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Forethought Variable Insurance Trust – ‘N-Q’ for 9/30/18

On:  Thursday, 11/29/18, at 3:45pm ET   ·   Effective:  11/29/18   ·   For:  9/30/18   ·   Accession #:  1580642-18-5674   ·   File #:  811-22865

Previous ‘N-Q’:  ‘N-Q’ on 11/29/18 for 9/30/18   ·   Latest ‘N-Q’:  This Filing

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

11/29/18  Forethought Variable Ins Trust    N-Q         9/30/18    2:1.6M                                   Blu Giant, LLC/FAGlobal Atlantic American Funds Managed Risk PortfolioGlobal Atlantic Balanced Managed Risk PortfolioGlobal Atlantic BlackRock Selects Managed Risk Portfolio (formerly Global Atlantic BlackRock Global Allocation Managed Risk Portfolio) Global 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 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 Growth Allocation Portfolio Global Atlantic Wilshire Dynamic Growth 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    837K 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     13K 


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, IN 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: 9/30/2018

 

 

Item 1. Schedule of Investments.

 

Global Atlantic American Funds® Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     VARIABLE INSURANCE TRUSTS - 95.3%     
     DEBT FUNDS - 33.4%     
 1,335,257   American Funds Insurance - Mortgage Fund - Class I  $13,739,796 
 4,108,304   American Funds Insurance Series® - Bond Fund - Class 1   43,506,938 
 1,930,347   American Funds Insurance Series® - U.S. Government/AAA-Rated Securities Fund - Class I   22,874,615 
         80,121,349 
     EQUITY FUNDS - 61.9%     
 2,980,350   American Funds Insurance Series® - Blue Chip Income and Growth Fund - Class 1   43,334,286 
 1,669,395   American Funds Insurance Series® - Global Growth and Income Fund - Class 1   25,141,094 
 264,327   American Funds Insurance Series® - Global Small Capitalization Fund- Class 1   6,856,644 
 308,061   American Funds Insurance Series® - Growth Fund - Class 1   25,205,511 
 653,621   American Funds Insurance Series® - Growth-Income Fund - Class 1   34,275,897 
 450,579   American Funds Insurance Series® - International Fund - Class 1   9,133,225 
 196,352   American Funds Insurance Series® - New World Fund - Class 1   4,582,865 
         148,529,522 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $211,472,840)   228,650,871 
           
     SHORT-TERM INVESTMENTS - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
 12,250   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.92% (a)(Cost - $12,250)   12,250 
           
     TOTAL INVESTMENTS - 95.3% (Cost - $211,485,090)  $228,663,121 
     OTHER ASSETS LESS LIABILITIES - NET - 4.7%   11,345,571 
     TOTAL NET ASSETS - 100.0%  $240,008,692 

 

*Represents less than 0.1%

 

(a)Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic Balanced Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.2%     
     DEBT FUNDS - 46.0%     
 101,892   iShares 1-3 Year Treasury Bond ETF  $8,466,206 
 184,377   iShares Core U.S. Aggregate Bond ETF   19,455,461 
 12,965   iShares iBoxx High Yield Corporate Bond ETF   1,120,694 
 6,275   iShares JP Morgan USD Emerging Markets Bond ETF   676,508 
 239,308   iShares Short-Term Corporate Bond ETF   12,403,334 
         42,122,203 
     EQUITY FUNDS - 49.2%     
 119,463   iShares Core MSCI EAFE ETF   7,655,189 
 16,096   iShares Core MSCI Emerging Markets ETF   833,451 
 72,255   iShares Core S&P 500 ETF   21,151,206 
 26,489   iShares Core S&P Mid-Cap ETF   5,331,971 
 34,188   iShares Core S&P Small-Cap ETF   2,982,561 
 43,822   iShares MSCI Japan ETF   2,639,399 
 27,205   iShares Russell 1000 ETF   4,399,321 
         44,993,098 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $76,857,441)   87,115,301 
           
     SHORT-TERM INVESTMENT - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
 9,246   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.92% (a)(Cost - $9,246)   9,246 
           
     TOTAL INVESTMENTS - 95.2% (Cost - $76,866,687)  $87,124,547 
     OTHER ASSETS LESS LIABILITIES - NET - 4.8%   4,408,754 
     TOTAL NET ASSETS - 100.0%  $91,533,301 

