM INVESTMENT - 0.2%     
     MONEY MARKET FUND - 0.2%     
 1,100,724   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a) (Cost - $1,100,724)   1,100,724 
           
     TOTAL INVESTMENTS - 95.7% (Cost - $380,591,258)  $455,745,243 
     OTHER ASSETS LESS LIABILITIES - NET - 4.3%   20,457,235 
     TOTAL NET ASSETS - 100.0%  $476,202,478 

 

ETF - Exchange Traded Fund

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic Moderate Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.3%     
     DEBT FUNDS - 30.0%     
 27,224   iShares 1-3 Year Credit Bond ETF  $2,825,851 
 33,831   iShares 1-3 Year Treasury Bond ETF   2,826,918 
 240,708   iShares Core U.S. Aggregate Bond ETF   25,815,933 
 15,552   iShares iBoxx $ High Yield Corporate Bond ETF   1,331,873 
 32,565   iShares JP Morgan USD Emerging Markets Bond ETF   3,673,983 
 40,994   iShares US Credit Bond ETF   4,467,116 
 162,034   iShares US Treasury Bond ETF   4,000,620 
         44,942,294 
     EQUITY FUNDS - 65.3%     
 201,080   iShares Core MSCI EAFE ETF   13,247,150 
 32,461   iShares Core MSCI Emerging Markets ETF   1,895,722 
 205,412   iShares Core S&P 500 ETF   54,510,183 
 40,243   iShares Core S&P Mid-Cap ETF   7,548,380 
 48,397   iShares Core S&P Small-Cap ETF   3,727,053 
 74,357   iShares MSCI Eurozone ETF   3,223,376 
 65,572   iShares MSCI Japan ETF   3,978,909 
 65,492   iShares Russell 1000 ETF   9,618,155 
         97,748,928 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $123,448,192)   142,691,222 
           
     SHORT-TERM INVESTMENT - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
 78,897   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a) (Cost - $78,897)   78,897 
           
     TOTAL INVESTMENTS - 95.3% (Cost - $123,527,089)  $142,770,119 
     OTHER ASSETS LESS LIABILITIES - NET - 4.7%   6,982,672 
     TOTAL NET ASSETS - 100.0%  $149,752,791 

 

ETF - Exchange Traded Fund

 

*Represents less than 0.1%

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

 

SHORT FUTURES CONTRACTS                 
   Number of            Unrealized 
Description  Contracts  Expiration Date  Counterparty  Notional Amount   Depreciation 
E-Mini Russell 2000 Index Future  7  6/15/2018  Goldman Sachs  $535,920   $(2,025)
MSCI EAFE Future  25  6/15/2018  Goldman Sachs   2,500,750    (19,900)
MSCI Emerging Markets Future  7  6/15/2018  Goldman Sachs   415,730    (5,175)
S&P 500 E-Mini Future  59  6/15/2018  Goldman Sachs   7,796,850    (67,413)
S&P Midcap 400 E-Mini Future  5  6/15/2018  Goldman Sachs   941,550    (11,310)
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS   $(105,823)
 C: 

 

 

Global Atlantic Motif Aging of America Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     COMMON STOCKS - 96.7%     
     BIOTECHNOLOGY - 22.1%     
 111   Aduro Biotech, Inc. *  $1,032 
 186   Amarin Corp PLC (ADR) *   560 
 16   Amgen, Inc.   2,728 
 43   Celgene Corp. *   3,836 
 16   Cellectis SA (ADR) *   504 
 35   CytomX Therapeutics, Inc. *   996 
 59   Epizyme, Inc. *   1,047 
 37   Exact Sciences Corp. *   1,492 
 72   Exelixis, Inc. *   1,595 
 25   FibroGen, Inc. *   1,155 
 20   Five Prime Therapeutics, Inc. *   344 
 24   Halozyme Therapeutics, Inc. *   470 
 87   ImmunoGen, Inc. *   915 
 24   Incyte Corp. *   2,000 
 32   Innoviva, Inc. *   533 
 21   Medicines Co. (The) *   692 
 22   Myriad Genetics, Inc. *   651 
 114   NeoGenomics, Inc. *   930 
 75   NewLink Genetics Corp. *   544 
 35   Seattle Genetics, Inc. *   1,832 
 61   Spectrum Pharmaceuticals, Inc. *   981 
 9   United Therapeutics Corp. *   1,011 
         25,848 
     HEALTHCARE-PRODUCTS - 20.3%     
 7   ABIOMED, Inc. *   2,037 
 145   Accuray, Inc. *   725 
 34   AtriCure, Inc. *   698 
 5   Baxter International, Inc.   325 
 24   BioTelemetry, Inc. *   745 
 49   Boston Scientific Corp. *   1,339 
 18   Edwards Lifesciences Corp. *   2,511 
 133   Endologix, Inc. *   563 
 19   Foundation Medicine, Inc. *   1,496 
 29   Genomic Health, Inc. *   907 
 17   Globus Medical, Inc. *   847 
 10   Hologic, Inc. *   374 
 13   Insulet Corp. *   1,127 
 7   Integer Holdings Corp. *   396 
 13   iRhythm Technologies, Inc. *   818 
 18   Lantheus Holdings, Inc. *   286 
 C: 

 

 

 

 19   LeMaitre Vascular, Inc.  688 
 7   Medtronic PLC   562 
 19   Merit Medical Systems, Inc. *   862 
 57   Novocure Ltd. *   1,243 
 11   NuVasive, Inc. *   574 
 9   Orthofix International NV *   529 
 90   Rockwell Medical, Inc. *   469 
 3   Stryker Corp.   483 
 18   Varian Medical Systems, Inc. *   2,208 
 22   Wright Medical Group NV *   436 
 4   Zimmer Biomet Holdings, Inc.   436 
         23,684 
     HEALTHCARE - SERVICES - 18.6%     
 42   Amedisys, Inc. *   2,534 
 37   American Renal Associates Holdings, Inc. *   697 
 290   Brookdale Senior Living, Inc. *   1,946 
 122   Capital Senior Living Corp. *   1,311 
 9   Chemed Corp.   2,456 
 11   DaVita, Inc. *   725 
 85   Ensign Group, Inc. (The)   2,235 
 29   Fresenius Medical Care AG & Co. KGaA (ADR)   1,481 
 12   Humana, Inc.   3,226 
 28   LHC Group, Inc. *   1,724 
 37   National HealthCare Corp.   2,206 
 4   UnitedHealth Group, Inc.   856 
 2   WellCare Health Plans, Inc. *   387 
         21,784 
     PHARMACEUTICALS - 15.0%     
 12   AbbVie, Inc.   1,136 
 19   Agios Pharmaceuticals, Inc. *   1,554 
 5   Anika Therapeutics, Inc. *   249 
 83   Array BioPharma, Inc. *   1,354 
 47   AstraZeneca PLC (ADR)   1,644 
 457   BioScrip, Inc. *   1,124 
 27   Bristol-Myers Squibb Co.   1,708 
 32   Corcept Therapeutics, Inc. *   526 
 19   DexCom, Inc. *   1,409 
 10   Eli Lilly & Co.   774 
 83   Insys Therapeutics, Inc. *   501 
 4   Johnson & Johnson   513 
 42   Jounce Therapeutics, Inc. *   939 
 C: 

 

 

 

 122   Keryx Biopharmaceuticals, Inc. *  499 
 145   MannKind Corp. *   331 
 16   MyoKardia, Inc. *   781 
 8   Novartis AG (ADR)   647 
 36   Novo Nordisk A/S (ADR)   1,773 
         17,462 
     REAL ESTATE INVESTMENT TRUSTS - 20.7%     
 111   CareTrust REIT, Inc.   1,487 
 65   HCP, Inc.   1,510 
 25   LTC Properties, Inc.   950 
 20   National Health Investors, Inc.   1,346 
 198   New Senior Investment Group, Inc.   1,620 
 122   Omega Healthcare Investors, Inc.   3,299 
 136   Quality Care Properties, Inc. *   2,642 
 140   Sabra Health Care REIT, Inc.   2,471 
 89   Senior Housing Properties Trust   1,394 
 56   Ventas, Inc.   2,774 
 87   Welltower, Inc.   4,735 
         24,228 
     TOTAL COMMON STOCKS (Cost - $105,307)   113,006 
           
     SHORT-TERM INVESTMENT - 3.2%     
     MONEY MARKET FUND - 3.2%     
 3,745   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a)(Cost - $3,745)   3,745 
           
     TOTAL INVESTMENTS - 99.9% (Cost - $109,052)  $116,751 
     OTHER ASSETS LESS LIABILITIES - NET - 0.1%   74 
     TOTAL NET ASSETS - 100.0%  $116,825 

 

ADR - American Depository Receipt

 

REIT - Real Estate Investment Trust

 

*Non-income producing security.

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic Motif Real EstateTrends Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     COMMON STOCKS - 98.4%     
     HEALTHCARE SERVICES - 5.8%     
 18   Amedisys, Inc. *  $1,086 
 120   Brookdale Senior Living, Inc. *   805 
 49   Capital Senior Living Corp. *   527 
 3   Chemed Corp.   819 
 35   Ensign Group, Inc. (The)   920 
 11   LHC Group, Inc. *   677 
 11   National HealthCare Corp.   656 
         5,490 
     REAL ESTATE INVESTMENT TRUSTS - 92.6%     
 45   American Campus Communities, Inc.   1,738 
 21   American Tower Corp.   3,052 
 43   Apartment Investment & Management Co.   1,752 
 17   AvalonBay Communities, Inc.   2,796 
 71   Bluerock Residential Growth REIT, Inc.   604 
 18   Boston Properties, Inc.   2,218 
 87   CBL & Associates Properties, Inc.   363 
 24   Camden Property Trust   2,020 
 56   CareTrust REIT, Inc.   751 
 27   Columbia Property Trust, Inc.   552 
 15   CoreSite Realty Corp.   1,504 
 34   Crown Castle International Corp.   3,727 
 64   CubeSmart   1,805 
 32   CyrusOne, Inc.   1,639 
 14   DCT Industrial Trust, Inc.   789 
 26   Digital Realty Trust, Inc.   2,740 
 11   Douglas Emmett, Inc.   404 
 42   Duke Realty Corp.   1,112 
 41   Education Realty Trust, Inc.   1,343 
 28   Empire State Realty Trust, Inc.   470 
 7   Equinix, Inc.   2,927 
 48   Equity Residential   2,958 
 11   Essex Property Trust, Inc.   2,647 
 27   Extra Space Storage, Inc.   2,359 
 123   GGP, Inc.   2,517 
 35   Gramercy Property Trust   761 
 91   Independence Realty Trust, Inc.   835 
 96   Investors Real Estate Trust   498 
 6   JBG Smith Properties   202 
 15   Kilroy Realty Corp.   1,064 
 C: 

 

 

 24   LTC Properties, Inc.   912 
 18   Liverty Property Trust   715 
 19   Life Storage, Inc.   1,587 
 20   Macerich Co. (The)   1,120 
 19   Mack-Cali Realty Corp.   317 
 25   Mid-America Apartment Communities, Inc.   2,281 
 28   Monmouth Real Estate Investment Corp.   421 
 16   National Health Investors, Inc.   1,077 
 45   National Storage Affiliates Trust   1,129 
 102   New Senior Investment Group, Inc.   834 
 13   New York REIT, Inc.   280 
 32   NexPoint Residential Trust, Inc.   795 
 51   Omega Healthcare Investors, Inc.   1,379 
 104   Paramount Group, Inc.   1,481 
 46   Pennsylvania Real Estate Investment Trust   444 
 23   Preferred Apartment Communities, Inc.   326 
 38   Prologis, Inc.   2,394 
 16   Public Storage   3,206 
 28   QTS Realty Trust, Inc.   1,014 
 65   Quality Care Properties, Inc. *   1,263 
 17   SBA Communications Corp. *   2,906 
 59   Sabra Health Care REIT, Inc.   1,041 
 34   Senior Housing Properties Trust   532 
 13   Simon Property Group, Inc.   2,007 
 15   SL Green Realty Corp.   1,452 
 33   STAG Industrial, Inc.   789 
 19   Taubman Centers, Inc.   1,081 
 61   UDR, Inc.   2,173 
 27   Ventas, Inc.   1,337 
 15   Vornado Realty Trust   1,010 
 8   Washington Real Estate Investment Trust   218 
 36   Welltower, Inc.   1,959 
         87,627 
     TOTAL COMMON STOCKS (Cost - $102,972)   93,117 
           
     SHORT-TERM INVESTMENT - 1.2%     
     MONEY MARKET FUND - 1.2%     
 1,164   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a)(Cost - $1,164)   1,164 
           
     TOTAL INVESTMENTS - 99.6% (Cost - $104,136)  $94,281 
     OTHER ASSETS LESS LIABILITIES - NET - 0.4%   328 
     TOTAL NET ASSETS - 100.0%  $94,609 

 

REIT - Real Estate Investment Trust

 

*Non-income producting security.

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic Motif Technological Innovations Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     COMMON STOCKS - 97.0%     
     AUTO MANUFACTURERS - 0.8%     
 5   Tesla, Inc. *  $1,331 
           
     COMMERCIAL SERVICES - 7.2%     
 8   FleetCor Technologies, Inc. *   1,620 
 16   Paylocity Holding Corp. *   820 
 28   PayPal Holdings, Inc. *   2,124 
 29   Ritchie Bros Auctioneers, Inc.   913 
 33   Square, Inc. *   1,624 
 18   Total System Services, Inc.   1,553 
 8   WEX, Inc. *   1,253 
 20   Worldplay, Inc. *   1,645 
         11,552 
     COMPUTERS - 4.1%     
 16   Check Point Software Technologies Ltd. *   1,589 
 27   Fortinet, Inc. *   1,447 
 32   Nutanix, Inc. *   1,571 
 12   Qualys, Inc. *   873 
 27   Teradata Corp. *   1,071 
         6,551 
     DIVERSIFIED FINANCIAL SERVICES - 6.2%     
 18   American Express Co.   1,679 
 10   Ellie Mae, Inc. *   919 
 20   Mastercard, Inc.   3,503 
 33   Visa, Inc.   3,947 
         10,048 
     ELECTRONICS - 0.7%     
 46   Gentex Corp.   1,059 
           
     ENTERTAINMENT - 0.6%     
 37   Stars Group, Inc. (The) *   1,019 
           
     INTERNET - 39.1%     
 21   Alibaba Group Holding Ltd. * (ADR)   3,854 
 4   Alphabet, Inc. *   4,149 
 3   Amazon.com, Inc. *   4,342 
 9   Baidu, Inc. * (ADR)   2,009 
 1   Booking Holdings, Inc. *   2,080 
 37   Ctrip.com International Ltd. * (ADR)   1,725 
 56   eBay, Inc. *   2,253 
 C: 

 

 

 43   Etsy, Inc. *   1,207 
 13   Expedia Group, Inc.   1,435 
 9   F5 Networks, Inc. *   1,301 
 28   Facebook, Inc. *   4,474 
 56   FireEye, Inc. *   948 
 171   Groupon, Inc. *   742 
 16   GruHub, Inc. *   1,624 
 52   JD.com, Inc. * (ADR)   2,105 
 36   Match Group, Inc. *   1,600 
 4   MercadoLibre, Inc.   1,426 
 11   Netflix, Inc. *   3,249 
 34   Okta, Inc. *   1,355 
 10   Palo Alto Networks, Inc. *   1,815 
 10   Proofpoint, Inc. *   1,137 
 126   Snap, Inc. *   2,000 
 5   Stamps.com, Inc. *   1,005 
 59   Symantec, Corp.   1,525 
 28   TripAdvisor, Inc. *   1,145 
 66   Twitter, Inc. *   1,915 
 75   Vipshop Holdings Ltd. * (ADR)   1,246 
 14   Wayfair, Inc. *   945 
 14   Weibo Corp. * (ADR)   1,674 
 14   Wix.com Ltd. *   1,114 
 35   Yandex NV *   1,381 
 19   Yelp, Inc. *   793 
 9   YY, Inc. * (ADR)   947 
 25   Zendesk, Inc. *   1,197 
 28   Zillow Group, Inc. *   1,506 
         63,223 
     REAL ESTATE INVESTMENT TRUSTS - 3.9%     
 9   CoreSite Realty Corp.   902 
 20   CyrusOne, Inc.   1,024 
 16   Digital Realty Trust, Inc.   1,686 
 5   Equinix, Inc.   2,091 
 18   QTS Realty Trust, Inc.   652 
         6,355 
     RETAIL - 1.0%     
 30   Copart, Inc. *   1,528 
           
     SEMICONDUCTORS - 1.9%     
 36   QUALCOMM, Inc.   1,995 
 10   Skyworks Solutions, Inc.   1,003 
         2,998 
     SOFTWARE - 29.2%     
 13   2U, Inc. *   1,092 
 39   ACI Worldwide, Inc. *   925 
 31   Activision Blizzard, Inc.   2,091 
 C: 

 

 

 10   Adobe Systems, Inc. *   2,161 
 21   Akamai Technologies, Inc. *   1,491 
 9   athenahealth, Inc. *   1,287 
 39   Box, Inc. *   801 
 26   Callidus Software, Inc. *   935 
 16   Citrix Systems, Inc. *   1,485 
 16   CommVault Systems, Inc. *   915 
 20   Cornerstone OnDemand, Inc. *   782 
 26   Cotiviti Holdings, Inc. *   895 
 16   Electronic Arts, Inc. *   1,940 
 86   First Data Corp. *   1,376 
 9   HubSpot, Inc. *   975 
 18   InterXion Holding NV *   1,118 
 15   Medidata Solutions, Inc. *   942 
 38   Momo, Inc. * (ADR)   1,420 
 4   NetEase, Inc. (ADR)   1,122 
 16   New Relic, Inc. *   1,186 
 12   Paycom Software, Inc. *   1,289 
 20   RealPage, Inc. *   1,030 
 24   salesforce.com, Inc. *   2,791 
 12   ServiceNow, Inc. *   1,985 
 12   Shopify, Inc.   1,495 
 15   Splunk, Inc. *   1,476 
 15   Tableau Software, Inc. *   1,212 
 12   Take-Two Interactive Software, Inc. *   1,173 
 33   Twilio, Inc. *   1,260 
 5   Ultimate Software Group, Inc. (The) *   1,219 
 21   Veeva Systems, Inc. *   1,533 
 20   Verint Systems, Inc. *   852 
 17   VMware, Inc. *   2,062 
 15   Workday, Inc. *   1,907 
 249   Zynga, Inc. *   911 
         47,134 
     TELECOMMNUNICATIONS - 2.3%     
 6   Arista Networks, Inc. *   1,532 
 9   LogMeIn, Inc.   1,040 
 13   Nice Ltd. (ADR) *   1,221 
         3,793 
           
     TOTAL COMMON STOCKS (Cost - $107,043)   156,591 
           
     SHORT-TERM INVESTMENT - 3.1%     
     MONEY MARKET FUND - 3.1%     
 4,996   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a)(Cost - $4,996)   4,996 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $112,039)  $161,587 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (93)
     TOTAL NET ASSETS - 100.0%  $161,494 

 

ADR - American Depositary Receipt

 

*Non-income producing security.

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 30.1%     
     EQUITY FUNDS - 30.1%     
 54,575   iShares MSCI EAFE ETF  $3,802,786 
 14,527   SPDR S&P 500 ETF Trust   3,822,780 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $6,496,789)   7,625,566 

 

Principal              
Amount      Coupon
Rate (%)
  Maturity    
     ASSET BACKED SECURITIES - 3.7%           
$186,209   AAMES Mortgage Investment Trust 2006-1 1 Month LIBOR + 0.48 (b)  2.35  4/25/2036   160,245 
 14,347   ACE Securities Corp. Home Equity Loan Trust Series 2002-HE2 1 Month LIBOR + 1.275 (b)  3.15  8/25/2032   14,309 
 27,517   ACE Securities Corp. Home Equity Loan Trust Series 2006-OP1 1 Month LIBOR + 0.15 (b)  2.02  4/25/2036   27,103 
 250,000   Avery Point IV CLO Ltd. 3 Month LIBOR + 1.12 (a,b)  2.85  1/18/2025   250,114 
 17,194   Bosphorus CLO II DAC 2A 3 Month Euribor + 0.70 (a,b)  0.70  10/15/2025   21,146 
 31,047   Citigroup Mortgage Loan Trust 2007-AMC1 1 Month LIBOR + 0.16 (a,b)  2.03  12/25/2036   21,180 
 17,301   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.13 (b)  2.00  12/25/2036   16,060 
 26,946   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.14 (b)  2.01  6/25/2047   23,452 
 86,163   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.15 (b)  2.02  5/25/2037   82,003 
 12,839   CWABS Asset-Backed Certificates Trust 2006-17 1 Month LIBOR + 0.15 (b)  2.02  3/25/2047   12,334 
 35,144   FBR Securitization Trust 1 Month LIBOR + 0.68 (b)  2.55  10/25/2035   34,569 
 50,000   Ford Credit Floorplan Master Owner Trust A 1 Month LIBOR + 0.60 (b)  2.38  8/15/2020   50,078 
 24,573   GSAMP Trust 2006-HE4 1 Month LIBOR + 0.14 (b)  2.01  6/25/2036   23,825 
 8,843   Long Beach Mortgage Loan Trust 2004-2 1 Month LIBOR + 1.62 (b)  3.49  6/25/2034   8,709 
 27,530   Long Beach Mortgage Loan Trust 2005-3 1 Month LIBOR + 0.52 (b)  2.39  8/25/2045   26,363 
 30,780   Long Beach Mortgage Loan Trust 2006-7 1 Month LIBOR + 0.155 (b)  2.03  8/25/2036   20,078 
 18,722   RASC Series 2004-KS10 Trust 1 Month LIBOR + 1.725(b)  3.60  11/25/2034   18,893 
 61,222   SLC Student Loan Trust 2006-2 3 Month LIBOR + 0.10 (b)  2.22  9/15/2026   61,044 
 29,858   SLM Student Loan Trust 2005-3 3 Month LIBOR + 0.09 (b)  1.84  10/25/2024   29,817 
 17,683   Soundview Home Loan Trust 2007-WMC1 1 Month LIBOR + 0.11 (b)  1.98  2/25/2037   7,984 
 7,710   Structured Asset Investment Loan Trust 2004-7 1 Month LIBOR + 1.05 (b)  2.92  8/25/2034   7,686 
 22,457   Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC2 1 Month LIBOR + 0.15 (b)  2.02  9/25/2036   20,869 
     TOTAL ASSET BACKED SECURUTIES (Cost - $917,539)      937,861 
                 
     CORPORATE BONDS - 8.9%           
     AEROSPACE/DEFENSE - 0.2%           
 50,000   Rockwell Collins, Inc.  3.50  3/15/2027   48,240 
                 
     AGRICULTURE - 0.0% *           
 10,000   Reynolds American, Inc.  5.85  8/15/2045   11,698 
                 
     AIRLINES - 0.2%           
 44,842   Spirit Airlines Pass Through Trust 2015-1A  4.10  4/1/2028   44,752 
                 
     AUTO MANUFACTURERS - 0.8%           
 40,000   Ford Motor Credit Co. LLC  3.20  1/15/2021   39,670 
 20,000   General Motors Financial Co., Inc.  3.20  7/13/2020   19,946 
 50,000   General Motors Financial Co., Inc.  3.20  7/6/2021   49,567 
 100,000   Nissan Motor Acceptance Corp. 3 Month LIBOR + 0.89 (a,b)  2.61  1/13/2022   101,334 
               210,517 
     BANKS - 3.4%           
 100,000   Bank of America Corp. 3 Month LIBOR + 1.09 (b)  3.09  10/1/2025   96,139 
 11,000   Bank of America Corp. 3 Month LIBOR + 1.04 (a,b)  3.42  12/20/2028   10,537 
 14,000   Bank of America Corp.  4.00  4/1/2024   14,306 
 50,000   Bank of America Corp.  5.65  5/1/2018   50,126 
 50,000   Citigroup, Inc.  2.65  10/26/2020   49,403 
 50,000   Deutsche Bank AG 3 Month LIBOR + 1.91(b)  3.72  5/10/2019   50,675 
 200,000   Development Bank of Japan, Inc. (a)  1.63  9/1/2021   190,951 
 C: 

 

 

 10,000   Goldman Sachs Group, Inc. (The)  3.75  5/22/2025   9,899 
 15,000   Goldman Sachs Group, Inc. (The)  6.00  6/15/2020   15,873 
 50,000   HSBC USA, Inc. 3 Month LIBOR + 0.77 (b)  2.56  8/7/2018   50,084 
 35,000   JPMorgan Chase & Co.  3.13  1/23/2025   33,748 
 25,000   JPMorgan Chase & Co.  3.88  2/1/2024   25,375 
 50,000   JPMorgan Chase & Co.  3.90  7/15/2025   50,406 
 26,000   Morgan Stanley  2.13  4/25/2018   25,992 
 200,000   UBS Group Funding Switzerland AG (a)  2.65  2/1/2022   193,914 
               867,428 
     COMMERCIAL SERVICES - 0.1%           
 30,000   S&P Global, Inc.  2.50  8/15/2018   29,983 
                 
     COMPUTERS - 0.2%           
 50,000   Dell International LLC / EMC Corp. (a)  5.45  6/15/2023   53,001 
                 
     ELECTRIC - 0.1%           
 30,000   Duke Energy Corp.  3.05  8/15/2022   29,567 
                 
     ENVIRONMENTAL CONTROL - 0.1%           
 25,000   Republic Services, Inc.  3.55  6/1/2022   25,251 
                 
     MEDIA - 0.4%           
 100,000   Charter Communications Operating LLC / Charter Communications Operating Capital  3.75  2/15/2028   91,894 
                 
     PHARMACEUTICALS - 1.0%           
 50,000   AbbVie, Inc.  2.85  5/14/2023   48,423 
 100,000   Shire Acquisitions Investments Ireland DAC  1.90  9/23/2019   98,350 
 100,000   Shire Acquisitions Investments Ireland DAC  2.40  9/23/2021   96,552 
               243,325 
     PIPELINES - 0.5%           
 23,000   Energy Transfer LP / Regency Energy Finance Corp.  4.50  11/1/2023   23,296 
 100,000   Sabine Pass Liquefaction LLC  5.75  5/15/2024   107,638 
               130,934 
     REGIONAL - 0.8%           
 200,000   Japan Finance Organization for Municipalities (a)  2.13  10/25/2023   189,380 
                 
     REAL ESTATE INVESTMENT TRUSTS - 0.6%           
 100,000   American Tower Corp.  2.25  1/15/2022   95,626 
 25,000   Digital Realty Trust LP  3.95  7/1/2022   25,463 
 30,000   Duke Realty LP  3.88  2/15/2021   30,481 
 10,000   Host Hotels & Resorts LP  4.00  6/15/2025   9,848 
               161,418 
     TELECOMMUNICATIONS - 0.5%           
 100,000   AT&T, Inc. 3 Month LIBOR + 0.65 (b)  2.37  1/15/2020   100,367 
 30,000   AT&T, Inc. (a)  4.10  2/15/2028   29,788 
               130,155 
                 
     TOTAL CORPORATE BONDS (Cost - $2,304,243)   2,267,543 
                 
     MUNICIPAL BOND - 0.1%           
 30,000   City of Chicago IL (Cost - $30,349)  7.75  1/1/2042   32,666 
                 
     MORTGAGE BACKED SECURITIES - 24.5%           
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 24.5%           
 300,000   Fannie Mae TBA +  3.00  10/25/2046   292,500 
 4,900,000   Fannie Mae TBA +  3.50  3/25/2046   4,902,878 
 800,000   Fannie Mae TBA +  4.00  11/25/2045   819,375 
 200,000   Fannie Mae TBA +  4.50  8/25/2044   209,406 
     TOTAL MORTGAGE BACKED SECURITIES (Cost - $6,184,203)   6,224,159 
                 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 2.6%       
     AGENCY COLLATERAL - 1.2%       
 23,771   Government National Mortgage Association 1 Month LIBOR + 0.50 (b)  2.07  3/20/2065   23,753 
 C: 

 

 

 82,198   Government National Mortgage Association 1 Month LIBOR + 0.60 (b)  2.17  5/20/2065   83,547 
 83,799   Government National Mortgage Association 1Month LIBOR + 0.62 (b)  2.19  8/20/2065   85,308 
 36,581   Government National Mortgage Association 1 Month LIBOR + 0.70 (b)  2.27  10/20/2065   36,683 
 84,104   Government National Mortgage Association 1 Month LIBOR + 1.00 (b)  2.57  12/20/2065   87,167 
               316,458 
     WHOLE LOAN COLLATERAL - 1.4%           
 27,144   Alternative Loan Trust 2005-J12 1 Month LIBOR + 0.27 (b)  2.14  8/25/2035   19,409 
 18,708   Alternative Loan Trust 2006-OA9 1 Month LIBOR + 0.21 (b)  2.03  7/20/2046   14,414 
 32,565   American Home Mortgage Assets Trust 2006-2 1 Month LIBOR + 0.19 (b)  2.06  9/25/2046   28,030 
 15,152   Bear Stearns ALT-A Trust 2005-8 (b)  3.67  10/25/2035   15,612 
 18,988   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3 1 Month LIBOR + 0.25 (a,b)  2.12  8/25/2035   18,219 
 18,443   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4 1 Month LIBOR + 0.46 (a,b)  2.21  10/25/2035   17,821 
 18,677   Credit Suisse First Boston Mortgage Securities Corp.  4.50  7/25/2020   18,633 
 36,252   Great Hall Mortgages No. 1 PLC 3 Month LIBOR + 0.13 (a,b)  2.31  6/18/2039   33,949 
 27,059   GreenPoint Mortgage Funding Trust 2006-AR2 12 Month Treasury Average + 2.00 (b)  3.28  3/25/2036   26,134 
 17,584   GSR Mortgage Loan Trust 2005-AR6 (b)  3.62  9/25/2035   18,163 
 13,647   Impac CMB Trust Series 2005-8 1 Month LIBOR + 0.70 (b)  2.57  2/25/2036   12,811 
 19,909   IndyMac INDX Mortgage Loan Trust 2006-AR4 1 Month LIBOR + 0.21 (b)  2.08  5/25/2046   19,518 
 3,234   JP Morgan Mortgage Trust 2006-S2  5.88  6/25/2021   3,026 
 3,683   Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 1 Month LIBOR + 0.25 (b)  2.12  11/25/2035   3,651 
 15,387   MortgageIT Trust 2005-4 1 Month LIBOR + 0.28 (b)  2.15  10/25/2035   14,936 
 19,360   RALI Series 2005-QR1 Trust  6.00  10/25/2034   19,377 
 13,863   Reperforming Loan REMIC Trust 2006-R1 1 Month LIBOR + 0.34 (a,b)  2.21  1/25/2036   12,810 
 8,775   Structured Adjustable Rate Mortgage Loan Trust (b)  3.66  9/25/2034   8,953 
 9,277   Structured Adjustable Rate Mortgage Loan Trust (b)  3.68  2/25/2034   9,448 
 15,556   Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS 1 Month LIBOR + 0.30 (b)  2.17  10/25/2035   15,409 
 20,944   WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust (b)  2.92  4/25/2037   19,465 
               349,788 
                 
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $646,536)         666,246 
                 
     COMMERCIAL MORTGAGE BACKED SECURITIES - 0.3%           
 86,124   Freddie Mac Multifamily Structured Pass Through Certificates 1 Month LIBOR + 0.70 (b) (Cost - $86,124)  2.28  9/25/2022   86,291 
                 
     U.S. TREASURY SECURITIES - 42.7%           
 100,000   United States Treasury Inflation Indexed Bond  2.38  1/15/2027   140,816 
 100,000   United States Treasury Inflation Indexed Bond  3.63  4/15/2028   196,466 
 150,000   United States Treasury Inflation Indexed Note  0.63  1/15/2026   156,451 
 100,000   United States Treasury Bond  2.75  8/15/2047   95,574 
 150,000   United States Treasury Bond  2.75  11/15/2047   142,755 
 100,000   United States Treasury Bond  2.88  11/15/2046   98,070 
 500,000   United States Treasury Bond  3.00  5/15/2045   503,145 
 230,000   United States Treasury Bond  4.25  5/15/2039   279,872 
 350,000   United States Treasury Bond  4.38  11/15/2039   433,385 
 100,000   United States Treasury Bond  4.50  8/15/2039   125,773 
 700,000   United States Treasury Note  1.13  8/31/2021   669,512 
 400,000   United States Treasury Note  1.25  4/30/2019   396,125 
 100,000   United States Treasury Note  1.50  8/15/2026   90,770 
 100,000   United States Treasury Note  1.63  5/15/2026   91,980 
 1,500,000   United States Treasury Note  1.88  3/31/2022   1,464,082 
 500,000   United States Treasury Note  1.88  4/30/2022   487,637 
 100,000   United States Treasury Note  1.88  7/31/2022   97,316 
 100,000   United States Treasury Note  1.88  9/30/2022   97,176 
 C: 

 

 

 100,000   United States Treasury Note  2.00  12/31/2021   98,231 
 500,000   United States Treasury Note  2.00  11/15/2026   471,563 
 200,000   United States Treasury Note  2.13  12/31/2022   196,148 
 650,000   United States Treasury Note  2.25  2/15/2027   624,736 
 2,700,000   United States Treasury Note  2.25  8/15/2027   2,588,836 
 200,000   United States Treasury Note  2.25  11/15/2027   191,578 
 500,000   United States Treasury Note  2.38  5/15/2027   485,098 
 500,000   United States Treasury Note  2.50  8/15/2023   497,656 
 100,000   United States Treasury Note  2.75  2/15/2028   100,051 
     TOTAL U.S. TREASURY SECURITIES (Cost - $11,067,610)   10,820,802 

 

Contracts      Counterparty  Notional Value    
    PURCHASED OPTIONS ON INDICES - 0.6%          
 11   S&P 500 Index, December 2018, Put @ $1,850  Morgan Stanley  2,035,000   20,075 
 11   S&P 500 Index, December 2018, Put @ $2,125  Morgan Stanley  2,337,500   43,835 
 11   S&P 500 Index, December 2018, Put @ $2,375  Morgan Stanley  2,612,500   84,975 
        TOTAL PURCHASED OPTIONS ON INDICES (Cost - $116,160)   148,885 

 

Shares        
     SHORT-TERM INVESTMENTS - 8.5%     
     MONEY MARKET FUND - 1.0%     
 246,357   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 1.49% (c)   246,357 

 

Principal
Amount
      Coupon
Rate (%)
  Maturity    
     U.S. TREASURY BILLS - 7.5%           
$500,000   United States Treasury Bill  0.00  4/12/2018   499,771 
 400,000   United States Treasury Bill  0.00  4/19/2018   399,691 
 800,000   United States Treasury Bill  0.00  5/3/2018   798,980 
 100,000   United States Treasury Bill  0.00  5/10/2018   99,838 
 100,000   United States Treasury Bill  0.00  5/24/2018   99,754 
               1,898,034 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $2,144,416)         2,144,391 
                 
     TOTAL INVESTMENTS - 122.0% (Cost - $29,993,969)        $30,954,410 
     OTHER ASSETS LESS LIABILITIES - NET - (22.0)%         (5,586,830)
     TOTAL NET ASSETS - 100.0%        $25,367,580 
                 
     SECURITIES SOLD SHORT - (0.1)%           
     U.S. TREASURY SECURITIES - (0.1)%           
 25,000   United States Treasury Bond (Cost - $23,902)  2.78  11/15/2047  $23,899 

 

TBA - To Be Announced Security

 

*Represents less than 0.05%.

 

+All or a portion of these TBAs are subject to dollar-roll transactions.

 

(a)144(a) - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of March 31, 2018, these securities amounted to $1,144,144 or 4.5% of net assets.

 

(b)Variable Rate Security - interest rate subject to periodic change.

 

Benchmark  Rate
1 Month USD LIBOR  1.88%
3 Month EUR EURIBOR  -0.33%
3 Month USD LIBOR  2.32%
    
(c)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

 

Description  Number of
Contracts
  Expiration
Date
  Counterparty  Notional
Amount
   Unrealized
Appreciation/
(Depreciation)
 
SHORT FUTURES CONTRACTS 
90 Day Euro Future  2  6/30/2018  Goldman Sachs  $488,500   $2,675 
90 Day Euro Future  15  6/30/2019  Goldman Sachs   3,649,688    22,875 
90 Day Euro Future  9  9/30/2019  Goldman Sachs   2,188,688    9,450 
90 Day Euro Future  36  12/31/2019  Goldman Sachs   8,749,350    35,963 
90 Day Euro Future  19  3/31/2020  Goldman Sachs   4,617,238    10,212 
Euro-Oat Future  2  6/30/2018  Goldman Sachs   380,245    (6,784)
                  74,391 
LONG FUTURES CONTRACTS 
90 Day Euro Future  12  4/30/2018  Goldman Sachs   2,931,300    (702)
90 Day Euro Future  10  12/31/2018  Goldman Sachs   2,437,625    (4,500)
90 Day Euro Future  19  3/31/2019  Goldman Sachs   4,626,975    (9,738)
S&P 500 E-Mini Future  13  6/30/2018  Credit Suisse   1,717,950    (89,647)
US 5 Year Note (CBT)  14  6/30/2018  Goldman Sachs   1,602,453    9,516 
                  (95,071)
TOTAL NET UNREALIZED DEPRECIATION OF FUTURES CONTRACTS   $(20,680)
 C: 

 

 

 

INTEREST RATE SWAPTIONS PURCHASED
 
Counterparty  Description  Exercise Rate  Expiration
Date
  Notional
Amount
   Unrealized
Depreciation
 
Barclays Bank PLC  Call - IRO USD 2 Year  1.85  11/30/2018  $1,800,000   $(4,954)
                    

 

INTEREST RATE SWAPTIONS WRITTEN
 
Counterparty  Description  Exercise Rate  Expiration
Date
  Notional
Amount
   Unrealized
Appreciation
 
Barclays Bank PLC  Call - IRO USD 5 Year  2.19  11/30/2018  $700,000   $1,754 

 

INTEREST RATE SWAPS

 

Counterparty Floating Rate Index   Pay/Receive Floating Rate Fixed Rate Expiration Date Notional Amount Value Premiums Paid/
(Received)
Unrealized Appreciation/
(Depreciation)
Goldman Sachs & Co. 3 Month USD - LIBOR*   Receive 2.25% 6/20/2028  $2,400,000   (23,862)  $-   $(23,862)
Goldman Sachs & Co. 6 Month GBP - LIBOR**   Receive 1.50% 9/19/2028  400,000   (5,620)  -   (5,620)
Goldman Sachs & Co. 3 Month USD - LIBOR*   Receive 1.25% 6/15/2018  300,000   2,647   -   2,647 
Goldman Sachs & Co. 3 Month USD - LIBOR*   Receive 1.25% 6/21/2021  300,000   3,903   -   3,903 
Goldman Sachs & Co. 3 Month USD - LIBOR*   Receive 1.50% 6/21/2027  800,000   27,369   -   27,369 
Goldman Sachs & Co. 6 Month JPY - LIBOR**   Receive 0.75% 3/20/2038  20,000,000   (7,780)  -   (7,780)
Goldman Sachs & Co. 3 Month USD - LIBOR*   Receive 2.00% 12/16/2020  100,000   3,383   -   3,383 
Goldman Sachs & Co. 6 Month GBP - LIBOR**   Receive 2.05% 2/1/2037  200,000   (8,995)  -   (8,995)
Goldman Sachs & Co. 6 Month EUR - EURIBOR**   Receive 2.05% 2/3/2037  200,000   1,401   -   1,401 
Goldman Sachs & Co. 3 Month USD - LIBOR*   Receive 2.25% 12/21/2046  200,000   38,887   -   38,887 
Goldman Sachs & Co. 3 Month USD - LIBOR**   Receive 2.50% 12/20/2027  200,000   15,561   15,687   (126)
Goldman Sachs & Co. 3 Month USD - LIBOR*   Receive 2.50% 6/15/2046  100,000   10,649   -   10,649 
                 $15,687   $41,856 
                   
CREDIT DEFAULT SWAPS*
                   
Counterparty Index Buy/Sell Protection Fixed Rate Received Fixed Rate Paid Expiration Date Notional Amount Value Premiums Paid/
(Received)
Unrealized Appreciation/
(Depreciation)
Goldman Sachs & Co. North American Investment Grade CDX Index# Sell 1.00% - 6/20/2022  $1,500,000   $300   $334   $(34)
Goldman Sachs & Co. North American Investment Grade CDX Index^ Sell 1.00% - 6/20/2023  3,000,000   (3,238)  (281)  (2,957)
Goldman Sachs & Co. North American High Yield CDX Index@ Sell 5.00% - 6/20/2023  200,000   (484)  (222)  (262)
                 $(169)  $(3,253)
                   
                 $15,518   $35,403 
                   
* Pays quarterly.                  
**Pays semiannually.                  
# The underlying holdings of this index can be found at http://www.markit.com/Company/Files/DownloadFiles?CMSID=c7e83a6adf3b46f5b7f95eac2f6d2b5d.      
@ The underlying holdings of this index can be found at https://www.markit.com/NewsInformation/NewsAnnouncementsFile?CMSID=5e3b88621a3c4f1c81d21c33b8686f49.    
^ The underlying holdings of this index can be found at https://www.markit.com/NewsInformation/NewsAnnouncementsFile?CMSID=9c11a40ecd0d40548d877227ae8c33a1.    
                   