 

ETF - Exchange Traded Fund

 

*Represents less than 0.1%

 

(a)Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic BlackRock Global Allocation Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     VARIABLE INSURANCE TRUST - 95.2%     
     ASSET ALLOCATION FUND - 95.2%     
 14,984,567   BlackRock Global Allocation V.I. Fund - Class 1 (Cost - $250,240,985)  $256,685,640 
           
     SHORT-TERM INVESTMENTS - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
 26,232   Fidelity Investments Money Market Funds - Government Portfolio Institutional Class to yield 1.92% (a)(Cost - $26,232)   26,232 
           
     TOTAL INVESTMENTS - 95.2% (Cost - $250,267,217)  $256,711,872 
     OTHER ASSETS LESS LIABILITIES - NET - 4.8%   12,956,432 
     TOTAL NET ASSETS - 100.0%  $269,668,304 

 

*Represents less than 0.1%

 

(a)Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic Franklin Dividend & Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     COMMON STOCKS - 71.2%     
     AEROSPACE/DEFENSE - 3.6%     
 400   Boeing Co. (The)  $148,760 
 24,670   General Dynamics Corp.   5,050,442 
 3,700   Raytheon Co.   764,642 
 33,200   United Technologies Corp.   4,641,692 
         10,605,536 
     AGRICULTURE - 1.1%     
 46,700   Bunge Ltd.   3,208,757 
           
     APPAREL - 1.4%     
 50,440   NIKE, Inc.   4,273,277 
           
     BEVERAGES - 1.1%     
 29,300   PepsiCo, Inc.   3,275,740 
           
     BUILDING MATERIALS - 1.0%     
 80,775   Johnson Controls International PLC   2,827,125 
           
     CHEMICALS - 7.2%     
 35,100   Air Products & Chemicals, Inc.   5,863,455 
 80,300   Albemarle Corp.   8,012,334 
 42,350   Praxair, Inc.   6,806,916 
 15,350   Versum Materials, Inc.   552,753 
         21,235,458 
     COMMERCIAL SERVICES - 2.4%     
 18,100   Cintas Corp.   3,580,361 
 15,700   Ecolab, Inc.   2,461,446 
 20,400   Matthews International Corp.   1,023,060 
         7,064,867 
     COMPUTERS - 2.5%     
 42,900   Accenture PLC - Cl. A   7,301,580 
           
     COSMETICS/PERSONAL CARE - 1.9%     
 41,566   Colgate-Palmolive Co.   2,782,844 
 33,600   Procter & Gamble Co. (The)   2,796,528 
         5,579,372 
     DISTRIBUTION/WHOLESALE - 0.8%     
 6,500   WW Grainger, Inc.   2,323,165 
           
     DIVERSIFIED FINANCIAL SERVICES - 1.1%     
 21,690   Visa, Inc. - Cl. A   3,255,452 
           
     ELECTRONICS - 3.3%     
 49,060   Honeywell International, Inc.   8,163,584 
 61,270   nVent Electric PLC   1,664,093 
         9,827,677 
     ENVIRONMENTAL CONTROL - 0.8%     
 57,270   Pentair PLC   2,482,654 
           
     FOOD - 1.0%     
 23,260   McCormick & Co., Inc. (The)   3,064,505 
 C: 

 

 

     HEALTHCARE-PRODUCTS - 10.4%     
 62,200   Abbott Laboratories   4,562,992 
 30,300   Becton Dickinson and Co.   7,908,300 
 30,200   Dentsply Sirona, Inc.   1,139,748 
 65,000   Medtronic PLC   6,394,050 
 44,100   Stryker Corp.   7,835,688 
 25,000   West Pharmaceutical Services, Inc.   3,086,750 
         30,927,528 
     INSURANCE - 1.3%     
 42,500   Aflac, Inc.   2,000,475 
 14,793   Chubb Ltd.   1,976,937 
         3,977,412 
     IRON/STEEL - 0.6%     
 29,410   Nucor Corp.   1,866,064 
           
     MACHINERY-DIVERSIFIED - 4.2%     
 46,200   Dover Corp.   4,090,086 
 28,340   Roper Technologies, Inc.   8,394,591 
         12,484,677 
     MEDIA - 0.3%     
 14,740   John Wiley & Sons, Inc.   893,244 
           