                   
Benchmark Rate                
3 Month USD LIBOR 2.32%                
6 Month EUR EURIBOR -0.27%                
6 Month GBP LIBOR 0.84%                
6 Month JPY LIBOR 0.02%                

  

 

CREDIT DEFAULT SWAPS*
 
Counterparty  Index  Buy/Sell
Protection
  Fixed Rate
Received
  Fixed Rate
Paid
  Expiration
Date
  Notional
Amount
   Value   Premiums
Paid/
(Received)
   Unrealized
Appreciation/
(Depreciation)
 
Goldman Sachs & Co.  North American Investment Grade CDX Index#  Sell  1.00%    6/20/2022  $1,500,000   $(34)  $   $(34)
Goldman Sachs & Co.  North American Investment Grade CDX Index^  Sell  1.00%    6/20/2023   3,000,000    (2,957)       (2,957)
Goldman Sachs & Co.  North American High Yield CDX Index@  Sell  5.00%    6/20/2023   200,000    (262)       (262)
                            $   $(3,253)
                                    
                            $   $35,403 

 

*Pays quarterly.

 

**Pays semiannually.

 

#The underlying holdings of this index can be found at http://www.markit.com/Company/Files/DownloadFiles?CMSID=c7e83a6adf3b46f5b7f95eac2f6d2b5d.

 

@The underlying holdings of this index can be found at https://www.markit.com/NewsInformation/NewsAnnouncementsFile?CMSID=5e3b88621a3c4f1c81d21c33b8686f49.

 

^The underlying holdings of this index can be found at https://www.markit.com/NewsInformation/NewsAnnouncementsFile?CMSID=9c11a40ecd0d40548d877227ae8c33a1.

 

Benchmark  Rate
3 Month USD LIBOR  2.32%
6 Month EUR EURIBOR  -0.27%
6 Month GBP LIBOR  0.84%
6 Month JPY LIBOR  0.02%
 C: 

 

 

Schedule of Forward Foreign Currency Contracts

 

Settlement
Date
   Counterparty   Currency Units to
Receive/Deliver
      In Exchange For    U.S. $ Value    Unrealized
Appreciation/
(Depreciation)
 
To Buy:                         
4/4/2018  Barclays Bank PLC   106,000  EUR  $129,378   $130,401   $1,023 
5/15/2018  Barclays Bank PLC   21,200,000  JPY   198,847    199,923    1,076 
5/15/2018  Barclays Bank PLC   8,100,000  JPY   76,438    76,385    (53)
6/7/2018  Barclays Bank PLC   13,721,990  RUB   240,885    236,793    (4,092)
6/20/2018  Barclays Bank PLC   126,450,090  KRW   117,000    118,975    1,975 
6/20/2018  Barclays Bank PLC   129,324,800  KRW   121,000    121,680    680 
                        609 
                          
To Sell:                         
4/4/2018  Barclays Bank PLC   65,000  EUR  $80,226   $79,963   $263 
4/4/2018  Barclays Bank PLC   64,000  EUR   78,918    78,733    185 
4/4/2018  Barclays Bank PLC   3,000  EUR   3,723    3,691    32 
6/20/2018  Barclays Bank PLC   256,432,640  KRW   239,816    241,273    (1,457)
                        (977)
                          
Net unrealized depreciation on forward foreign currency contracts   $(368)
 C: 

 

 

Global Atlantic Select Advisor Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 17.2%     
     DEBT FUNDS - 4.9%     
 54,647   iShares 1-3 Year Credit Bond ETF  $5,672,359 
           
     EQUITY FUNDS - 12.3%     
 56,964   iShares Core MSCI Emerging Markets ETF   3,326,697 
 82,189   iShares MSCI EAFE Value ETF   4,483,410 
 15,829   iShares Russell 1000 Growth ETF   2,154,169 
 28,746   iShares Russell 2000 ETF   4,364,505 
         14,328,781 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $18,123,693)   20,001,140 
           
     VARIABLE INSURANCE TRUSTS - 77.2%     
     DEBT FUND - 19.5%     
 1,747,703   MFS Total Return Bond Series - Initial Class   22,737,615 
           
     EQUITY FUNDS - 57.7%     
 247,896   American Century VP Mid Cap Value - Investor Class   5,138,877 
 808,118   American Century VP Value Fund - Class I   8,760,003 
 141,532   Invesco VI International Growth Fund - Class I   5,590,505 
 272,852   MFS Growth Series - Initial Class   14,051,875 
 81,789   MFS VIT II Blended Research Core Equity Portfolio - Initial Class   4,356,875 
 482,978   MFS VIT II International Value Portfolio - Initial Class   13,523,377 
 330,750   MFS VIT Mid Cap Growth Series - Initial Class   3,317,427 
 502,054   Putnam VT Equity Income - Class IA   12,521,219 
         67,260,158 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $78,868,497)   89,997,773 
           
     SHORT-TERM INVESTMENT - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
 1,399   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a)(Cost - $1,399)   1,399 
           
     TOTAL INVESTMENTS - 94.4% (Cost - $96,993,589)  $110,000,312 
     OTHER ASSETS LESS LIABILITIES - NET - 5.6%   6,523,382 
     TOTAL NET ASSETS - 100.0%  $116,523,694 

 

ETF - Exchange Traded Fund

 

*Represents less than 0.1%

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic Wellington Research Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     COMMON STOCKS - 63.0%     
     ADVERTISING - 0.1%     
 15,846   Interpublic Group of Cos., Inc.  $364,933 
           
     AEROSPACE/DEFENSE - 3.1%     
 16,957   Boeing Co. (The)   5,559,861 
 7,670   Harris Corp.   1,237,018 
 11,437   Lockheed Martin Corp.   3,864,905 
 10,361   Northrop Grumman Corp.   3,617,232 
         14,279,016 
     AGRICULTURE - 1.5%     
 51,781   Altria Group, Inc.   3,226,992 
 48,050   British American Tobacco PLC - ADR   2,772,005 
 8,200   Philip Morris International, Inc.   815,080 
         6,814,077 
     AIRLINES - 0.2%     
 17,872   JetBlue Airways Corp. *   363,159 
 14,967   Spirit Airlines, Inc. *   565,453 
         928,612 
     APPAREL - 0.7%     
 37,510   NIKE, Inc.   2,492,164 
 5,233   Skechers U.S.A., Inc. *   203,511 
 33,508   Under Armour, Inc. - Cl. A *   547,856 
 9,824   Under Armour, Inc. *   140,974 
         3,384,505 
     AUTO MANUFACTURERS - 0.0% **     
 2,969   PACCAR, Inc.   196,459 
           
     BANKS - 4.0%     
 360,566   Bank of America Corp.   10,813,374 
 18,853   Capital One Financial Corp.   1,806,494 
 37,640   Citizens Financial Group, Inc.   1,580,127 
 68,200   KeyCorp   1,333,310 
 16,285   Northern Trust Corp.   1,679,472 
 15,405   SunTrust Banks, Inc.   1,048,156 
         18,260,933 
     BEVERAGES - 1.5%     
 9,605   Anheuser-Busch InBev SA/NV - ADR   1,055,974 
 8,859   Constellation Brands, Inc.   2,019,143 
 16,871   Monster Beverage Corp. *   965,190 
 27,759   PepsiCo, Inc.   3,029,895 
         7,070,202 
     BIOTECHNOLOGY - 0.8%     
 13,602   Aduro Biotech, Inc. *   126,499 
 12,513   Alder Biopharmaceuticals, Inc. *   158,915 
 2,385   Alnylam Pharmaceuticals, Inc. *   284,054 
 4,581   Arcus Biosciences, Inc. *   70,731 
 3,464   Audentes Therapeutics, Inc. *   104,093 
 284   Biogen, Inc. *   77,765 
 11,481   Biohaven Pharmaceutical Holding Co. Ltd. *   295,751 
 1,380   BlueBird Bio, Inc. *   235,635 
 3,296   Celgene Corp. *   294,036 
 3,300   Clearside Biomedical, Inc. *   35,409 
 22,162   Dermira, Inc. *   177,074 
 2,174   Five Prime Therapeutics, Inc. *   37,349 
 14,950   GlycoMimetics, Inc. *   242,639 
 C: 

 

 

 

 2,656   Incyte Corp. *  221,325 
 11,133   Karyopharm Therapeutics, Inc. *   149,405 
 2,308   Loxo Oncology, Inc. *   266,274 
 10,854   Otonomy, Inc. *   45,587 
 420   Regeneron Pharmaceuticals, Inc. *   144,631 
 15,838   Rigel Pharmaceuticals, Inc. *   56,067 
 6,176   Seattle Genetics, Inc. *   323,252 
 11,684   Syndax Pharmaceuticals, Inc. *   166,263 
         3,512,754 
     BUILDING MATERIALS - 0.3%     
 1,247   Martin Marietta Materials, Inc.   258,503 
 17,929   Masco Corp.   725,049 
 2,038   Vulcan Materials Co.   232,678 
         1,216,230 
     CHEMICALS - 1.3%     
 9,516   Cabot Corp.   530,232 
 9,138   Celanese Corp.   915,719 
 28,188   DowDuPont, Inc.   1,795,858 
 1,731   Monsanto Co.   201,990 
 13,649   PPG Industries, Inc.   1,523,228 
 5,426   Praxair, Inc.   782,972 
 4,168   Westlake Chemical Corp.   463,273 
         6,213,272 
     COMMERCIAL SERVICES - 1.6%     
 5,609   Equifax, Inc.   660,796 
 6,550   FleetCor Technologies, Inc. *   1,326,375 
 18,767   Global Payments, Inc.   2,092,896 
 20,299   PayPal Holdings, Inc. *   1,540,085 
 3,007   Total System Services, Inc.   259,384 
 10,129   TransUnion *   575,125 
 5,330   WEX, Inc. *   834,785 
         7,289,446 
     COMPUTERS - 0.8%     
 3,437   Accenture PLC - Cl. A   527,580 
 5,802   Apple, Inc.   973,460 
 3,036   Cognizant Technology Solutions Corp. - Cl. A   244,398 
 22,513   Genpact Ltd.   720,191 
 21,716   NetApp, Inc.   1,339,660 
         3,805,289 
     COSMETICS/PERSONAL CARE - 1.0%     
 146,870   Coty, Inc.   2,687,721 
 32,903   Unilever NV - ADR   1,855,400 
         4,543,121 
     DIVERSIFIED FINANCIAL SERVICES - 2.6%     
 2,719   Alliance Data Systems Corp.   578,766 
 15,982   American Express Co.   1,490,801 
 23,481   Cohen & Steers, Inc.   954,737 
 26,484   OneMain Holdings, Inc. *   792,931 
 22,229   Raymond James Financial, Inc.   1,987,495 
 43,309   TD Ameritrade Holding Corp.   2,565,192 
 30,078   Visa, Inc. - Cl. A   3,597,930 
 6,754   WisdomTree Investments, Inc.   61,934 
         12,029,786 
 C: 

 

 

 

     ELECTRIC - 2.7%     
 32,918   Avangrid, Inc.  1,682,768 
 49,034   Edison International   3,121,504 
 30,974   Exelon Corp.   1,208,296 
 16,265   NextEra Energy, Inc.   2,656,562 
 56,879   NRG Energy, Inc.   1,736,516 
 19,500   Sempra Energy   2,168,790 
         12,574,436 
     ELECTRICAL COMPONENTS & EQUIPMENT - 0.2%     
 13,916   AMETEK, Inc.   1,057,199 
           
     ELECTRONICS - 0.7%     
 130,313   Flex Ltd. *   2,128,011 
 14,016   Fortive Corp.   1,086,520 
         3,214,531 
     ENGINEERING & CONSTRUCTION - 0.0% **     
 1,339   Jacobs Engineering Group, Inc.   79,202 
           
     ENTERTAINMENT - 0.1%     
 7,031   Cinemark Holdings, Inc.   264,858 
           
     FOOD - 1.5%     
 26,656   Campbell Soup Co.   1,154,471 
 15,300   Fresh Del Monte Produce, Inc.   692,172 
 63,111   Hostess Brands, Inc. *   933,412 
 5,367   McCormick & Co., Inc.   570,995 
 24,634   Post Holdings, Inc. *   1,866,272 
 48,851   Simply Good Foods Co. (The) *   670,724 
 18,386   Sysco Corp.   1,102,425 
         6,990,471 
     FOREST PRODUCTS & PAPER - 0.3%     
 21,962   International Paper Co.   1,173,430 
           
     GAS - 0.1%     
 13,320   UGI Corp.   591,674 
           
     HEALTHCARE-PRODUCTS - 3.0%     
 36,309   Abbott Laboratories   2,175,635 
 17,124   Baxter International, Inc.   1,113,745 
 95,634   Boston Scientific Corp. *   2,612,721 
 17,714   Danaher Corp.   1,734,378 
 44,636   Medtronic PLC   3,580,700 
 12,528   Thermo Fisher Scientific, Inc.   2,586,531 
         13,803,710 
     HEALTHCARE-SERVICES - 1.5%     
 4,740   Evolus, Inc. *   42,802 
 10,980   HCA Healthcare, Inc.   1,065,060 
 27,013   UnitedHealth Group, Inc.   5,780,782 
         6,888,644 
     HOME BUILDERS - 0.4%     
 9,888   Installed Building Products, Inc. *   593,774 
 21,312   Lennar Corp.   1,256,129 
         1,849,903 
 C: 

 

 

 

     INSURANCE - 2.6%     
 7,444   Allstate Corp. (The)  705,691 
 42,862   American International Group, Inc.   2,332,550 
 41,258   Assured Guaranty Ltd.   1,493,540 
 24,816   Athene Holding Ltd. *   1,186,453 
 19,832   Hartford Financial Services Group, Inc. (The)   1,021,745 
 22,967   Marsh & McLennan Cos., Inc.   1,896,845 
 31,252   MetLife, Inc.   1,434,154 
 9,683   Prudential Financial, Inc.   1,002,675 
 20,016   Voya Financial, Inc.   1,010,808 
         12,084,461 
     INTERNET - 6.2%     
 7,892   Alphabet, Inc. - Cl. A *   8,185,109 
 4,964   Amazon.com, Inc. *   7,184,596 
 38,494   Blucora, Inc. *   946,952 
 35,476   eBay, Inc. *   1,427,554 
 12,335   Expedia Group, Inc.   1,361,907 
 43,334   Facebook, Inc. - Cl. A *   6,924,340 
 4,254   Netflix, Inc. *   1,256,419 
 16,208   Wayfair, Inc. *   1,094,526 
         28,381,403 
     IRON/STEEL - 0.1%     
 998   ArcelorMittal - ADR *   31,746 
 6,915   Steel Dynamics, Inc.   305,781 
         337,527 
     LODGING - 0.2%     
 10,133   Hilton Worldwide Holdings, Inc.   798,076 
 8,110   MGM Resorts International   284,012 
         1,082,088 
     MACHINERY-CONTRUCTION & MINING - 0.2%     
 6,918   Caterpillar, Inc.   1,019,575 
           
     MACHINERY-DIVERSIFIED - 0.2%     
 1,821   AGCO Corp.   118,092 
 5,558   Deere & Co.   863,269 
         981,361 
     MEDIA - 1.8%     
 7,355   Charter Communications, Inc. *   2,289,023 
 103,838   Comcast Corp.   3,548,144 
 11,165   Liberty Media Corp-Liberty Formula One *   344,440 
 6,743   New York Times Co. (The)   162,506 
 20,993   Twenty-First Century Fox, Inc.   770,233 
 22,679   Viacom, Inc.   704,410 
 3,617   Walt Disney Co. (The)   363,291 
         8,182,047 
     MINING - 0.1%     
 6,061   Alcoa Corp. *   272,503 
 2,055   Southern Copper Corp.   111,340 
         383,843 
     MISCELLANEOUS MANUFACTURING - 1.0%     
 13,499   Eaton Corp. PLC   1,078,705 
 110,381   General Electric Co.   1,487,936 
 5,653   Illinois Tool Works, Inc.   885,599 
 16,391   Pentair PLC   1,116,719 
         4,568,959 
 C: 

 

 

 

     OIL & GAS - 2.2%     
 7,404   Andeavor   744,546 
 31,890   BP PLC - ADR   1,292,821 
 8,130   Centennial Resource Development, Inc. *   149,186 
 29,758   Chevron Corp.   3,393,602 
 2,413   Concho Resources, Inc. *   362,746 
 2,610   Diamondback Energy, Inc. *   330,217 
 7,925   EOG Resources, Inc.   834,265 
 3,390   Exxon Mobil Corp.   252,928 
 5,089   Hess Corp.   257,605 
 12,624   Marathon Petroleum Corp.   922,941 
 24,808   Newfield Exploration Co. *   605,811 
 19,714   Suncor Energy, Inc.   680,922 
 12,160   WPX Energy, Inc. *   179,725 
         10,007,315 
     OIL & GAS SERVICES - 0.3%     
 50,143   Baker Hughes a GE Co.   1,392,471 
 4,500   Halliburton Co.   211,230 
         1,603,701 
     PACKAGING & CONTAINERS - 0.4%     
 19,300   Ardagh Group SA   360,524 
 36,991   Ball Corp.   1,468,913 
         1,829,437 
     PHARMACEUTICALS - 3.7%     
 5,333   Aerie Pharmaceuticals, Inc. *   289,315 
 21,074   Allergan PLC   3,546,543 
 45,670   AstraZeneca PLC - ADR   1,597,080 
 59,248   Bristol-Myers Squibb Co.   3,747,436 
 3,100   Calithera Biosciences, Inc. *   19,530 
 19,886   Cardinal Health, Inc.   1,246,454 
 14,304   Coherus Biosciences, Inc. *   158,059 
 3,458   G1 Therapeutics, Inc. *   128,119 
 3,700   Global Blood Therapeutics, Inc. *   178,710 
 25,889   Impax Laboratories, Inc. *   503,541 
 13,613   Ironwood Pharmaceuticals, Inc. - Cl. A *   210,049 
 3,072   Jounce Therapeutics, Inc. *   68,659 
 7,118   Kala Pharmaceuticals, Inc. *   112,678 
 9,897   McKesson Corp.   1,394,190 
 14,341   Momenta Pharmaceuticals, Inc. *   260,289 
 43,609   Mylan NV *   1,795,383 
 6,372   MyoKardia, Inc. *   310,954 
 10,783   Ra Pharmaceuticals, Inc. *   57,258 
 10,783   Revance Therapeutics, Inc. *   332,116 
 2,580   TESARO, Inc. *   147,421 
 46,120   Teva Pharmaceutical Industries Ltd. - ADR   788,191 
 15,851   Trevena, Inc. *   25,996 
         16,917,971 
     PIPELINES - 0.5%     
 69,776   Kinder Morgan, Inc.   1,050,827 
 10,725   ONEOK, Inc.   610,467 
 17,916   TransCanada Corp.   740,110 
         2,401,404 
 C: 

 

 

 

     REAL ESTATE INVESTMENT TRUSTS - 2.0%     
 12,956   Alexandria Real Estate Equities, Inc.  1,618,075 
 21,036   American Tower Corp.   3,057,372 
 1,805   Equinix, Inc.   754,743 
 31,918   Host Hotels & Resorts, Inc.   594,952 
 65,081   Invitation Homes, Inc.   1,485,799 
 10,557   Outfront Media, Inc.   197,838 
 3,768   Public Storage   755,070 
 5,958   Simon Property Group, Inc.   919,617 
         9,383,466 
     RETAIL - 1.9%     
 1,522   Chipotle Mexican Grill, Inc. *   491,773 
 7,545   Costco Wholesale Corp.   1,421,704 
 14,738   Dollar Tree, Inc. *   1,398,636 
 8,950   McDonald’s Corp.   1,399,601 
 42,500   National Vision Holdings, Inc. *   1,373,175 
 9,396   Tapestry, Inc.   494,324 
 29,089   TJX Cos., Inc. (The)   2,372,499 
         8,951,712 
     SEMICONDUCTORS - 3.7%     
 128,388   Advanced Micro Devices, Inc. *   1,290,299 
 20,752   Applied Materials, Inc.   1,154,019 
 10,965   Broadcom Ltd.   2,583,902 
 12,691   KLA-Tencor Corp.   1,383,446 
 88,681   Marvell Technology Group Ltd.   1,862,301 
 20,740   Microchip Technology, Inc.   1,894,806 
 66,592   Micron Technology, Inc. *   3,472,107 
 10,039   NVIDIA Corp.   2,324,932 
 27,935   Teradyne, Inc.   1,276,909 
         17,242,721 
     SOFTWARE - 3.8%     
 6,047   Adobe Systems, Inc. *   1,306,636 
 7,632   Atlassian Corp. PLC *   411,517 
 3,996   Autodesk, Inc. *   501,818 
 7,125   Guidewire Software, Inc. *   575,914 
 5,548   HubSpot, Inc. *   600,848 
 76,410   Microsoft Corp.   6,973,941 
 4,392   PTC, Inc. *   342,620 
 21,644   Salesforce.com, Inc. *   2,517,197 
 6,973   ServiceNow, Inc. *   1,153,683 
 2,716   Splunk, Inc. *   267,227 
 31,182   SS&C Technologies Holdings, Inc.   1,672,602 
 9,324   Workday, Inc. *   1,185,174 
         17,509,177 
     TELECOMMUNICATIONS - 1.2%     
 112,299   Verizon Communications, Inc.   5,370,138 
           
     TEXTILES - 0.2%     
 3,933   Mohawk Industries, Inc. *   913,321 
           
     TRANSPORTATION - 0.6%     
 2,792   FedEx Corp.   670,387 
 2,664   Knight-Swift Transportation Holdings, Inc.   122,571 
 6,503   Norfolk Southern Corp.   882,977 
 8,420   Union Pacific Corp.   1,131,901 
         2,807,836 
 C: 

 

 

 

     TRUCKING & LEASING - 0.1%     
 6,305   Greenbrier Cos, Inc. (The)  316,826 
           
     TOTAL COMMON STOCKS (Cost - $240,201,560)   290,672,982 
           
     PREFERRED STOCK - 0.0% **     
     TELECOMMUNICATIONS - 0.0% **     
 3,000   Verizon Communications, Inc.   79,380 
     TOTAL PREFERRED STOCK (Cost - $75,000)   79,380 

 

Principal
Amount
      Coupon
Rate (%)
  Maturity  Value 
     ASSET BACKED SECURITIES - 4.0%           
$513,464   Ajax Mortgage Loan Trust 2017-B (a) ^  3.163  9/25/2056   506,151 
 56,916   AmeriCredit Automobile Receivables Trust 2014-1  2.150  3/9/2020   56,900 
 42,472   AmeriCredit Automobile Receivables Trust 2017-1  1.510  5/18/2020   42,356 
 74,573   AmeriCredit Automobile Receivables Trust 2017-2  1.650  9/18/2020   74,323 
 108,998   Angel Oak Mortgage Trust LLC 2015-1 (a) ^  2.708  11/25/2047   107,814 
 250,000   Apidos CLO XXI 3 Month LIBOR + 1.43% (a) ^  3.164  7/18/2027   250,464 
 350,000   Apidos CLO XXII 3 Month LIBOR + 2.05% (a) ^  3.795  10/20/2027   351,484 
 100,000   ARI Fleet Lease Trust 2017-A (a)  1.910  4/15/2026   99,350 
 125,000   ARI Fleet Lease Trust 2018-A (a)  2.550  10/15/2026   124,496 
 345,000   Atlas Senior Loan Fund Ltd. 3 Month LIBOR + 1.30% (a) ^  2.607  1/16/2030   347,968 
 320,000   Avery Point IV CLO Ltd. 3 Month LIBOR + 1.60% (a) ^  3.345  4/25/2026   320,067 
 300,000   Ballyrock CLO 2016-1 Ltd. 3 Month LIBOR + 1.59% (a) ^  3.312  10/15/2028   302,563 
 155,000   Banc of America Commercial Mortgage Trust 2015-UBS7  3.705  9/15/2048   156,679 
 272,441   Bayview Koitere Fund Trust 2017-RT4 (a) ^  3.500  7/28/2057   276,291 
 166,446   Bayview Opportunity Master Fund IVa Trust 2017-SPL1 (a) ^  4.000  10/28/2064   169,929 
 180,153   Bayview Opportunity Master Fund IVa Trust 2017-SPL5 (a) ^  3.500  6/28/2057   181,737 
 125,707   Bayview Opportunity Master Fund IVb Trust 2017-SPL3 (a) ^  4.000  11/28/2053   128,564 
 130,690   Bayview Opportunity Master Fund IVb Trust 2017-SPL4 (a) ^  3.500  1/28/2055   130,362 
 325,000   BlueMountain CLO 2015-3 Ltd. 3 Month LIBOR + 1.48% (a) ^  3.225  10/20/2027   325,118 
 325,000   BlueMountain CLO 2015-3 Ltd. 3 Month LIBOR + 1.00% (a) ^  3.312  4/20/2031   325,000 
 125,000   Canadian Pacer Auto Receivables Trust2017-1 (a)  2.050  3/19/2021   123,111 
 385,000   CARDS II Trust 1 Month LIBOR + 0.70% (a) ^  2.477  7/15/2021   385,528 
 495,000   Carlyle Global Market Strategies CLO 2014-5 Ltd. 3 Month LIBOR + 1.14% (a) ^  2.862  10/16/2025   494,991 
 250,000   Cent CLO 20 Ltd. 3 Month LIBOR + 1.10% (a) ^  2.845  1/25/2026   250,116 
 250,000   Cent CLO 21 Ltd. 3 Month LIBOR + 1.21% (a) ^  2.970  7/27/2026   250,076 
 273,811   Chesapeake Funding II LLC 1 Month LIBOR + 1.00% (a) ^  2.777  6/15/2028   274,774 
 246,287   Chesapeake Funding II LLC 1 Month LIBOR + 0.45% (a) ^  2.227  5/15/2029   246,999 
 245,000   Chesapeake Funding II LLC (a)  1.910  8/15/2029   242,826 
 25,051   Chrysler Capital Auto Receivables Trust 2014-B (a)  1.760  12/16/2019   25,046 
 33,801   Chrysler Capital Auto Receivables Trust 2015-A (a)  1.550  2/18/2020   33,767 
 350,000   CIFC Funding 2014-II Ltd. 3 Month LIBOR + 1.20% (a) ^  3.144  5/24/2026   349,902 
 153,208   CNH Equipment Trust 2015-C  1.660  11/16/2020   152,563 
 210,653   COLT 2018-1 Mortgage Loan Trust (a) ^  2.930  2/25/2048   210,645 
 C: 

 

 

 

160,000   Enterprise Fleet Financing LLC (a)  1.970  1/20/2023  158,760 
 210,000   Enterprise Fleet Financing LLC (a)  2.130  5/22/2023   207,896 
 450,000   Evergreen Credit Card Trust 1 Month LIBOR + 0.72% (a) ^  2.497  4/15/2020   450,105 
 182,510   First Investors Auto Owner Trust (a)  2.000  3/15/2022   181,408 
 3,255   First Investors Auto Owner Trust 2014-3 (a)  1.670  11/16/2020   3,254 
 55,000   First Investors Auto Owner Trust 2014-3 (a)  2.390  11/16/2020   54,916 
 40,799   First Investors Auto Owner Trust 2017-1 (a)  1.690  4/15/2021   40,635 
 57,066   First Investors Auto Owner Trust 2017-2 (a)  1.860  10/15/2021   60,826 
 145,000   Ford Credit Floorplan Master Owner Trust A  1.770  8/15/2020   144,571 
 100,000   Ford Credit Floorplan Master Owner Trust A  2.310  2/15/2021   99,751 
 280,000   Ford Credit Floorplan Master Owner Trust A  1.750  7/15/2021   276,599 
 100,000   Ford Credit Floorplan Master Owner Trust A (a)  2.090  3/15/2022   98,670 
 275,000   Galaxy XIX CLO Ltd. 3 Month LIBOR + 1.22% (a) ^  2.961  7/24/2030   276,044 
 175,000   GreatAmerica Leasing Receivables Funding LLC Series 2017-1 (a)  2.360  1/20/2023   173,181 
 100,000   GreatAmerica Leasing Receivables Funding LLC Series 2018-1 (a)  2.600  6/15/2021   99,540 
 100,000   GreatAmerica Leasing Receivables Funding LLC Series 2018-1 (a)  2.830  6/17/2024   99,474 
 167,000   Hyundai Auto Receivables Trust 2014-B  2.100  11/15/2019   166,734 
 250,000   KKR Clo 16 Ltd. 3 Month LIBOR + 1.49% (a) ^  3.235  1/20/2029   251,638 
 300,000   Madison Park Funding XI Ltd. 3 Month LIBOR + 1.16% (a) ^  2.904  7/23/2029   300,150 
 250,000   Madison Park Funding XV Ltd. 3 Month LIBOR + 1.50% (a) ^  3.260  1/27/2026   250,037 
 565,000   Madison Park Funding XVIII Ltd. 3 Month LIBOR + 1.19% (a) ^  2.935  10/21/2030   568,653 
 300,000   Madison Park Funding XXX Ltd. 3 Month LIBOR + 0.75% (a) ^  3.089  4/15/2029   299,340 
 535,000   Magnetite VII Ltd. 3 Month LIBOR +0.80% (a) ^  2.620  1/15/2028   534,997 
 255,000   Mercedes-Benz Master Owner Trust 2017-A 1 Month LIBOR + 0.30% (a) ^  2.077  5/16/2021   255,291 
 67,010   Mill City Mortgage Loan Trust 2016-1 (a) ^  2.500  4/25/2057   67,060 
 200,258   Mill City Mortgage Loan Trust 2017-3 (a) ^  2.750  1/25/2061   200,773 
 15,303   MMAF Equipment Finance LLC 2016-A (a)  1.390  12/17/2018   15,296 
 140,000   MMAF Equipment Finance LLC 2016-A (a)  2.210  12/15/2032   135,130 
 100,898   MMAF Equipment Finance LLC 2017-A (a)  1.730  5/18/2020   100,520 
 160,000   MMAF Equipment Finance LLC 2017-B (a)  2.210  10/17/2022   157,559 
 59,507   Nationstar HECM Loan Trust 2017-1 (a)  1.968  5/25/2027   59,297 
 72,623   Nationstar HECM Loan Trust 2017-2 (a) ^  2.038  9/25/2027   72,169 
 128,662   Nationstar HECM Loan Trust 2018-1 (a) ^  2.760  2/25/2028   128,662 
 22,869   NYCTL 2016-A Trust (a)  1.470  11/10/2029   22,665 
 203,832   Octagon Investment Partners XVI Ltd. 3 Month LIBOR + 1.12% (a) ^  2.851  7/17/2025   204,025 
 195,000   OneMain Direct Auto Receivables Trust 2017-2 (a)  2.310  12/14/2021   193,683 
 100,000   OneMain Financial Issuance Trust 2016-1 (a)  3.660  2/20/2029   100,940 
 161,725   OneMain Financial Issuance Trust 2016-2 (a)  4.100  3/20/2028   162,923 
 100,000   OneMain Financial Issuance Trust 2017-1 (a)  2.370  9/14/2032   98,385 
 253,487   Securitized Term Auto Receivables Trust 2016-1 (a)  1.524  3/25/2020   252,134 
 105,000   Securitized Term Auto Receivables Trust 2017-2 (a)  2.040  4/26/2021   103,310 
 325,000   Shackleton 2015-VIII CLO Ltd. 3 Month LIBOR + 0.92% (a) ^  2.665  10/20/2027   325,045 
 325,000   Sound Point Clo XII Ltd. 3 Month LIBOR + 1.66% (a) ^  3.405  10/20/2028   326,066 
 145,660   Springleaf Funding Trust 2015-A (a)  3.160  11/15/2024   145,833 
 190,000   Springleaf Funding Trust 2016-A (a)  2.900  11/15/2029   189,158 
 305,000   SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2016-T1 (a)  2.530  11/16/2048   304,194 
 139,588   Towd Point Mortgage Trust 2016-3 (a) ^  2.250  4/25/2056   138,557 
 231,226   Towd Point Mortgage Trust 2017-1 (a) ^  2.750  10/25/2056   230,021 
 82,176   Towd Point Mortgage Trust 2017-2 (a) ^  2.750  4/25/2057   81,961 
 226,319   Towd Point Mortgage Trust 2017-4 (a) ^  2.750  6/25/2057   223,244 
 C: 

 

 

 

98,249   Towd Point Mortgage Trust 2018-1 (a) ^  3.000  1/25/2058   98,181 
 620,000   Trillium Credit Card Trust II 1 Month LIBOR + 0.72% (a) ^  2.592  5/26/2021   620,561 
 90,026   United Auto Credit Securitization Trust 2017-1 (a)  1.890  5/10/2019   89,849 
 290,000   United Auto Credit Securitization Trust 2017-1 (a)  2.400  11/12/2019   289,411 
 159,867   Vantage Data Centers Issuer LLC (a)  4.072  2/16/2043   162,451 
 105,000   Volvo Financial Equipment LLC Series 2017-1 (a)  1.920  3/15/2021   104,007 
 300,000   Webster Park CLO Ltd. + 3 Month LIBOR +2.25% (a) ^  3.995  1/20/2027   300,169 
 7,059   Westlake Automobile Receivables Trust 2016-2 (a)  1.570  6/17/2019   7,056 
 102,333   Westlake Automobile Receivables Trust 2017-1 (a)  1.780  4/15/2020   102,139 
 200,000   Wheels SPV 2 LLC (a)  1.880  4/20/2026   198,134 
     TOTAL ASSET BACKED SECURITIES (Cost - $18,426,500)      18,380,998 
                 
     CORPORATE BONDS - 13.3%           
     AEROSPACE/DEFENSE - 0.1%           
 100,000   BAE Systems Holdings, Inc. (a)  3.850  12/15/2025   100,813 
 125,000   Lockheed Martin Corp.  6.150  9/1/2036   157,194 
 50,000   Lockheed Martin Corp.  4.850  9/15/2041   54,741 
 100,000   Lockheed Martin Corp.  4.070  12/15/2042   98,720 
               411,468 
     AGRICULTURE - 0.3%           
 495,000   BAT Capital Corp. (a)  3.557  8/15/2027   474,129 
 230,000   BAT International Finance PLC (a)  2.750  6/15/2020   228,036 
 20,000   BAT International Finance PLC (a)  3.500  6/15/2022   19,940 
 100,000   Cargill, Inc. (a)  4.760  11/23/2045   113,098 
 475,000   Imperial Brands Finance PLC (a)  3.750  7/21/2022   476,858 
               1,312,061 
     AUTO MANUFACTURERS - 0.3%           
 315,000   Daimler Finance North America LLC (a)  2.200  5/5/2020   309,136 
 280,000   Daimler Finance North America LLC (a)  2.300  2/12/2021   273,093 
 105,000   Ford Motor Co.  4.346  12/8/2026   103,865 
 600,000   General Motors Financial Co., Inc.  3.700  5/9/2023   595,628 
 120,000   General Motors Financial Co., Inc.  3.950  4/13/2024   118,981 
 100,000   Nissan Motor Acceptance Corp. (a)  2.650  9/26/2018   100,034 
               1,500,737 
     BANKS - 3.6%           
 200,000   Banco Santander SA  3.125  2/23/2023   193,823 
 135,000   Bank of America Corp.  2.250  4/21/2020   133,035 
 640,000   Bank of America Corp.  2.625  10/19/2020   635,581 
 160,000   Bank of America Corp.  4.200  8/26/2024   162,508 
 345,000   Bank of America Corp. 3 Month LIBOR + 1.37% ^  3.593  7/21/2028   335,089 
 380,000   Bank of New York Mellon Corp. (The) 3 Month LIBOR + 1.05% ^  2.817  10/30/2023   386,227 
 300,000   Banque Federative du Credit Mutuel SA (a)  2.750  10/15/2020   296,719 
 100,000   Barclays Bank PLC  5.140  10/14/2020   103,271 
 405,000   Barclays PLC  3.200  8/10/2021   400,167 
 150,000   BB&T Corp.  2.450  1/15/2020   148,752 
 280,000   BNP Paribas SA (a)  2.950  5/23/2022   274,451 
 200,000   BNP Paribas SA (a)  3.375  1/9/2025   193,458 
 435,000   BNP Paribas SA (a)  3.500  11/16/2027   415,616 
 275,000   BPCE SA (a)  5.700  10/22/2023   294,542 
 600,000   BPCE SA (a)  5.150  7/21/2024   626,082 
 305,000   BPCE SA (a)  3.500  10/23/2027   288,115 
 105,000   Capital One Financial Corp.  4.200  10/29/2025   104,040 
 C: 

 

 

 

50,000   Citigroup, Inc.  4.050  7/30/2022  50,811 
 300,000   Citigroup, Inc.  3.500  5/15/2023   296,413 
 70,000   Citigroup, Inc.  3.300  4/27/2025   67,950 
 55,000   Citigroup, Inc.  5.500  9/13/2025   59,549 
 370,000   Citigroup, Inc. 3 Month LIBOR + 1.151% ^  3.520  10/27/2028   357,182 
 250,000   Credit Agricole SA (a)  3.250  10/4/2024   238,860 
 200,000   Credit Agricole SA (a)  4.375  3/17/2025   199,235 
 50,000   Credit Suisse AG  5.400  1/14/2020   51,789 
 285,000   Credit Suisse Group AG (a)  3.574  1/9/2023   283,313 
 250,000   Credit Suisse Group Funding Guernsey Ltd.  3.125  12/10/2020   248,608 
 395,000   Credit Suisse Group Funding Guernsey Ltd.  3.800  9/15/2022   397,760 
 230,000   Deutsche Bank AG  2.700  7/13/2020   225,126 
 230,000   Deutsche Bank AG  3.150  1/22/2021   226,571 
 345,000   Deutsche Bank AG  4.250  10/14/2021   350,014 
 525,000   Discover Bank  3.100  6/4/2020   523,073 
 300,000   Fifth Third Bank  2.150  8/20/2018   299,392 
 130,000   Goldman Sachs Group, Inc. (The)  2.625  4/25/2021   127,325 
 200,000   Goldman Sachs Group, Inc. (The)  3.500  1/23/2025   196,195 
 460,000   Goldman Sachs Group, Inc. (The) 3 Month LIBOR + 1.201% ^  3.272  9/29/2025   442,820 
 50,000   Goldman Sachs Group, Inc. (The)  6.750  10/1/2037   62,636 
 85,000   Goldman Sachs Group, Inc. (The)  4.750  10/21/2045   90,957 
 55,000   Goldman Sachs Group, Inc. (The)  4.800  7/8/2044   59,288 
 305,000   HSBC Holdings PLC  3.400  3/8/2021   306,415 
 60,000   HSBC Holdings PLC  4.000  3/30/2022   61,453 
 200,000   HSBC Holdings PLC  3.600  5/25/2023   199,886 
 200,000   HSBC Holdings PLC 3 Month LIBOR + 1.546% ^  4.041  3/13/2028   199,864 
 250,000   Huntington Bancshares, Inc.  3.150  3/14/2021   248,753 
 250,000   Huntington National Bank (The)  2.400  4/1/2020   246,999 
 200,000   ING Groep NV  3.950  3/29/2027   198,404 
 400,000   JPMorgan Chase & Co.  2.950  10/1/2026   376,405 
 450,000   Macquarie Group Ltd. 3 Month LIBOR + 1.33% (a) ^  4.150  3/27/2024   451,776 
 110,000   Morgan Stanley  3.875  4/29/2024   110,958 
 70,000   Morgan Stanley  3.125  7/27/2026   66,243 
 455,000   Morgan Stanley  4.350  9/8/2026   458,244 
 300,000   Morgan Stanley  3.625  1/20/2027   293,644 
 900,000   NBK SPC Ltd. (a)  2.750  5/30/2022   866,250 
 400,000   PNC Bank NA  2.600  7/21/2020   396,754 
 50,000   PNC Financial Services Group, Inc. (The)  3.900  4/29/2024   50,510 
 120,000   Santander Holdings USA, Inc.  2.650  4/17/2020   118,662 
 465,000   Santander Holdings USA, Inc.  3.700  3/28/2022   465,981 
 75,000   Santander Holdings USA, Inc.  3.400  1/18/2023   73,260 
 300,000   Santander UK PLC  2.000  8/24/2018   299,240 
 200,000   Skandinaviska Enskilda Banken AB (a)  2.450  5/27/2020   197,255 
 350,000   State Street Corp.  3.550  8/18/2025   351,406 
 250,000   UBS Group Funding Switzerland AG (a)  2.950  9/24/2020   248,136 
 225,000   UBS Group Funding Switzerland AG (a)  3.000  4/15/2021   222,624 
 150,000   Wells Fargo & Co.  3.000  2/19/2025   142,903 
 35,000   Wells Fargo & Co.  4.100  6/3/2026   34,784 
 195,000   Wells Fargo & Co.  4.750  12/7/2046   199,821 
               16,732,973 
 C: 