     MISCELLANEOUS MANUFACTURING - 1.5%     
 21,480   Carlisle Cos, Inc.   2,616,264 
 32,729   Donaldson Co., Inc.   1,906,792 
         4,523,056 
     OIL & GAS - 2.9%     
 9,900   Chevron Corp.   1,210,572 
 20,900   EOG Resources, Inc.   2,666,213 
 22,300   Exxon Mobil Corp.   1,895,946 
 33,200   Occidental Petroleum Corp.   2,728,044 
         8,500,775 
     OIL & GAS SERVICES - 1.2%     
 29,100   Apergy Corp. *   1,267,596 
 38,000   Schlumberger Ltd.   2,314,960 
         3,582,556 
     PHARMACEUTICALS - 3.7%     
 21,660   AbbVie, Inc.   2,048,603 
 27,990   CVS Health Corp.   2,203,373 
 33,800   Johnson & Johnson   4,670,146 
 18,100   Perrigo Co. PLC   1,281,480 
 21,200   Roche Holding AG - ADR   639,392 
         10,842,994 
     RETAIL - 7.2%     
 51,690   Gap, Inc. (The)   1,491,256 
 20,770   McDonald’s Corp.   3,474,613 
 45,600   Ross Stores, Inc.   4,518,960 
 19,600   Target Corp.   1,728,916 
 23,700   Tiffany & Co.   3,056,589 
 33,270   Walgreens Boots Alliance, Inc.   2,425,383 
 28,400   Wal-Mart, Inc.   2,667,044 
 22,200   Yum! Brands, Inc.   2,018,202 
         21,380,963 
     SEMICONDUCTORS - 4.4%     
 65,171   Analog Devices, Inc.   6,025,711 
 65,100   Texas Instruments, Inc.   6,984,579 
         13,010,290 
     SOFTWARE - 3.4%     
 89,410   Microsoft Corp.   10,225,822 
           
     TRANSPORTATION - 0.9%     
 22,710   United Parcel Service, Inc.   2,651,393 
           
     TOTAL COMMON STOCKS (Cost - $149,571,701)   211,191,939 
 C: 

 

 

Principal Amount                
     ASSET BACKED SECURITIES - 6.0%           
$300,000   Alinea CLO 2018-1 Ltd. 3 Month LIBOR + 1.65 (a) ^  3.957  7/20/2031   296,935 
 400,000   AMMC CLO XI Ltd. 3 Month LIBOR + 1.90 (a) ^  4.239  4/30/2031   399,680 
 300,000   AMMC CLO 21 Ltd. 3 Month LIBOR + 2.10 (a) ^  4.449  11/2/2030   300,316 
 250,000   Antares CLO 2018-1 Ltd. 3 Month LIBOR + 1.65 (a) ^  4.104  4/20/2031   249,989 
 300,000   Atrium XIV LLC 3 Month LIBOR + 1.45 (a) ^  3.760  8/23/2030   299,505 
 150,000   Bellemeade RE 2018-1 Ltd. 1 Month LIBOR + 1.60 (a) ^  3.816  4/25/2028   150,752 
 250,000   BlueMountain CLO 2014-2 Ltd. 3 Month LIBOR + 1.40 (a) ^  0.000  10/20/2030   250,000 
 200,000   BlueMountain Fuji US CLO II Ltd. 3 Month LIBOR + 2.15 (a) ^  4.509  10/20/2030   200,198 
 250,000   Carlyle Global Market Strategies CLO 2015-1 3 Month LIBOR + 2.20 (a) ^  4.539  10/15/2031   250,000 
 1,000,000   Carlyle Global Market Strategies CLO 2015-2 3 Month LIBOR + 0.78 (a) ^  3.117  4/27/2027   996,865 
 200,000   Carlyle Global Market Strategies CLO 2017-4 3 Month LIBOR + 2.80 (a) ^  5.139  1/15/2030   197,897 
 250,000   CD 2016-CD2 Mortgage Trust ^  3.526  11/10/2049   245,737 
 220,000   CIM Trust 2018-INV1 (a) ^  4.000  8/25/2048   218,678 
 325,197   Colony American Homes 2015-1 1 Month LIBOR + 1.20 (a) ^  3.331  7/17/2032   325,916 
 160,000   DBCG 2017-BBG Mortgage Trust 1 Month LIBOR + 0.70 (a) ^  2.858  6/15/2034   159,946 
 300,000   Dryden 50 Senior Loan Fund 3 Month LIBOR + 2.25 (a) ^  4.589  7/15/2030   300,868 
 300,000   Dryden 64 CLO Ltd. 3 Month LIBOR + 2.65 (a) ^  4.869  4/18/2031   296,750 
 250,000   Eleven Madison Trust 2015-11MD Mortgage Trust (a) ^  3.673  9/10/2035   247,498 
 250,000   Ellington CLO III Ltd. 3 Month LIBOR + 1.65 (a) ^  3.953  7/20/2030   249,693 
 68,738   Emerson Park CLO Ltd. 3 Month LIBOR + 0.98 (a) ^  3.319  7/15/2025   68,740 
 230,000   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 2.60 ^  4.816  5/25/2024   244,636 
 258,761   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 2.60 ^  4.816  5/25/2024   274,439 
 308,627   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 2.90 ^  5.116  7/25/2024   329,520 
 307,491   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 3.00 ^  5.216  7/25/2024   330,451 
 154,660   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 4.00 ^  6.216  5/25/2025   170,089 
 194,584   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 4.00 ^  6.216  5/25/2025   209,683 
 349,783   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 4.90 ^  7.116  11/25/2024   400,944 
 223,393   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 5.00 ^  7.216  7/25/2025   254,616 
 182,514   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 5.00 ^  7.216  7/25/2025   203,170 
 130,000   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 5.75 ^  7.966  7/25/2029   157,536 
 300,000   Flagship CLO 3 Month LIBOR + 0.85 (a) ^  3.189  1/16/2026   299,352 
 250,000   Flagship CLO 3 Month LIBOR + 3.05 (a) ^  5.389  1/16/2026   249,992 
 350,000   Freddie Mac - STACR 1 Month LIBOR + 3.25 ^  5.466  5/25/2025   392,385 
 300,000   Freddie Mac - STACR 1 Month LIBOR + 3.80 ^  6.016  3/25/2025   320,195 
 300,000   Freddie Mac - STACR 1 Month LIBOR + 3.90 ^  6.116  12/25/2027   330,776 
 453,303   Freddie Mac - STACR 1 Month LIBOR + 4.00 ^  6.216  8/25/2024   496,584 
 245,126   Freddie Mac - STACR 1 Month LIBOR + 4.15 ^  6.366  1/25/2025   264,116 
 250,000   Freddie Mac - STACR 1 Month LIBOR + 5.15 ^  7.366  11/25/2028   297,138 
 650,000   Freddie Mac - STACR 1 Month LIBOR + 5.55 ^  7.766  7/25/2028   786,532 
 200,000   Gilbert Park CLO Ltd. 3 Month LIBOR + 2.95 (a) ^  5.289  10/15/2030   198,638 
 250,000   Halcyon Loan Advisors Funding 2018-1 Ltd. 3 Month LIBOR + 1.80 (a) ^  4.183  7/20/2031   249,962 
 200,000   Hayfin Kingsland IX Ltd. 3 Month LIBOR + 1.80 (a) ^  4.139  4/28/2031   200,632 
 159,109   Invitation Homes Trust 2017-SFR2 1 Month LIBOR + 0.85 (a) ^  3.008  12/17/2036   159,506 
 500,000   LCM XXV Ltd. 3 Month LIBOR + 2.30 (a) ^  4.647  7/20/2030   501,139 
 918,000   Madison Park Funding XXVII Ltd. 3 Month LIBOR + 1.13 (a) ^  3.477  4/20/2030   917,985 
 226,737   Mill City Mortgage Loan Trust 2016-1 (a) ^  2.500  4/25/2057   222,094 
 300,000   Neuberger Berman CLO XXII Ltd. 3 Month LIBOR + 1.40 (a) ^  3.849  10/17/2030   300,000 
 649,000   Neuberger Berman Loan Advisers CLO 27 Ltd. 3 Month LIBOR + 1.10 (a) ^  3.439  1/15/2030   646,235 
 200,000   NZCG Funding Ltd. 3 Month LIBOR + 1.55 (a) ^  3.861  2/26/2031   199,719 
 250,000   Octagon Investment Partners XXIII Ltd. 3 Month LIBOR + 1.85 (a) ^  4.189  7/15/2027   249,793 
 300,000   Octagon Investment Partners 33 Ltd. 3 Month LIBOR + 1.50 (a) ^  3.848  1/20/2031   299,021 
 100,000   Octagon Investment Partners 33 Ltd. 3 Month LIBOR + 2.75 (a) ^  5.097  1/20/2031   98,939 
 500,000   Octagon Investment Partners 35 Ltd. 3 Month LIBOR + 1.10 (a) ^  3.448  1/20/2031   498,777 
 250,000   Race Point X CLO Ltd. 3 Month LIBOR + 1.65 (a) ^  3.985  7/25/2031   249,995 
 150,000   Radnor RE 2018-1 Ltd. 1 Month LIBOR + 1.40 (a) ^  3.616  3/25/2028   150,284 
 100,000   TCI-Flatiron CLO 2017-1 Ltd. 3 Month LIBOR + 2.75 (a) ^  5.062  11/17/2030   98,957 
 231,264   Towd Point Mortgage Trust (a) ^  2.750  11/25/2060   230,067 
 247,505   Towd Point Mortgage Trust 2016-4 (a) ^  2.250  7/25/2056   244,504 
 230,559   Towd Point Mortgage Trust 2017-2 (a) ^  2.750  4/25/2057   229,994 
 156,174   Towd Point Mortgage Trust 2017-3 (a) ^  2.750  7/25/2057   153,654 
 250,000   Voya CLO 2014-1 Ltd. 3 Month LIBOR + 2.80 (a) ^  5.133  4/18/2031   248,214 
     TOTAL ASSET BACKED SECURITIES (Cost - $17,748,016)         18,066,226 
 C: 