 

 

 

     BEVERAGES - 0.1%           
260,000   Anheuser-Busch InBev Finance, Inc.  3.650  2/1/2026  258,453 
 305,000   Anheuser-Busch InBev Worldwide, Inc.  3.500  1/12/2024   307,141 
 60,000   Anheuser-Busch InBev Worldwide, Inc.  4.375  4/15/2038   61,216 
 55,000   Anheuser-Busch InBev Worldwide, Inc.  3.750  7/15/2042   50,475 
               677,285 
     BIOTECHNOLOGY - 0.2%           
 740,000   Amgen, Inc.  2.650  5/11/2022   722,034 
 130,000   Biogen, Inc.  2.900  9/15/2020   129,207 
 70,000   Celgene Corp.  3.550  8/15/2022   69,904 
 90,000   Gilead Sciences, Inc.  2.550  9/1/2020   89,274 
               1,010,419 
     CHEMICALS - 0.1%           
 300,000   Agrium, Inc.  3.150  10/1/2022   296,983 
 200,000   CNAC HK Synbridge Co. Ltd.  5.000  5/5/2020   204,178 
               501,161 
     COMMERCIAL SERVICES - 0.2%           
 500,000   ERAC USA Finance, LLC (a)  3.300  10/15/2022   499,196 
 355,000   Total System Services, Inc.  3.800  4/1/2021   358,701 
               857,897 
     COMPUTERS - 0.1%           
 120,000   Apple, Inc.  3.000  2/9/2024   118,646 
 105,000   Apple, Inc.  3.250  2/23/2026   103,524 
 15,000   Apple, Inc.  2.450  8/4/2026   13,905 
               236,075 
     CONSUMER DISCRETIONARY - 0.1%           
 475,000   Ford Motor Credit Co. LLC  3.096  5/4/2023   456,539 
                 
     DIVERSIFIED FINANCIAL SERVICES - 0.3%           
 50,000   American Express Co.  1.550  5/22/2018   49,926 
 120,000   GTP Acquisition Partners I LLC (a)  2.350  6/15/2020   118,607 
 285,000   LeasePlan Corp NV (a)  2.875  1/22/2019   284,108 
 350,000   Private Export Funding Corp.  3.250  6/15/2025   358,760 
 155,000   Synchrony Financial  2.600  1/15/2019   154,655 
 15,000   Synchrony Financial  2.700  2/3/2020   14,841 
 205,000   Synchrony Financial  3.750  8/15/2021   206,714 
               1,187,611 
 C: 

 

 

 

     ELECTRIC - 1.6%           
200,000   Appalachian Power Co.  3.400  6/1/2025  197,847 
 150,000   Berkshire Hathaway Energy Co.  4.500  2/1/2045   159,438 
 510,000   Cleveland Electric Illuminating Co. (The) (a)  3.500  4/1/2028   487,535 
 60,000   Consolidated Edison Co. of New York, Inc.  4.625  12/1/2054   66,057 
 160,000   Dominion Energy, Inc. #  2.962  7/1/2019   159,706 
 195,000   Dominion Energy, Inc.  2.579  7/1/2020   192,537 
 230,000   Dominion Energy, Inc. #  4.104  4/1/2021   234,902 
 175,000   Duke Energy Carolinas LLC  6.100  6/1/2037   223,697 
 225,000   Duke Energy Corp.  3.750  4/15/2024   225,215 
 70,000   Duke Energy Corp.  2.650  9/1/2026   63,885 
 55,000   Emera US Finance LP  2.700  6/15/2021   53,750 
 95,000   Entergy Corp.  2.950  9/1/2026   88,434 
 140,000   Entergy Louisiana LLC  3.120  9/1/2027   134,764 
 175,000   Eversource Energy  2.900  10/1/2024   168,034 
 265,000   Fortis, Inc.  3.055  10/4/2026   245,588 
 175,000   Georgia Power Co.  5.950  2/1/2039   218,782 
 200,000   Infraestructura Energetica Nova SAB de CV (a)  4.875  1/14/2048   186,500 
 310,000   NextEra Energy Capital Holdings, Inc.  3.550  5/1/2027   301,252 
 200,000   Oglethorpe Power Corp.  5.250  9/1/2050   219,233 
 160,000   Oncor Electric Delivery Co. LLC  4.100  6/1/2022   165,654 
 51,000   Oncor Electric Delivery Co. LLC  2.950  4/1/2025   49,200 
 75,000   Pacific Gas & Electric Co.  3.400  8/15/2024   73,564 
 55,000   Pacific Gas & Electric Co.  6.050  3/1/2034   65,557 
 255,000   Pacific Gas & Electric Co.  5.800  3/1/2037   293,249 
 15,000   Pacific Gas & Electric Co.  6.350  2/15/2038   18,450 
 10,000   Pacific Gas & Electric Co.  6.250  3/1/2039   12,194 
 250,000   Pacific Gas & Electric Co.  5.400  1/15/2040   284,170 
 60,000   Pacific Gas & Electric Co.  5.125  11/15/2043   64,805 
 10,000   Pacific Gas & Electric Co.  4.750  2/15/2044   10,322 
 10,000   Pacific Gas & Electric Co.  4.300  3/15/2045   9,667 
 50,000   PPL Capital Funding, Inc.  3.500  12/1/2022   50,155 
 300,000   SCANA Corp.  6.250  4/1/2020   312,379 
 695,000   SCANA Corp.  4.750  5/15/2021   708,667 
 326,000   SCANA Corp.  4.125  2/1/2022   323,782 
 50,000   South Carolina Electric & Gas Co.  4.600  6/15/2043   50,929 
 150,000   South Carolina Electric & Gas Co.  5.100  6/1/2065   159,855 
 225,000   Southern Co. (The)  2.750  6/15/2020   223,094 
 290,000   Southern Co. (The)  2.950  7/1/2023   281,678 
 270,000   State Grid Overseas Investment 2016 Ltd. (a)  2.750  5/4/2022   262,913 
 270,000   State Grid Overseas Investment 2016 Ltd. (a)  3.500  5/4/2027   260,323 
               7,307,763 
     ENGINEERING & CONSTRUCTION - 0.2%           
 250,000   Mexico City Airport Trust (a)  5.500  7/31/2047   228,125 
 50,000   SBA Tower Trust (a)  2.898  10/8/2019   49,783 
 255,000   SBA Tower Trust (a)  3.156  10/8/2020   255,243 
 155,000   SBA Tower Trust (a)  2.877  7/9/2021   152,660 
 155,000   SBA Tower Trust (a)  3.448  3/15/2023   155,115 
               840,926 
 C: 

 

 

 

     FOOD - 0.2%           
165,000   Kraft Heinz Foods Co.  3.500  7/15/2022  164,687 
 55,000   Kraft Heinz Foods Co.  3.000  6/1/2026   50,767 
 375,000   Kraft Heinz Foods Co.  4.375  6/1/2046   343,869 
 375,000   Kroger Co. (The)  2.950  11/1/2021   371,464 
 240,000   Sigma Alimentos SA de CV (a)  4.125  5/2/2026   231,300 
               1,162,087 
     GAS - 0.1%           
 60,000   Boston Gas Co. (a)  3.150  8/1/2027   57,494 
 149,000   CenterPoint Energy Resources Corp.  4.500  1/15/2021   153,718 
 125,000   Dominion Gas Holdings LLC  3.600  12/15/2024   125,123 
 275,000   KeySpan Gas East Corp. (a)  2.742  8/15/2026   257,511 
               593,846 
     HEALTHCARE-PRODUCTS - 0.1%           
 325,000   Boston Scientific Corp.  3.375  5/15/2022   323,972 
 205,000   Medtronic, Inc.  3.500  3/15/2025   204,915 
               528,887 
     HEALTHCARE-SERVICES - 0.7%           
 210,000   Aetna, Inc.  2.800  6/15/2023   201,778 
 75,000   Anthem, Inc.  3.500  8/15/2024   73,545 
 45,000   Anthem, Inc.  4.101  3/1/2028   44,967 
 150,000   Anthem, Inc.  4.650  8/15/2044   151,716 
 90,000   Anthem, Inc.  4.375  12/1/2047   88,347 
 15,000   Ascension Health  4.847  11/15/2053   17,610 
 191,000   Catholic Health Initiatives  2.950  11/1/2022   186,919 
 105,000   Catholic Health Initiatives  4.200  8/1/2023   108,137 
 95,000   Catholic Health Initiatives  4.350  11/1/2042   88,664 
 92,000   Dignity Health  3.812  11/1/2024   92,805 
 270,000   Dignity Health  4.500  11/1/2042   260,850 
 295,000   Kaiser Foundation Hospitals  3.500  4/1/2022   300,221 
 50,000   Memorial Sloan-Kettering Cancer Center  5.000  7/1/2042   59,080 
 30,000   Memorial Sloan-Kettering Cancer Center  4.200  7/1/2055   31,274 
 395,000   Mercy Health  3.555  8/1/2027   388,661 
 80,000   Orlando Health Obligated Group  3.777  10/1/2028   80,387 
 25,000   Orlando Health Obligated Group  4.089  10/1/2048   25,061 
 95,000   Providence St Joseph Health Obligated Group  3.930  10/1/2048   93,828 
 375,000   SSM Health Care Corp.  3.823  6/1/2027   380,679 
 60,000   Stanford Health Care  3.795  11/15/2048   60,120 
 45,000   United Health Group, Inc.  3.350  7/15/2022   45,232 
 300,000   United Health Group, Inc.  2.875  3/15/2023   295,065 
 75,000   United Health Group, Inc.  3.750  7/15/2025   75,969 
               3,150,915 
     INSURANCE - 0.3%           
 50,000   American International Group, Inc.  4.875  6/1/2022   52,732 
 190,000   Berkshire Hathaway, Inc.  2.750  3/15/2023   187,029 
 50,000   Chubb INA Holdings, Inc.  2.300  11/3/2020   49,244 
 75,000   Chubb INA Holdings, Inc.  3.350  5/15/2024   74,918 
 250,000   Hartford Financial Services Group, Inc. (The)  5.500  3/30/2020   261,380 
 275,000   Jackson National Life Global Funding (a)  3.250  1/30/2024   272,262 
 195,000   Metropolitan Life Global Funding I (a)  2.650  4/8/2022   191,320 
 250,000   Metropolitan Life Global Funding I (a)  3.000  9/19/2027   236,103 
 150,000   Principal Financial Group, Inc.  3.400  5/15/2025   147,708 
               1,472,696 
 C: 

 

 

 

     INTERNET - 0.3%           
400,000   Alibaba Group Holding Ltd.  2.500  11/28/2019  397,240 
 270,000   Alibaba Group Holding Ltd.  3.400  12/6/2027   256,258 
 190,000   Amazon.com, Inc. (a)  2.800  8/22/2024   184,358 
 165,000   Amazon.com, Inc.  4.800  12/5/2034   182,784 
 160,000   Amazon.com, Inc. (a)  4.250  8/22/2057   159,582 
 215,000   Tencent Holdings Ltd. (a)  3.595  1/19/2028   207,084 
               1,387,306 
     LODGING - 0.0% **           
 225,000   Marriott International, Inc.  2.875  3/1/2021   222,904 
                 
     MEDIA - 0.5%           
 50,000   21st Century Fox America, Inc.  3.700  9/15/2024   50,392 
 175,000   Charter Communications Operating LLC  4.464  7/23/2022   178,761 
 15,000   Charter Communications Operating LLC  6.484  10/23/2045   16,465 
 45,000   Charter Communications Operating LLC  5.375  5/1/2047   43,526 
 138,000   Comcast Corp.  3.999  11/1/2049   129,414 
 275,000   Cox Communications, Inc. (a)  4.800  2/1/2035   269,861 
 15,000   Cox Communications, Inc. (a)  6.450  12/1/2036   17,251 
 15,000   Cox Communications, Inc. (a)  4.600  8/15/2047   14,352 
 100,000   NBCUniversal Media, LLC  2.875  1/15/2023   98,158 
 250,000   Sky PLC (a)  3.750  9/16/2024   253,810 
 275,000   Time Warner, Inc.  4.875  3/15/2020   284,342 
 375,000   Time Warner, Inc.  3.600  7/15/2025   364,905 
 475,000   Viacom, Inc.  4.250  9/1/2023   482,072 
               2,203,309 
     MINING - 0.1%           
 275,000   Glencore Finance Canada Ltd. (a)  4.250  10/25/2022   278,980 
                 
     MISCELLANEOUS MANUFACTURING - 0.1%           
 111,000   Pentair Finance SA  2.900  9/15/2018   111,024 
 250,000   Siemens Financieringsmaatschappij NV (a)  2.900  5/27/2022   247,566 
               358,590 
     OIL & GAS - 0.7%           
 240,000   Anadarko Petroleum Corp.  4.850  3/15/2021   249,417 
 200,000   BG Energy Capital PLC (a)  4.000  10/15/2021   204,699 
 105,000   BP Capital Markets PLC  3.245  5/6/2022   105,197 
 85,000   ConocoPhillips Co.  3.350  5/15/2025   83,979 
 20,000   ConocoPhillips Co.  4.950  3/15/2026   21,832 
 130,000   Marathon Oil Corp.  2.700  6/1/2020   128,077 
 170,000   Noble Energy, Inc.  4.150  12/15/2021   173,720 
 775,000   Petroleos Mexicanos  5.500  1/21/2021   806,775 
 95,000   Petroleos Mexicanos (a)  5.375  3/13/2022   98,753 
 175,000   Petroleos Mexicanos  6.750  9/21/2047   177,079 
 140,000   Petroleos Mexicanos (a)  6.350  2/12/2048   135,275 
 225,000   Pioneer Natural Resources Co.  7.500  1/15/2020   242,096 
 180,000   Shell International Finance BV  4.125  5/11/2035   186,501 
 230,000   Sinopec Group Overseas Development 2015 Ltd. (a)  2.500  4/28/2020   226,571 
 435,000   Sinopec Group Overseas Development 2017 Ltd. (a)  3.000  4/12/2022   424,827 
               3,264,798 
     OIL & GAS SERVICES - 0.0% **           
 110,000   Schlumberger Holdings Corp. (a)  3.000  12/21/2020   109,727 
 C: 

 

 

 

     PHARMACEUTICALS - 1.0%           
375,000   AbbVie, Inc.  1.800  5/14/2018   374,727 
 85,000   Allergan Funding SCS  3.000  3/12/2020   84,562 
 20,000   Allergan Funding SCS  3.450  3/15/2022   19,829 
 50,000   Allergan Funding SCS  3.850  6/15/2024   49,399 
 675,000   Allergan Funding SCS  3.800  3/15/2025   663,109 
 160,000   Allergan Funding SCS  4.550  3/15/2035   156,637 
 25,000   Allergan Funding SCS  4.750  3/15/2045   24,526 
 100,000   Allergan Sales LLC (a)  5.000  12/15/2021   104,386 
 275,000   Bayer US Finance LLC (a)  2.375  10/8/2019   272,621 
 170,000   Cardinal Health, Inc.  3.200  3/15/2023   167,421 
 155,000   Cardinal Health, Inc.  3.079  6/15/2024   147,873 
 35,000   Cardinal Health, Inc.  4.500  11/15/2044   34,281 
 250,000   CVS Health Corp.  4.000  12/5/2023   252,938 
 530,000   CVS Health Corp.  4.100  3/25/2025   533,736 
 55,000   CVS Health Corp.  4.875  7/20/2035   57,070 
 195,000   CVS Health Corp.  5.125  7/20/2045   206,831 
 95,000   EMD Finance LLC (a)  2.950  3/19/2022   93,551 
 195,000   Mylan, Inc (a)  4.550  4/15/2028   194,654 
 100,000   Mylan, Inc (a)  5.200  4/15/2048   100,815 
 220,000   Mylan NV  3.000  12/15/2018   219,996 
 123,000   Teva Pharmaceutical Finance Co BV  3.650  11/10/2021   115,768 
 700,000   Teva Pharmaceutical Finance Netherlands III BV  2.800  7/21/2023   593,098 
               4,467,828 
     PIPELINES - 0.4%           
 45,000   Andeavor Logistics LP / Tesoro Logistics Finance Corp.  3.500  12/1/2022   44,222 
 65,000   Columbia Pipeline Group, Inc.  2.450  6/1/2018   64,959 
 175,000   Columbia Pipeline Group, Inc.  4.500  6/1/2025   176,626 
 90,000   Energy Transfer LP  7.600  2/1/2024   102,400 
 30,000   Energy Transfer LP / Regency Energy Finance Corp.  4.500  11/1/2023   30,386 
 95,000   Enterprise Products Operating LLC  3.950  2/15/2027   95,527 
 130,000   Enterprise Products Operating LLC  5.100  2/15/2045   141,347 
 355,000   MPLX LP  4.000  3/15/2028   349,858 
 100,000   Phillips 66 Partners LP  3.605  2/15/2025   97,826 
 55,000   Sunoco Logistics Partners Operations LP  4.400  4/1/2021   56,177 
 195,000   Sunoco Logistics Partners Operations LP  3.900  7/15/2026   185,237 
 131,000   TransCanada PipeLines Ltd.  4.875  1/15/2026   141,361 
 200,000   Western Gas Partners LP  4.000  7/1/2022   199,539 
               1,685,465 
     REAL ESTATE INVESTMENT TRUSTS - 0.4%           
 300,000   American Tower Corp.  3.450  9/15/2021   300,577 
 86,000   American Tower Corp.  5.000  2/15/2024   90,780 
 75,000   American Tower Corp.  4.400  2/15/2026   75,790 
 50,000   AvalonBay Communities, Inc.  2.950  9/15/2022   49,182 
 385,000   Brandywine Operating Partnership LP  3.950  11/15/2027   373,463 
 150,000   DDR Corp.  4.625  7/15/2022   155,501 
 75,000   HCP, Inc.  3.875  8/15/2024   74,357 
 200,000   HCP, Inc.  4.000  6/1/2025   200,301 
 260,000   Scentre Group Trust 1/Scentre Group Trust 2 (a)  2.375  11/5/2019   257,380 
 275,000   WEA Finance LLC / Westfield UK & Europe Finance PLC (a)  3.250  10/5/2020   275,326 
               1,852,657 
     RETAIL - 0.1%           
 300,000   AutoZone, Inc.  3.125  7/15/2023   296,315 
 100,000   Home Depot, Inc. (The)  2.000  6/15/2019   99,487 
               395,802 
 C: 