 

 

     CORPORATE BONDS - 8.6%           
     AEROSPACE/DEFENSE - 0.2%           
 300,000   Lockheed Martin Corp.  4.700  5/15/2046   319,814 
 100,000   United Technologies Corp.  7.500  9/15/2029   126,716 
               446,530 
     AGRICULTURE - 0.1%           
 300,000   Reynolds American, Inc.  5.700  8/15/2035   320,416 
                 
     AUTO PARTS & EQUIPMENT - 0.1%           
 200,000   Aptiv Corp.  4.150  3/15/2024   200,396 
                 
     BANKS - 2.1%           
 300,000   Banca Monte Dei Paschi di Siena SpA  2.125  11/26/2025   356,902 
 700,000   Bank of America Corp.  3.500  4/19/2026   676,769 
 300,000   Barclays PLC  4.375  9/11/2024   289,278 
 700,000   Capital One Financial Corp.  3.200  2/5/2025   658,679 
 600,000   Citigroup, Inc.  3.400  5/1/2026   570,256 
 500,000   Goldman Sachs Group, Inc. (The)  3.750  2/25/2026   485,832 
 400,000   HSBC Holdings PLC  4.300  3/8/2026   398,263 
 200,000   ICICI Bank Ltd. (a)  3.800  12/14/2027   179,704 
 250,000   Industrial & Commercial Bank of China Ltd.  2.957  11/8/2022   240,223 
 100,000   Intesa Sanpaolo SpA (a)  6.500  2/24/2021   103,506 
 500,000   JPMorgan Chase & Co.  3.200  6/15/2026   473,941 
 300,000   JPMorgan Chase & Co.  3.250  9/23/2022   297,347 
 500,000   Morgan Stanley  3.875  1/27/2026   491,482 
 200,000   Turkiye Vakiflar Bankasi TAO  2.375  5/4/2021   220,914 
 400,000   Wells Fargo & Co.  2.500  3/4/2021   391,757 
 500,000   Wells Fargo & Co.  3.000  4/22/2026   465,310 
               6,300,163 
     BEVERAGES - 0.2%           
 500,000   Anheuser-Busch InBev Finance, Inc.  3.650  2/1/2026   485,848 
                 