 

 

 

     SEMICONDUCTORS - 0.1%           
295,000   Broadcom Corp / Broadcom Cayman Finance Ltd. (a)  3.625  1/15/2024   290,200 
 410,000   QUALCOMM, Inc.  2.100  5/20/2020   405,324 
               695,524 
     SOFTWARE - 0.3%           
 335,000   Microsoft Corp.  2.875  2/6/2024   329,199 
 235,000   Microsoft Corp.  2.400  8/8/2026   218,686 
 180,000   Microsoft Corp.  3.700  8/8/2046   177,600 
 225,000   Oracle Corp.  2.800  7/8/2021   224,375 
 230,000   Oracle Corp.  3.250  11/15/2027   224,350 
               1,174,210 
     TELECOMMUNICATIONS - 0.4%           
 30,000   AT&T, Inc.  3.950  1/15/2025   29,981 
 600,000   AT&T, Inc. (a)  4.100  2/15/2028   595,756 
 20,000   AT&T, Inc.  4.500  5/15/2035   19,643 
 160,000   AT&T, Inc.  4.750  5/15/2046   155,399 
 150,000   Crown Castle Towers LLC (a)  3.222  5/15/2022   147,497 
 410,000   Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC (a)  4.738  3/20/2025   411,538 
 4,000   Verizon Communications, Inc.  4.812  3/15/2039   4,088 
 609,000   Verizon Communications, Inc.  4.522  9/15/2048   586,795 
               1,950,697 
     TRANSPORTATION - 0.1%           
 225,000   FedEx Corp.  8.000  1/15/2019   234,466 
 160,000   FedEx Corp.  4.550  4/1/2046   161,396 
               395,862 
     TRUCKING & LEASING - 0.2%           
 150,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.200  7/15/2020   150,216 
 200,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.375  2/1/2022   198,909 
 50,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  4.875  7/11/2022   52,623 
 345,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.950  3/10/2025   345,739 
               747,487 
     WATER - 0.0% **           
 120,000   American Water Capital Corp.  2.950  9/1/2027   113,938 
                 
     TOTAL CORPORATE BONDS (Cost $61,902,992)         61,246,430 
 C: 

 

 

 

     COLLATERALIZED MORTGAGE OBLIGATIONS - 0.2%        
     WHOLE LOAN COLLATERAL - 0.2%           
54,699   Deephaven Residential Mortgage Trust 2017-1 (a) ^  2.725  12/26/2046  54,573 
 128,192   Deephaven Residential Mortgage Trust 2017-2 (a) ^  2.453  6/25/2047   124,997 
 122,046   Deephaven Residential Mortgage Trust 2017-3 (a) ^  2.577  10/25/2047   119,899 
 187,684   Deephaven Residential Mortgage Trust 2018-1 (a) ^  2.976  12/25/2057   186,505 
 108,131   Finance of America Structured Securities Trust 2017-HB1 (a) ^  2.321  11/25/2027   107,731 
 168,206   MetLife Securitization Trust 2017-1 (a) ^  3.000  4/25/2055   167,958 
 219,599   New Residential Mortgage Loan Trust 2017-3 (a) ^  4.000  4/25/2057   226,247 
     TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $999,325)         987,910 
                 
     COMMERCIAL MORTGAGE BACKED SECURITIES - 2.0%           
 195,000   CD 2017-CD4 Mortgage Trust ^  3.514  5/10/2050   194,440 
 525,000   Citigroup Commercial Mortgage Trust 2015-GC35  3.818  11/10/2048   536,623 
 130,000   COMM 2013-CCRE8 Mortgage Trust  3.334  6/10/2046   130,575 
 225,000   CSAIL 2015-C1 Commercial Mortgage Trust  3.505  4/15/2050   224,930 
 420,000   CSAIL 2015-C2 Commercial Mortgage Trust  3.504  6/15/2057   419,248 
 405,000   CSAIL 2015-C3 Commercial Mortgage Trust  3.718  8/15/2048   409,678 
 405,000   CSMC 17-LSTK A (a)  2.761  4/5/2021   401,096 
 104,234   Fannie Mae-ACES 1 Month LIBOR + 0.49% ^  2.312  4/25/2024   104,294 
 214,608   Fannie Mae-ACES 1 Month LIBOR + 0.40% ^  1.988  10/25/2024   214,733 
 465,000   Fannie Mae Multifamily Remic Trust 2015-M12 ^  2.793  5/25/2025   451,366 
 355,509   Fannie Mae REMICS  3.500  6/25/2044   359,362 
 726,293   Fannie Mae REMICS  3.000  1/25/2045   727,984 
 550,516   Fannie Mae REMICS  3.000  12/25/2045   547,078 
 777,717   Freddie Mac REMICS  1.750  9/15/2042   727,596 
 923,246   Freddie Mac REMICS  3.000  6/15/2045   911,905 
 635,684   Freddie Mac REMICS  3.000  7/15/2047   631,373 
 105,000   FREMF 2010-K7 Mortgage Trust (a) ^  5.501  4/25/2020   109,375 
 75,000   FREMF 2013-K712 Mortgage Trust (a) ^  3.364  5/25/2045   75,005 
 45,000   FREMF 2013-K713 Mortgage Trust (a) ^  3.164  4/25/2046   44,968 
 300,000   GS Mortgage Securities Trust 2015-GS1  3.734  11/10/2048   306,390 
 100,000   JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1  3.914  1/15/2049   102,617 
 260   LB-UBS Commercial Mortgage Trust 2008-C1 ^  6.319  4/15/2041   260 
 490,000   Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22  3.306  4/15/2048   487,050 
 100,000   SFAVE Commercial Mortgage Securities Trust 2015-5AVE (a) ^  4.144  1/5/2043   97,997 
 125,000   Wells Fargo Commercial Mortgage Trust 2015-LC22  3.839  9/15/2058   128,158 
 250,000   Wells Fargo Commercial Mortgage Trust 2015-NXS1  3.148  5/15/2048   244,785 
 400,000   Wells Fargo Commercial Mortgage Trust 2017-C38  3.453  7/15/2050   395,336 
     TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $9,192,379)         8,984,222 
 C: 

 

 

 

     AGENCY MORTGAGE BACKED SECURITIES - 7.5%        
     FEDERAL HOME LOAN MORTGAGE CORP. - 3.6%        
11,030   Freddie Mac Gold Pool  3.000  9/1/2028   11,092 
 20,872   Freddie Mac Gold Pool  2.500  10/1/2028   20,645 
 200,000   Freddie Mac Gold Pool +  3.000  11/15/2030   199,633 
 92,141   Freddie Mac Gold Pool  2.500  12/1/2031   90,351 
 110,009   Freddie Mac Gold Pool  3.500  11/1/2034   111,369 
 50,000   Freddie Mac Gold Pool +  5.500  7/15/2038   54,242 
 50,000   Freddie Mac Gold Pool +  5.000  2/15/2040   53,320 
 43,211   Freddie Mac Gold Pool  3.000  2/1/2043   42,244 
 32,780   Freddie Mac Gold Pool  3.500  10/1/2043   33,028 
 175,000   Freddie Mac Gold Pool +  4.500  7/15/2044   183,176 
 23,353   Freddie Mac Gold Pool  4.000  8/1/2044   23,967 
 525,000   Freddie Mac Gold Pool +  4.000  11/15/2045   538,699 
 1,936,538   Freddie Mac Gold Pool  3.000  9/1/2046   1,891,336 
 1,433,032   Freddie Mac Gold Pool  3.000  11/1/2046   1,400,896 
 3,037,909   Freddie Mac Gold Pool  3.000  12/1/2046   2,965,560 
 590,030   Freddie Mac Gold Pool  3.000  12/1/2046   575,973 
 930,468   Freddie Mac Gold Pool  3.000  12/1/2046   908,296 
 375,730   Freddie Mac Gold Pool  3.000  12/1/2046   367,299 
 185,431   Freddie Mac Gold Pool  3.000  1/1/2047   181,014 
 768,739   Freddie Mac Gold Pool  3.000  2/1/2047   750,424 
 213,894   Freddie Mac Gold Pool  3.000  3/1/2047   208,799 
 3,225,000   Freddie Mac Gold Pool +  3.500  6/15/2047   3,231,551 
 2,502,575   Freddie Mac Gold Pool  3.500  8/1/2047   2,508,906 
 493,935   Freddie Mac Gold Pool  3.000  12/1/2047   481,813 
               16,833,633 
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.3%           
 150,979   Fannie Mae Pool  2.470  5/1/2025   147,574 
 310,000   Fannie Mae Pool  2.680  5/1/2025   305,786 
 400,000   Fannie Mae Pool  2.810  7/1/2025   396,669 
 100,000   Fannie Mae Pool +  4.000  8/25/2025   102,812 
 109,321   Fannie Mae Pool  2.990  10/1/2025   109,783 
 52,904   Fannie Mae Pool  3.090  10/1/2025   53,367 
 27,888   Fannie Mae Pool  2.500  4/1/2028   27,585 
 17,395   Fannie Mae Pool  3.000  10/1/2028   17,478 
 200,000   Fannie Mae Pool +  3.500  2/25/2029   203,875 
 62,547   Fannie Mae Pool  2.500  2/1/2030   61,519 
 138,260   Fannie Mae Pool  2.500  6/1/2030   136,009 
 1,475,000   Fannie Mae Pool +  3.000  12/25/2030   1,473,080 
 262,806   Fannie Mae Pool  2.500  10/1/2031   257,593 
 1,807,747   Fannie Mae Pool  3.000  10/1/2031   1,767,470 
 600,000   Fannie Mae Pool +  2.500  11/25/2031   587,906 
 172,066   Fannie Mae Pool  2.500  12/1/2031   168,674 
 300,000   Fannie Mae Pool +  5.500  7/25/2038   325,969 
 75,000   Fannie Mae Pool +  6.000  8/25/2038   83,496 
 375,000   Fannie Mae Pool +  5.000  8/25/2039   400,430 
 85,568   Fannie Mae Pool  3.000  7/1/2043   84,290 
 39,223   Fannie Mae Pool  4.000  11/1/2043   40,324 
 675,000   Fannie Mae Pool +  4.500  8/25/2044   706,746 
 1,979,341   Fannie Mae Pool  3.000  1/1/2046   1,930,955 
 712,189   Fannie Mae Pool  4.000  1/1/2046   730,873 
 764,738   Fannie Mae Pool  4.000  2/1/2046   785,067 
 4,175,000   Fannie Mae Pool +  3.500  2/25/2046   4,183,725 
               15,089,055 
 C: 

 

 

 

     GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.6%     
50,000   Ginnie Mae I Pool +  5.000  4/15/2040  52,672 
 100,000   Ginnie Mae II Pool +  5.000  12/20/2040   105,094 
 44,981   Ginnie Mae II Pool  3.000  12/20/2042   44,264 
 49,262   Ginnie Mae II Pool  3.500  7/20/2043   50,006 
 250,000   Ginnie Mae II Pool +  4.500  8/20/2044   260,000 
 100,000   Ginnie Mae II Pool +  4.500  9/20/2044   103,828 
 18,693   Ginnie Mae II Pool  4.000  12/20/2044   19,321 
 2,125,000   Ginnie Mae II Pool +  4.000  12/20/2045   2,183,769 
               2,818,954 
                 
     TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $35,248,368)   34,741,642 
                 
     MUNICIPAL SECURITIES - 1.1%           
 115,000   Bay Area Toll Authority  7.043  4/1/2050   171,588 
 90,000   Chicago O’Hare International Airport  6.395  1/1/2040   122,048 
 110,000   Chicago Transit Authority  6.300  12/1/2021   117,249 
 80,000   Chicago Transit Authority  6.300  12/1/2021   85,272 
 265,000   Chicago Transit Authority  6.899  12/1/2040   349,665 
 55,000   Chicago Transit Authority  6.899  12/1/2040   72,572 
 315,000   County of Sacramento CA  5.730  8/15/2023   343,898 
 135,000   Kansas Development Finance Authority  5.371  5/1/2026   145,488 
 180,000   Kansas Development Finance Authority  4.927  4/15/2045   198,077 
 120,000   Long Island Power Authority  3.883  9/1/2024   121,651 
 100,000   Metropolitan Transportation Authority  6.814  11/15/2040   136,730 
 195,000   Municipal Electric Authority of Georgia  6.637  4/1/2057   242,227 
 230,000   New Jersey Economic Development Authority  3.802  6/15/2018   230,612 
 85,000   New Jersey Economic Development Authority  3.882  6/15/2019   85,738 
 525,000   New York State Urban Development Corp  2.100  3/15/2022   517,262 
 100,000   Port Authority of New York & New Jersey  5.647  11/1/2040   127,143 
 35,000   Port Authority of New York & New Jersey  4.810  10/15/2065   41,223 
 120,000   Regents of the University of California Medical Center Pooled Revenue  6.548  5/15/2048   164,795 
 20,000   Regents of the University of California Medical Center Pooled Revenue  6.583  5/15/2049   27,337 
 120,000   San Jose Redevelopment Agency Successor Agency  3.375  8/1/2034   116,154 
 25,000   State of California  7.550  4/1/2039   38,067 
 265,000   State of California  7.350  11/1/2039   387,401 
 25,000   State of California  7.600  11/1/2040   38,674 
 410,000   State of Connecticut  2.990  1/15/2023   401,226 
 675,000   State of Illinois  5.100  6/1/2033   632,698 
 35,000   University of California  3.931  5/15/2045   35,728 
     TOTAL MUNICIPAL SECURITIES (Cost - $4,831,809)      4,950,523 
                 
     SOVEREIGN DEBT - 0.6%           
 320,000   Export-Import Bank of Korea  1.750  5/26/2019   315,615 
 270,000   Israel Government International Bond  3.250  1/17/2028   262,812 
 272,000   Japan Bank for International Cooperation  2.250  2/24/2020   269,702 
 204,000   Japan Bank for International Cooperation  2.125  6/1/2020   201,362 
 825,000   Qatar Government International Bond (a)  5.250  1/20/2020   854,964 
 655,000   Qatar Government International Bond (a)  2.375  6/2/2021   633,451 
 330,000   Saudi Government International Bond (a)  2.875  3/4/2023   317,527 
     TOTAL SOVEREIGN DEBT (Cost - $2,887,011)         2,855,433 
 C: 

 

 

 

     U.S. TREASURY SECURITIES - 4.0%           
5,000   United States Treasury Bond  3.625  8/15/2043  5,597 
 5,000   United States Treasury Bond  3.750  11/15/2043   5,711 
 1,580,000   United States Treasury Bond  3.375  5/15/2044   1,699,179 
 690,000   United States Treasury Bond  3.000  11/15/2044   694,582 
 3,815,000   United States Treasury Bond  2.500  2/15/2045   3,483,423 
 545,000   United States Treasury Bond  2.875  8/15/2045   535,207 
 230,000   United States Treasury Bond  2.500  2/15/2046   209,327 
 805,000   United States Treasury Bond  2.500  5/15/2046   732,047 
 50,000   United States Treasury Bond  3.000  2/15/2047   50,266 
 765,000   United States Treasury Bond  3.000  5/15/2047   768,735 
 910,000   United States Treasury Bond  2.750  8/15/2047   869,725 
 955,000   United States Treasury Bond  2.750  11/15/2047   912,957 
 4,315,000   United States Treasury Inflation Index Note  0.375  1/15/2027   4,315,073 
 675,000   United States Treasury Note  2.000  11/30/2020   668,540 
 235,000   United States Treasury Note  1.750  12/31/2020   231,099 
 665,000   United States Treasury Note  1.250  3/31/2021   642,972 
 1,000,000   United States Treasury Note  1.750  6/30/2022   969,180 
 200,000   United States Treasury Note  1.625  8/31/2022   192,430 
 1,250,000   United States Treasury Note  1.875  9/30/2022   1,214,697 
 265,000   United States Treasury Note  2.125  12/31/2022   259,897 
     TOTAL U.S. TREASURY SECURITIES (Cost - $18,776,113)      18,460,644 
Shares               
     WARRANTS - 0.0% **           
 17,630   Simply Good Foods Co.         61,705 
     TOTAL WARRANTS (Cost - $36,977)         61,705 
                 
     SHORT-TERM INVESTMENTS - 3.7%           
     MONEY MARKET FUND - 3.7%           
 17,255,264   Fidelity Investments Money Market - Money Market Portfolio, Institutional Class to yield 1.49% (b)     
     TOTAL SHORT-TERM INVESTMENTS (Cost - $17,255,264)      17,255,264 
                 
     TOTAL INVESTMENTS - 99.4% (Cost - $409,833,298)     $458,677,133 
     OTHER ASSETS LESS LIABILITIES - NET - 0.6%         2,955,908 
     TOTAL NET ASSETS - 100.0%        $461,633,041 

 

+All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions.

 

*Non-income producing security.

 

**Represents less than 0.1%

 

^Variable rate security.

 

Benchmark    Rate
1 Month LIBOR  1.883%
3 Month LIBOR  2.312%
    
#Step coupon.

 

ADR - American Depositary Receipt

 

ETF - Exchange Traded Fund

 

LIBOR - London Interbank Offered Rate

 

LP - Limited Partnership

 

REIT - Real Estate Investment Trust

 

(a)144(a) - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of March 31, 2018, these securities amounted to $37,743,093 or 8.2% of net assets.

 

(b)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

SHORT FUTURES CONTRACTS

 

Description  Number of
Contracts
  Expiration
Date
  Counterparty  Notional
Amount
   Unrealized
Depreciation
 
E-Mini Russell 2000 Index Future  46  6/15/2018  Credit Suisse  $3,521,760   $(14,435)
MSCI EAFE Future  58  6/15/2018  Credit Suisse   5,801,740    (57,590)
S&P 500 E-Mini Future  314  6/15/2018  Credit Suisse   41,495,100    (419,325)
S&P Midcap 400 E-Mini Future  18  6/15/2018  Credit Suisse   3,389,580    (41,150)
US 10 Year Future  44  6/15/2018  Credit Suisse   5,330,188    (32,156)
US 10 Year Ultra Future  28  6/15/2018  Credit Suisse   3,636,062    (52,461)
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS   $(617,117)
 C: 

 

 

Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 54.8%     
     DEBT FUNDS - 33.7%     
 37   iShares 1-3 Year Credit Bond ETF  $3,841 
 52   iShares Core U.S. Aggregate Bond ETF   5,577 
         9,418 
           
     EQUITY FUNDS - 21.1%     
 15   iShares Core MSCI Emerging Markets ETF   876 
 6   iShares Core S&P 500 ETF   1,592 
 20   iShares MSCI EAFE Value ETF   1,091 
 6   iShares Russell 2000 ETF   911 
 13   iShares S&P 500 Value ETF   1,421 
         5,891 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $14,621)   15,309 
           
     VARIABLE INSURANCE TRUSTS - 44.8%     
     DEBT FUNDS - 27.8%     
 117   American Funds Insurance Series® - U.S. Government/AAA-Rated Securities Fund - Class I   1,393 
 114   BlackRock High Yield VI Fund - Class I   824 
 427   MFS Total Return Bond Series - Initial Shares   5,559 
         7,776 
           
     EQUITY FUNDS - 17.0%     
 75   American Funds Insurance Series® - Blue Chip Income and Growth Fund - Class I   1,088 
 28   MFS Growth Series - Initial Shares   1,427 
 64   MFS VIT III Mid Cap Value Portfolio - Initial Shares   561 
 7   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   569 
 431   Oppenheimer International Growth Fund - Non-Service Shares   1,115 
         4,760 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $12,061)   12,536 
           
     SHORT-TERM INVESTMENT - 0.5%     
     MONEY MARKET FUND - 0.5%     
 152   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a)(Cost - $152)   152 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $26,834)  $27,997 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (14)
     TOTAL NET ASSETS - 100.0%  $27,983 

 

ETF - Exchange Traded Fund

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic Wilshire Dynamic Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 67.0%     
     DEBT FUNDS - 30.8%     
 36   iShares 1-3 Year Credit Bond ETF  $3,737 
 27   iShares Core U.S. Aggregate Bond ETF   2,896 
 34   iShares International Treasury Bond Fund   1,755 
 12   iShares JP Morgan EM Local Currency Bond ETF   604 
         8,992 
           
     EQUITY FUNDS - 36.2%     
 31   iShares Core MSCI EAFE ETF   2,042 
 30   iShares Core MSCI Emerging Markets ETF   1,752 
 7   iShares Core S&P 500 ETF   1,858 
 53   iShares MSCI EAFE Value ETF   2,891 
 6   iShares Russell 2000 ETF   911 
 10   iShares S&P 500 Value ETF   1,093 
         10,547 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $17,734)   19,539 
           
     VARIABLE INSURANCE TRUSTS - 32.9%     
     DEBT FUNDS - 11.0%     
 73   American Funds Insurance Series® - U.S. Government/AAA-Rated Securities Fund - Class I   868 
 89   MFS Total Return Bond Series - Initial Shares   1,154 
 108   PIMCO Variable Insurance Trust - Foreign Bond Portfolio U.S. Dollar Hedged - Institutional Class   1,172 
         3,194 
           
     EQUITY FUNDS - 21.9%     
 78   American Funds Insurance Series® - Blue Chip Income and Growth Fund - Class 1   1,130 
 23   MFS Growth Series - Initial Shares   1,186 
 66   MFS VIT III Mid Cap Value Portfolio - Initial Shares   583 
 7   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   590 
 1,117   Oppenheimer International Growth Fund - Non-Service Shares   2,894 
         6,383 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $8,782)   9,577 
           
     SHORT-TERM INVESTMENT - 0.2%     
     MONEY MARKET FUND - 0.2%     
 45   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a)(Cost - $45)   45 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $26,561)  $29,161 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (19)
     TOTAL NET ASSETS - 100.0%  $29,142 

 

ETF - Exchange Traded Fund

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

Global Atlantic Wilshire Dynamic Growth Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 50.1%     
     DEBT FUNDS - 13.0%     
 8   iShares 1-3 Year Credit Bond ETF  $830 
 16   iShares Core U.S. Aggregate Bond ETF   1,716 
         2,546 
     EQUITY FUNDS - 37.1%     
 8   iShares Core MSCI EAFE ETF   527 
 15   iShares Core MSCI Emerging Markets ETF   876 
 8   iShares Core S&P 500 ETF   2,123 
 25   iShares MSCI EAFE Value ETF   1,364 
 6   iShares Russell 2000 ETF   911 
 13   iShares S&P 500 Value ETF   1,421 
         7,222 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $8,315)   9,768 
           
     VARIABLE INSURANCE TRUSTS - 44.5%     
     DEBT FUNDS - 6.3%     
 44   American Funds Insurance Series® - U.S. Government/AAA-Rated Securities Fund - Class I   527 
 54   MFS Total Return Bond Series - Initial Shares   700 
         1,227 
           
     EQUITY FUNDS - 38.2%     
 127   American Funds Insurance Series® - Blue Chip Income and Growth Fund - Class 1   1,844 
 44   MFS Growth Series - Initial Shares   2,254 
 116   MFS VIT III Mid Cap Value Portfolio - Initial Shares   1,029 
 10   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   864 
 561   Oppenheimer International Growth Fund - Non-Service Shares   1,453 
         7,444 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $7,504)   8,671 
           
           
     TOTAL INVESTMENTS - 94.6% (Cost - $15,819)  $18,439 
     OTHER ASSETS LESS LIABILITIES - NET - 5.4%   1,043 
     TOTAL NET ASSETS - 100.0%  $19,482 

 

ETF - Exchange Traded Fund

 C: 

 

 

Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
March 31, 2018

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 53.8%     
     DEBT FUNDS - 23.7%     
 50   iShares 1-3 Year Credit Bond ETF  $5,190 
 81   iShares Core U.S. Aggregate Bond ETF   8,687 
         13,877 
     EQUITY FUNDS - 30.1%     
 41   iShares Core MSCI Emerging Markets ETF   2,395 
 20   iShares Core S&P 500 ETF   5,307 
 75   iShares MSCI EAFE Value ETF   4,091 
 16   iShares Russell 2000 ETF   2,429 
 31   iShares S&P 500 Value ETF   3,390 
         17,612 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $30,304)   31,489 
           
     VARIABLE INSURANCE TRUSTS - 45.9%     
     DEBT FUNDS - 15.9%     
 196   American Funds Insurance Series® - U.S. Government/AAA-Rated Securities Fund - Class I   2,334 
 159   BlackRock High Yield VI Fund - Class I   1,150 
 448   MFS Total Return Bond Series - Initial Class   5,822 
         9,306 
     EQUITY FUNDS - 30.0%     
 315   American Funds Insurance Series® - Blue Chip Income and Growth Fund - Class 1   4,561 
 93   MFS Growth Series - Initial Class   4,784 
 266   MFS VIT III Mid Cap Value Portfolio - Initial Class   2,351 
 21   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   1,787 
 1,578   Oppenheimer International Growth Fund - Non-Service Shares   4,088 
         17,571 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $25,916)   26,877 
           
     SHORT-TERM INVESTMENTS - 0.4%     
     MONEY MARKET FUND - 0.4%     
 223   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.49% (a)(Cost - $223)   223 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $56,443)  $58,589 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (33)
     TOTAL NET ASSETS - 100.0%  $58,556 

 

ETF - Exchange Traded Fund

 

(a)Money market rate shown represents the rate at March 31, 2018.
 C: 

 

 

The following is a summary of significant accounting policies followed by the Portfolios in preparation of their financial statements. The policies are in conformity with U.S. generally accepted accounting principles (“GAAP”). The preparation of the financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates. The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (FASB) Accounting Standard Codification Topic 946 “Financial Services – Investment Companies”.

 

Securities Valuation – Securities listed on an exchange are valued at the last reported sale price at the close of the regular trading session of the primary exchange on the business day the value is being determined, or in the case of securities listed on NASDAQ at the NASDAQ Official Closing Price. In the absence of a sale such securities shall be valued at the mean between the current bid and ask prices on the day of valuation. Futures and future options are valued at the final settle price or, in the absence of a settle price, at the last sale price on the day of valuation. Short-term debt obligations having 60 days or less remaining until maturity, at time of purchase, may be valued at amortized cost to the extent it is determined that amortized cost approximates fair value. Investments in open-end investment companies are valued at net asset value, as discussed in more detail below.

 

Valuation of Investment Companies – The Portfolios may invest in one or more portfolios of open-end investment companies (the “underlying fund” or “underlying funds”). Each underlying fund is valued at its respective net asset values as reported by such investment company. Each underlying fund values securities in its portfolio for which market quotations are readily available at their market values (generally the last reported sale price) and all other securities and assets at their fair value based on the methods established by each underlying fund’s board(s) of trustees.

 

Exchange-Traded Funds – The Portfolios may invest in passive exchange-traded funds (“ETF”). An ETF is a type of index fund that is bought and sold on a securities exchange. An ETF trades like common stock and represents a fixed portfolio of securities designed to track the performance and dividend yield of a particular domestic or foreign market index. The Portfolios may purchase an ETF to temporarily gain exposure to a portion of the U.S. or a foreign market while awaiting an opportunity to purchase securities directly. The risks of owning an ETF generally reflect the risks of owning the underlying securities it is designed to track, although the lack of liquidity in an ETF could result in it being more volatile than the underlying securities, which may result in a Portfolio paying significantly more or receiving significantly less for ETF shares than the value of the relevant underlying securities. Additionally, ETFs have fees and expenses that increase the cost of investing in the ETF versus the costs of owning the underlying securities directly.

 

Illiquid Securities – The Portfolios may hold securities, such as private placements, interests in commodity pools, other non-traded securities or temporarily illiquid securities, for which market quotations are not readily available or are determined to be unreliable. These securities will be valued at their fair market value as determined using the valuation procedures approved by the Board of Trustees (the “Board”). The Board has delegated execution of these procedures to a Fair Value Committee composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Global Atlantic Investment Advisors, LLC (the “Adviser”) and/or Sub-Adviser. The Fair Value Committee may also include the Trust’s Chief Compliance Officer and may enlist third party consultants or advisers (such as an accounting firm or fair value pricing specialist) on an as-needed basis to assist in determining a security-specific fair value or valuation method. The Board reviews and approves the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.

 C: 

 

 

Fair Value Committee and Valuation Process – The Fair Value Committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Adviser and/or Sub-Adviser. The applicable investments are valued collectively via inputs from each of these groups. For example, fair value determinations are required for the following securities: (i) securities for which market quotations are not readily available on a particular business day (including without limitation securities for which there is a short and temporary lapse in the provision of a price by the regular pricing source); (ii) securities for which, in the opinion of the Adviser or relevant Sub-Adviser, the prices or values available do not represent the fair value of the instrument (factors which may cause the Adviser or Sub-Adviser to make such a judgment include, but are not limited to, the following: the availability of only a bid price or an ask price; the spread between bid and ask prices; the frequency of sales; the thinness of the market; the size of reported trades; and actions of the securities markets or regulators, such as the suspension or limitation of trading); (iii) securities determined to be illiquid; (iv) securities with respect to which an event that will affect the value thereof has occurred (a “significant event”) subsequent to the determination of the closing price reported on the principal exchange on which the securities are traded, but prior to the relevant Portfolio’s calculation of its net asset value (“NAV”); and (v) mutual funds that do not provide timely NAV information. Specifically, interests in commodity pools or managed futures pools are valued on a daily basis by reference to the closing market prices of each futures contract or other asset held by a pool, as adjusted for pool expenses. Restricted or illiquid securities, such as private placements or non-traded securities are valued via inputs from the Adviser or Sub-Adviser valuation based upon the current bid for the security from two or more independent dealers or other parties reasonably familiar with the facts and circumstances of the security (who should take into consideration all relevant factors as may be appropriate under the circumstances). If the Adviser or Sub-Adviser is unable to obtain a current bid from such independent dealers or other independent parties, the fair value team shall determine the fair value of restricted or illiquid securities using the following factors: (i) the type of security; (ii) the cost at date of purchase; (iii) the size and nature of the Portfolio’s holdings; (iv) the discount from market value of unrestricted securities of the same class at the time of purchase and subsequent thereto; (v) information as to any transactions or offers with respect to the security; (vi) the nature and duration of restrictions on disposition of the security and the existence of any registration rights, as well as any estimation of the cost of registration or otherwise qualifying the security for public sale, including commissions; (vii) how the yield of the security compares to similar securities of companies of similar or equal creditworthiness; (viii) the level of recent trades of similar or comparable securities; (ix) the liquidity characteristics of the security; (x) current market conditions; (xi) the market value of any securities into which the security is convertible or exchangeable; (xii) the security’s embedded option values; and (xiii) information about the financial condition of the issuer and its prospects.

 

Each Portfolio utilizes various methods to measure the fair value of all of its investments on a recurring basis. GAAP establishes a hierarchy that prioritizes inputs to valuation methods. The three levels of input are:

 

Level 1 – Unadjusted quoted prices in active markets for identical assets and liabilities that the Portfolio has the ability to access.

 

Level 2 – Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument in an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.

 

Level 3 – Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Portfolio’s own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.

 

The availability of observable inputs can vary from security to security and is affected by a wide variety of factors, including, for example, the type of security, whether the security is new and not yet established in the marketplace, the liquidity of markets, and other characteristics particular to the security. To the extent that valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3.

 

The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety.

 

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with

 

 

investing in those securities. The following tables summarize the inputs used as of March 31, 2018 for each Portfolio’s investments measured at fair value:

 

Global Atlantic American Funds® Managed Risk Portfolio
   
Assets  Level 1   Level 2   Level 3   Total 
Variable Insurance Trusts  $225,597,404   $   $   $225,597,404 
Money Market Fund   1,818            1,818 
Total  $225,599,222   $   $   $225,599,222 
                     
Global Atlantic Balanced Managed Risk Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $89,147,365   $   $   $89,147,365 
Money Market Fund   213,430            213,430 
Total  $89,360,795   $   $   $89,360,795 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts  $6,955   $   $   $6,955 
Total  $6,955   $   $   $6,955 
                     
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Variable Insurance Trusts  $266,060,921   $   $   $266,060,921 
Money Market Fund   3,054            3,054 
Total  $266,063,975   $   $   $266,063,975 

 

 

Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $203,813,133   $   $   $203,813,133 
Perferred Stock       96,750        96,750 
Asset Backed Securities       15,152,383        15,152,383 
Corporate Bonds       27,403,923        27,403,923 
Municipal Bond       88,411        88,411 
Term Loans       2,695,955        2,695,955 
Mortgage Backed Securities       16,609,289        16,609,289 
Commercial Mortgage Obligation       272,380        272,380 
Sovereign Debt       689,374        689,374 
U.S. Treasury Securities       10,222,772        10,222,772 
Short Term Investment   15,986,706            15,986,706 
Forward Exchange Contracts   490            490 
Total  $219,800,329   $73,231,237   $   $293,031,566 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts  $284,436   $   $   $284,436 
Swap Contracts       7,575        7,575 
Total  $284,436   $7,575   $   $292,011 
                     
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $11,096,578   $   $   $11,096,578 
U.S. Treasury Note       9,342,211        9,342,211 
Purchased Options   515,299            515,299 
Short Term Investment   10,629,803            10,629,803 
Total  $22,241,680   $9,342,211   $   $31,583,891 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Written Options  $12,085   $   $   $12,085 
Futures Contracts   495,548            495,548 
Total  $507,633   $   $   $507,633 
                     
Global Atlantic Growth Managed Risk Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $454,644,519   $   $   $454,644,519 
Money Market Fund   1,100,724            1,100,724 
Total  $455,745,243   $   $   $455,745,243 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts  $1,033,380   $   $   $1,033,380 
Total  $1,033,380   $   $   $1,033,380 

 

 

Global Atlantic Moderate Growth Managed Risk Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $142,691,222   $   $   $142,691,222 
Money Market Fund   78,897            78,897 
Total  $142,770,119   $   $   $142,770,119 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts  $105,823   $   $   $105,823 
Total  $105,823   $   $   $105,823 
                     
Global Atlantic Motif Aging of America Portfolio
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $113,006   $   $   $113,006 
Money Market Fund   3,745            3,745 
Total  $116,751   $   $   $116,751 
                     
Global Atlantic Motif Real Estate Trends Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $93,117   $   $   $93,117 
Money Market Fund   1,164            1,164 
Total  $94,281   $   $   $94,281 
                     
Global Atlantic Motif Technological Innovations Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $156,592   $   $   $156,592 
Money Market Fund   4,996            4,996 
Total  $161,588   $   $   $161,588 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $7,625,566   $   $   $7,625,566 
Asset Backed Securities       937,861        937,861 
Corporate Bonds       2,267,543        2,267,543 
Municipal Bond       32,666        32,666 
Mortgage Backed Securities       6,224,159        6,224,159 
Collateralized Mortgage Obligation       666,246        666,246 
Commercial Mortgage Backed Securities       86,291        86,291 
U.S. Treasury Securities       10,820,802        10,820,802 
Purchased Options   148,885            148,885 
Short Term Investment   246,357    1,898,034        2,144,391 
Swap Contracts       35,403        35,403 
Total  $8,020,808   $22,969,005   $   $30,989,813 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
U.S. Treasury Securities - Short  $   $23,899   $   $23,899 
Futures Contracts   20,680            20,680 
Forward Exchange Contracts       368        368 
Total  $20,680   $24,267   $   $44,947 
                     
Global Atlantic Select Advisor Managed Risk Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $20,001,140   $   $   $20,001,140 
Variable Insurance Trusts   89,997,773            89,997,773 
Money Market Fund   1,399            1,399 
Total  $110,000,312   $   $   $110,000,312 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts  $19,430   $   $   $19,430 
Total  $19,430   $   $   $19,430 

 

 

Global Atlantic Wellington Research Managed Risk Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Common Stock  $290,672,982   $   $   $290,672,982 
Preferred Stock       79,380        79,380 
Asset Backed Securities       18,380,998        18,380,998 
Corporate Bonds       61,246,430        61,246,430 
Collateralized Mortgage Obligation       987,910        987,910 
Commercial Mortgage Backed Securities       8,984,222        8,984,222 
Mortgage Backed Securities       34,741,642        34,741,642 
Municipal Securities       4,950,523        4,950,523 
Sovereign Debt       2,855,433        2,855,433 
U.S. Treasury Securities       18,460,644        18,460,644 
Warrant   61,705            61,705 
Short Term Investment   17,255,264            17,255,264 
Total  $307,989,951   $150,687,182   $   $458,677,133 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts  $617,117   $   $   $617,117 
Total  $617,117   $   $   $617,117 
                     
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $15,309   $   $   $15,309 
Variable Insurance Trusts   12,536            12,536 
Money Market Fund   152            152 
Total  $27,997   $   $   $27,997 
                     
Global Atlantic Wilshire Dynamic Global Allocation Portfolio         
          
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $19,539   $   $   $19,539 
Variable Insurance Trusts   9,577            9,577 
Money Market Fund   45            45 
Total  $29,161   $   $   $29,161 
                     
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $9,768   $   $   $9,768 
Variable Insurance Trusts   8,671            8,671 
Total  $18,439   $   $   $18,439 

 

 

Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio
 
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $31,489   $   $   $31,489 
Variable Insurance Trusts   26,877            26,877 
Money Market Fund   223            223 
Total  $58,589   $   $   $58,589 

  

*Cumulative net appreciation/(depreciation) on futures contracts is reported in the above table.

 

The Portfolios did not hold any Level 3 securities during the period.

 

There were no transfers between levels for any Portfolio except the Global Atlantic Select Advisor Managed Risk Portfolio, Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio, Global Atlantic Wilshire Dynamic Global Allocation Portfolio, Global Atlantic Wilshire Dynamic Growth Allocation Portfolio and Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio. Transfers that were made out of Level 2 represent securities which are no longer being fair valued using observable inputs and are now being valued at net asset value. It is the Portfolios’ policy to record transfers between Level 1 and Level 2 at the end of the reporting period.

 

The following amounts were transfers in/(out) of Level 2 Assets:

         
Global Atlantic Select Advisor Managed Risk Portfolio  
   Variable Insurance Trusts   Total 
Transfers into Level 2 from Level 1  $   $ 
Transfers from Level 2 into Level 1   (57,987,169)   (57,987,169)
Net Transfer In/Out of Level 2  $(57,987,169)  $(57,987,169)
           
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio 
   Variable Insurance Trusts   Total 
Transfers into Level 2 from Level 1  $   $ 
Transfers from Level 2 into Level 1   (7,547)   (7,547)
Net Transfer In/Out of Level 2  $(7,547)  $(7,547)
           
Global Atlantic Wilshire Dynamic Global Allocation Portfolio 
   Variable Insurance Trusts   Total 
Transfers into Level 2 from Level 1  $   $ 
Transfers from Level 2 into Level 1   (4,095)   (4,095)
Net Transfer In/Out of Level 2  $(4,095)  $(4,095)
           
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio 
   Variable Insurance Trusts   Total 
Transfers into Level 2 from Level 1  $   $ 
Transfers from Level 2 into Level 1   (3,983)   (3,983)
Net Transfer In/Out of Level 2  $(3,983)  $(3,983)
           
Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio 
   Variable Insurance Trusts   Total 
Transfers into Level 2 from Level 1  $   $ 
Transfers from Level 2 into Level 1   (12,957)   (12,957)
Net Transfer In/Out of Level 2  $(12,957)  $(12,957)

 

 

Cash and Cash Equivalents – Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Portfolios maintain deposits with a financial institution which are generally an amount that is in excess of federally insured limits.

 

Foreign Currency Translation - The accounting records of the Portfolios are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.

 

Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investments.

 

Forward Foreign Currency Contracts - As foreign securities are purchased, a Portfolio may enter into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. A forward involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by the Portfolio as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Portfolio 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. Realized gains and losses from contract transactions are included as a component of net realized gains/(losses) from forward foreign currency contracts in the statements of operations.

 

Options Transactions – The Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio and Global Atlantic PIMCO Tactical Allocation Portfolio are subject to equity price risk, interest rate risk and foreign currency risk in the normal course of pursuing their investment objectives and may purchase or sell options to help hedge against this risk.

 

A Portfolio may purchase and write (i.e., sell) put and call options. Such options may relate to particular securities or securities indices, and may or may not be listed on a domestic or foreign securities exchange and may or may not be issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options may be more volatile than the underlying instruments, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. A call option for a particular security gives the purchaser of the option, in return for a premium, the right to buy, and the writer (seller) the obligation to sell, the underlying security at the stated exercise price at any time prior to the expiration of the option for American options or only at expiration for European options, regardless of the market price of the security. The premium paid to the writer is in consideration for undertaking the obligation under the option contract. A put option for a particular security gives the purchaser the right to sell the security at the stated exercise price at any time prior to the expiration date of the option for American options or only at expiration for European options, regardless of the market price of the security.

 

Securities index options are put options and call options on various securities indices. In most respects, they are identical to listed options on common stocks. The primary difference between stock options and index options occurs when index options are exercised. In the case of stock options, the underlying security, common stock, is delivered. However, upon the exercise of an index option, settlement does not occur by delivery of the securities comprising the index. The option holder who exercises the index option receives an amount of cash if the closing level of the securities index upon which the option is based is greater than, in the case of a call, or less than, in the case of a put, the exercise price of the option. This amount of cash is equal to the difference between the closing price of the securities index and the exercise price of the option expressed in dollars times a specified multiple. A securities index fluctuates with changes in the market value of the stocks included in the index.

 

The Portfolios may purchase and sell options on the same types of futures in which it may invest. Options on futures are similar to options on underlying instruments except that options on futures give the purchaser the right, in return for the premium paid, to assume a position in a futures contract (a long position if the option is a call and a short position if the option is a put), rather than to purchase or sell the futures contract, at a specified exercise price at any time during the period of the option. Upon exercise of the option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by the delivery of the accumulated balance in the writer’s futures margin account which represents the amount by which the market price of the futures contract, at exercise, exceeds (in the case of a call) or is less than (in the case of a put) the exercise price of the option on

 

 

the futures contract. Purchasers of options who fail to exercise their options prior to the exercise date suffer a loss of the premium paid.

 

Futures Contracts – The Portfolios are subject to equity price risk in the normal course of pursuing their investment objectives. The Portfolios may sell futures contracts to hedge against market risk, foreign currency exchange rate risks, and to reduce return volatility. Futures are standardized, exchange-traded contracts that provide for the future sale by one party and purchase by another party of a specified amount of a specific financial instrument (e.g., units of a securities index) for a specified price, date, time and place designated at the time the contract is made. Brokerage fees are incurred when a futures contract is bought or sold and initial and variation margin deposits must be maintained. Entering into a contract to buy is commonly referred to as buying or purchasing a contract or holding a long position. Entering into a contract to sell is commonly referred to as selling a contract or holding a short position. The Portfolios may also buy or sell hedge instruments based on one or more market indices in an attempt to maintain the Portfolios’ volatility at a targeted level. Initial margin deposits required upon entering into futures contracts are satisfied by the segregation of specific securities or cash as collateral for the account of the broker (the Portfolio’s agent in acquiring the futures position). During the period the futures contracts are open, changes in the value of the contracts are recognized as unrealized gains or losses by “marking to market” on a daily basis to reflect the market value of the contracts at the end of each day’s trading. Variation margin payments are received or made depending upon whether unrealized gains or losses are incurred. When the contracts are closed, a Portfolio recognizes a realized gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the Portfolio’s basis in the contract. If a Portfolio were unable to liquidate a futures contract and/or enter into an offsetting closing transaction, the Portfolio would continue to be subject to market risk with respect to the value of the contracts and continue to be required to maintain the margin deposits on the futures contracts. Each Portfolio segregates liquid securities having a value at least equal to the amount of the current obligation under any open futures contract. These amounts are disclosed on the Statements of Assets and Liabilities as Deposits with Brokers when applicable. Risks may exceed amounts recognized in the Statements of Assets and Liabilities. With futures, there is minimal counterparty credit risk to a Portfolio since futures are exchange traded and the exchange’s clearinghouse, as counterparty to all exchange traded futures, guarantees the futures against default.

 

Swap Agreements – The Global Atlantic Franklin Dividend and Income Managed Risk Portfolio and the Global Atlantic PIMCO Tactical Allocation Portfolio are subject to equity price risk and/or interest rate risk in the normal course of pursuing their investment objectives. The Portfolios may enter into various swap transactions for investment purposes or to manage interest rate, equity, foreign exchange (currency), or credit risk. These are two-party contracts entered into primarily to exchange the returns (or differentials in rates of returns) earned or realized on particular pre-determined investments or instruments. In a standard over-the-counter (“OTC”) swap, two parties agree to exchange the returns, differentials in rates of return or some other amount earned or realized on the “notional amount” (i.e., the return or increase in value of a particular dollar amount invested in a “basket” of securities, representing a particular index or industry sectors) of predetermined investments or instruments.

 

A Portfolio may enter into credit default swaps (“CDS”). CDS are two-party contracts that transfer credit exposure between the parties. One party (the “buyer”) receives credit protection and the other party (the “seller”) takes on credit risk. The buyer typically makes predetermined periodic payments to the seller in exchange for the seller’s commitment to purchase the underlying reference obligation if a defined credit event occurs, such as a default, bankruptcy or failure to pay interest or principal on a reference debt instrument, with respect to a specified issuer or one of the reference issuers in a CDS portfolio. If the defined credit event occurs, the seller must pay the agreed-upon value of a reference obligation to the counterparty or perform pursuant to the agreement. The buyer must then surrender the reference obligation to the seller. As a seller of credit protection in a CDS, a Portfolio would be liable for the notional amount of the swap.

 

The swaps in which a Portfolio may invest may be centrally-cleared or bi-laterally traded. The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount. Changes in the value of swap agreements are recognized as unrealized gains or losses in the Statement of Operations by “marking to market” on a daily basis to reflect the value of the swap agreement at the end of each trading day. Payments received or paid at the beginning of a swap agreement are reflected as such on the Statement of Assets and Liabilities and may be referred to as upfront payments. A Portfolio amortizes upfront payments and/or accrues for the fixed payment stream on swap agreements on a daily basis with the net amount recorded as a component of unrealized gain or loss on the Statement of Operations. Realized gains and losses from the decrease in notional value of the swap are recognized on trade date. A liquidation payment received or made at the termination of the swap agreement is recorded as a realized gain or loss on the Statement of Operations. A Portfolio segregates cash or liquid securities having a value at least equal to the amount of its current obligation under any swap transaction. Swap agreements involve, to varying degrees, lack of liquidity and elements of credit, market and counterparty risk in excess of amounts

 

 

recognized on the Statement of Assets and Liabilities. Each Portfolio’s maximum risk of loss from the counterparty credit risk is the discounted net value of the cash flow to be received from the counterparty over the contract’s remaining life, to be the extent that amount is positive.

 

Swaps may involve greater risks than direct investments in securities because swaps may be leveraged and, when traded in the OTC markets, are subject to counterparty risk, credit risk and pricing risk, each of which individually and collectively, may have a considerable impact on the performance of a Portfolio. CDS in particular may involve greater risks than investing in a referenced instrument directly. Swaps, especially those that are not exchange-traded, may also be considered illiquid. It may not be possible for a Portfolio to liquidate a swap position at an advantageous time or price, which may result in significant losses. Although central clearing and exchange-trading of swaps may decrease counterparty risk and increase market liquidity, exchange-trading and clearing does not make the contracts risk free, but rather, the primary credit risk on such contracts is the creditworthiness of the clearing broker or the clearinghouse.

 

The Portfolios use cash and certain securities as collateral to swap agreements as indicated on the Portfolio of Investments and Statements of Assets and Liabilities. Such collateral is held for the benefit of the counterparty in a segregated account to prevent non-payment by the Portfolios. If the counterparty defaults, a Portfolio may seek return of this collateral and incur certain costs exercising their rights to the collateral.

 

The notional value and unrealized appreciation/(depreciation) of the derivative instruments outstanding as of March 31, 2018, as disclosed in the Portfolios of Investments, serve as indicators of the volume of derivative activity for the Portfolios.

 

Short Sales - A Portfolio may make short sales of securities: (i) to offset potential declines in long positions in similar securities; (ii) to increase the flexibility of the Portfolio; (iii) for investment return, (iv) as part of a risk arbitrage strategy; and (v) as part of its overall portfolio management strategies involving the use of derivative instruments. A short sale is a transaction in which the Portfolio sells a security it does not own or have the right to acquire (or that it owns but does not wish to deliver) in anticipation that the market price of that security will decline.

 

When a Portfolio makes a short sale, the broker-dealer through which the short sale is made must borrow the security sold short and deliver it to the party purchasing the security. The Portfolio is required to make a margin deposit in connection with such short sales; the Portfolio may have to pay a fee to borrow particular securities and will often be obligated to pay over any dividends and accrued interest on borrowed securities.

 

If the price of the security sold short increases between the time of the short sale and the time a Portfolio covers its short position, the Portfolio will incur a loss; conversely, if the price declines, the Portfolio will realize a capital gain. Any gain will be decreased, and any loss increased, by the transaction costs described above. The successful use of short selling may be adversely affected by imperfect correlation between movements in the price of the security sold short and the securities being hedged.

 

To the extent a Portfolio sells securities short, it will provide collateral to the broker-dealer and (except in the case of short sales “against the box”) will maintain additional asset coverage in the form of cash, U.S. government securities or other liquid securities with its custodian in a segregated account in an amount at least equal to the difference between the current market value of the securities sold short and any amounts required to be deposited as collateral with the selling broker (not including the proceeds of the short sale). A Portfolio does not intend to enter into short sales (other than short sales “against the box”) if immediately after such sales the aggregate of the value of all collateral plus the amount in such segregated account exceeds 10% of the value of the Portfolio’s net assets. This percentage may be varied by action of the Board of Trustees. A short sale is “against the box” to the extent a Portfolio contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.

 

When-Issued and Delayed-Delivery Transactions - The Portfolios may engage in when-issued or delayed-delivery transactions. The Portfolios record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the securities purchased. Securities purchased on a when-issued or delayed-delivery basis are marked to market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

 

Real Estate Investment Trusts – Certain Portfolios may invest in real estate investment trusts (“REITs”). REITs are pooled investment vehicles that own, and typically operate, income-producing real estate. If a REIT meets certain

 

 

requirements, including distributing to shareholders substantially all of its taxable income (other than net capital gains), then it is not taxed on the income distributed to shareholders. REITs are subject to management fees and other expenses, and so a Portfolio that invests in REITs will bear its proportionate share of the costs of the REITs’ operations. Along with the risks common to different types of real estate-related securities, such as loss to casualty or condemnation, increases in property taxes and operating expenses, zoning law amendments, changes in interest rates, overbuilding and increased competition, variations in market value, and possible environmental liabilities, REITs involve additional risk factors. These include poor performance by the REIT’s manager, changes to the tax laws, and failure by the REIT to qualify for tax free distribution of income or exemption under the 1940 Act. In addition, REITs are not diversified and are heavily dependent on cash flow.

 

Distributions from a Portfolio’s investments in REITs may be characterized as ordinary income, a net capital gain or a return of capital. The Portfolios record distributions that represent a net capital gain as a realized gain and distributions that represent a return of capital as a reduction of the cost of investment. REITs report information on the source of their distributions annually in the following calendar year. As a result, a Portfolio estimates the source of REIT distributions for accounting purposes and then makes adjustments when the actual source information is reported by the REIT. These estimates are based on the most recent REIT distribution information available.

 

Mortgage Dollar Roll Transactions – A mortgage dollar roll transaction involves a sale by a Portfolio of mortgage related securities that it holds with an agreement by the Portfolios to repurchase similar securities at an agreed upon price and date. The securities purchased will bear the same interest rate as those sold, but generally will be collateralized by pools of mortgages with different prepayment histories than those securities sold. The Portfolios account for mortgage dollar rolls as purchases and sales transactions.

 

Credit Risk - There is a risk that security issuers will not make interest and/or principal payments on their securities. In addition, the credit quality of securities may be lowered if an issuer’s financial condition changes. Lower credit quality will lead to greater volatility in the price of a security and in shares of a Portfolio or an underlying fund. Lower credit quality also will affect liquidity and make it difficult to sell the security. This means that, compared to issuers of higher rated securities, issuers of lower rated securities are less likely to have the capacity to pay interest and repay principal when due in the event of adverse business, financial or economic conditions and/or may be in default or not current in the payment of interest or principal. Default, or the market’s perception that an issuer is likely to default, tends to reduce the value and liquidity of securities, thereby reducing the value of your investment in Portfolio shares. In addition, default may cause a Portfolio to directly or indirectly incur expenses in seeking recovery of principal or interest.

 

A Portfolio could lose money on a debt security if an issuer or borrower is unable or fails to meet its obligations, including failing to make interest payments and/or to repay principal when due. Changes in an issuer’s financial strength, the market’s perception of the issuer’s financial strength or in a security’s credit rating, which reflects a third party’s assessment of the credit risk presented by a particular issuer, may affect debt securities’ value. A Portfolio may incur substantial losses on debt securities that are inaccurately perceived to present a different amount of credit risk by the market, the Adviser, Sub-Adviser and/or Underlying Fund manager, as applicable, or the rating agencies than such securities actually do.

 

Derivatives Risk – The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. The use of derivatives may increase costs, reduce a Portfolio’s returns and/or increase volatility. Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. Many types of derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. A risk of a Portfolio’s use of derivatives is that the fluctuations in their values may not correlate perfectly with, and may be more sensitive to market events than, the overall securities markets. The possible lack of a liquid secondary market for derivatives and the resulting inability to sell or otherwise close-out a derivatives position at an advantageous time or price could expose a Portfolio to losses and could make derivatives more difficult to value accurately. Derivatives typically give rise to a form of leverage and may expose a Portfolio to greater risk and increase its costs. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) and related regulatory requirements require the clearing and exchange-trading of many standardized over-the-counter (“OTC”) derivative instruments deemed to be “swaps.” The Commodity Futures Trading Commission (“CFTC”) has implemented mandatory exchange-trading and clearing requirements under the Dodd-Frank Act and the CFTC continues to approve contracts for central clearing. Uncleared swaps are subject to margin requirements that are being implemented on a phase-in basis. The regulation of the derivatives markets has increased over the past several years, and there can be no assurance that any new governmental regulation will not adversely affect a Portfolio’s ability to achieve its investment result.

 

 

Market Risk - The market prices of securities may go up or down, sometimes rapidly or unpredictably, due to general market conditions, such as real or perceived adverse economic or political conditions, inflation, changes in interest rates or currency rates, limited dealer capacity, lack of liquidity in the markets or adverse investor sentiment. Each Portfolio has exposure to instruments that may be more volatile and carry more risk than some other forms of investment. Adverse market conditions may be prolonged and may not have the same impact on all types of securities. Market prices of securities also may go down due to events or conditions that affect particular sectors, industries or issuers. When market prices fall, the value of your investment will go down.

 

A Portfolio may experience a substantial or complete loss on any individual security. Since the global financial crisis that began in 2008, the U.S. and many foreign economies continue to experience its after-effects, which have resulted, and may continue to result, in slower growth and an unusually high degree of volatility in the financial markets, both domestic and foreign. In response to the financial crisis, the U.S. government and the Federal Reserve, as well as certain foreign governments and their central banks have taken steps to support financial markets, including by keeping interest rates at historically low levels. The Federal Reserve has since reduced its market support activities and has recently started raising interest rates. Further reduction or withdrawal of Federal Reserve or other U.S. or non-U.S. governmental support could negatively affect the markets generally and increase market volatility. These and other changes in market conditions could reduce the value and liquidity of the securities in which a Portfolio invests. This environment could make identifying investment risks and opportunities especially difficult.

 

Policy and legislative changes in the U.S. and abroad affect many aspects of financial regulation and may, in some cases, contribute to decreased liquidity and increased volatility in the financial markets. Economies and financial markets around the world are becoming increasingly interconnected. As a result, whether or not a Portfolio has exposure to securities of issuers located in or with significant exposure to countries experiencing economic and financial difficulties, the value and liquidity of the Portfolio’s investments may be negatively affected.

 

In addition, market prices of securities in broad market segments may be adversely affected by a prominent issuer having experienced losses or by the lack of earnings or such an issuer’s failure to meet the market’s expectations with respect to new products or services, or even by factors wholly unrelated to the value or condition of the issuer, such as changes in interest rates. An increase in interest rates or other adverse conditions (e.g., inflation/deflation, increased selling of fixed-income investments across other pooled investment vehicles or accounts, changes in investor perception or changes in government intervention in the markets) may lead to increased redemptions and increased portfolio turnover, which could reduce liquidity for certain Portfolio investments, adversely affect values of portfolio holdings and increase a Portfolio’s costs. If dealer capacity in fixed-income markets is insufficient for market conditions, this has the potential to further inhibit liquidity and increase volatility in the fixed-income markets.

 

For information regarding a Portfolio’s other significant accounting policies, please refer to the Portfolio’s most recent Semi-Annual or Annual Report.

 

Aggregate Tax Unrealized Appreciation and Depreciation – At March 31, 2018 the aggregate cost for federal tax purposes, which differs from fair value by net unrealized appreciation/(depreciation) of securities, are as follows:

 

 

Portfolio  Tax Cost   Gross Unrealized
Appreciation
   Gross Unrealized
Depreciation
   Net Unrealized
Appreciation/
(Depreciation)
 
Global Atlantic American Funds® Managed Risk Portfolio  $211,186,434   $16,218,790   $(1,806,002)  $14,412,788 
Global Atlantic Balanced Managed Risk Portfolio   80,154,100    9,894,487    (687,792)   9,206,695 
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio   261,215,496    4,848,479        4,848,479 
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio   251,782,598    47,578,916    (6,330,438)   41,248,478 
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio   29,831,144    1,742,522    (1,860)   1,740,662 
Global Atlantic Growth Managed Risk Portfolio   381,695,441    75,252,861    (1,203,059)   74,049,802 
Global Atlantic Moderate Growth Managed Risk Portfolio   124,322,202    19,236,455    (788,538)   18,447,917 
Global Atlantic Motif Aging of America Portfolio   110,262    19,356    (12,867)   6,489 
Global Atlantic Motif Real Estate Trends Portfolio   104,355    4,898    (14,972)   (10,074)
Global Atlantic Motif Technological Innovations Portfolio   112,084    50,704    (1,200)   49,504 
Global Atlantic PIMCO Tactical Allocation Portfolio   30,074,828    1,164,127    (308,474)   855,653 
Global Atlantic Select Advisor Managed Risk Portfolio   97,451,955    13,131,024    (582,667)   12,548,357 
Global Atlantic Wellington Research Managed Risk Portfolio   410,925,716    58,263,616    (10,512,199)   47,751,417 
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio   26,843    1,543    (389)   1,154 
Global Atlantic Wilshire Dynamic Global Allocation Portfolio   26,580    2,757    (176)   2,581 
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio   16,093    2,367    (21)   2,346 
Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio   56,452    2,560    (423)   2,137 

 

 

Item 2. Controls and Procedures.

 

(a)       The registrant’s principal executive and principal financial officers, or persons performing similar functions, 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 that includes the disclosure required by this paragraph, based on their evaluation of the controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.

 

(b)       There were no significant changes in the registrant’s internal control over financial reporting 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 required by Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) (and Item 3 of Form N-Q) are filed herewith.

 

 

 

 

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) Forethought Variable Insurance Trust

 

By (Signature and Title)

*/s/ Robert M. Arena, Jr.

Robert M. Arena, Jr., President

 

Date 5/30/2018

 

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)

*/s/ Robert M. Arena, Jr.

Robert M. Arena, Jr., President

 

Date 5/30/2018

 

By (Signature and Title)

*/s/ Laura Szalyga

Laura Szalyga, Treasurer

 

Date 5/30/2018

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 


Dates Referenced Herein

This ‘N-Q’ Filing    Date    Other Filings
Filed on / Effective on:5/30/18None on these Dates
For Period End:3/31/18
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