     BIOTECHNOLOGY - 0.1%           
 200,000   Biogen, Inc.  5.200  9/15/2045   212,198 
 100,000   Celgene Corp.  3.450  11/15/2027   93,354 
               305,552 
     CHEMICALS - 0.1%           
 100,000   Chemours Co.  5.375  5/15/2027   96,430 
 300,000   LYB International Finance BV  4.000  7/15/2023   300,267 
               396,697 
     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   95,687 
                 
     COMPUTERS - 0.1%           
 100,000   Dell International LLC (a)  3.480  6/1/2019   100,253 
 200,000   West Corp. (a)  8.500  10/15/2025   183,500 
               283,753 
     DIVERSIFIED FINANCIAL SERVICES - 0.1%           
 200,000   Navient Corp.  6.750  6/25/2025   200,750 
 100,000   Tempo Acquisition LLC (a)  6.750  6/1/2025   97,250 
               298,000 
 C: 

 

 

     ELECTRIC - 1.1%           
 400,000   Calpine Corp.  5.375  1/15/2023   378,000 
 200,000   Colbun SA (a)  3.950  10/11/2027   190,125 
 400,000   Dominion Energy, Inc.  3.900  10/1/2025   393,525 
 100,000   Duke Energy Carolinas LLC  6.100  6/1/2037   121,226 
 100,000   Duke Energy Indiana LLC  3.750  7/15/2020   101,115 
 400,000   Electricite De France SA 10 Year Swap Rate + 3.709 (a) ^  5.250  1/29/2049   400,000 
 200,000   Israel Electric Corp. Ltd. (a)  4.250  8/14/2028   189,752 
 200,000   PacifiCorp.  6.100  8/1/2036   245,320 
 500,000   Southern Co. (The)  3.250  7/1/2026   466,326 
 300,000   State Grid Overseas Investment (a)  3.500  5/4/2027   285,815 
 100,000   Talen Energy Supply LLC (a)  9.500  7/15/2022   100,000 
 300,000   Three Gorges Finance Ltd. (a)  3.700  6/10/2025   292,217 
               3,163,421 
     ELECTRONICS - 0.0% **           
 100,000   Tech Data Corp.  4.950  2/15/2027   97,499 
                 
     ENTERTAINMENT - 0.0% **           
 100,000   Stars Group Holdings BV/Stars Group U.S. Co-Borrower LLC (a)  7.000  7/15/2026   103,169 
                 
     FOOD - 0.2%           
 300,000   Kraft Heinz Foods Co.  3.500  6/1/2026   273,841 
 300,000   Kroger Co. (The)  4.000  2/1/2024   300,115 
 100,000   Lamb Weston HLD (a)  4.875  11/1/2026   98,000 
               671,956 
     FOOD SERVICE - 0.0% **           
 100,000   Aramark Services, Inc. (a)  5.000  2/1/2028   98,125 
                 
     HEALTHCARE-PRODUCTS - 0.1%           
 100,000   Avantor, Inc. (a)  6.000  10/1/2024   101,500 
 200,000   Edwards Lifesciences Corp.  4.300  6/15/2028   199,899 
               301,399 
     HEALTHCARE-SERVICES - 0.2%           
 100,000   Centene Corp. (a)  5.375  6/1/2026   102,385 
 200,000   Cigna Corp.  3.250  4/15/2025   189,340 
 100,000   Community Health Systems, Inc.  6.250  3/31/2023   94,970 
 100,000   Halfmoon Parent, Inc. (a)  4.125  11/15/2025   99,715 
 35,000   Orlando Health Obligated Group  3.777  10/1/2028   34,252 
               520,662 
     INSURANCE - 0.3%           
 300,000   Liberty Mutual Group, Inc. (a)  4.950  5/1/2022   310,706 
 400,000   Teachers Insurance & Annuity Association of America (a)  4.900  9/15/2044   424,925 
               735,631 
     INTERNET - 0.1%           
 100,000   Amazon.com, Inc.  2.800  8/22/2024   96,482 
 100,000   Symantec Corp. (a)  5.000  4/15/2025   98,945 
 200,000   Tencent Holdings Ltd. (a)  3.595  1/19/2028   189,303 
               384,730 
     LODGING - 0.1%           
 300,000   Marriott International, Inc.  3.750  10/1/2025   291,882 
 100,000   Wynn Las Vegas Capital Corp. LLC (a)  5.250  5/15/2027   92,875 
               384,757 
     MACHINERY - CONSTRUCTION AND MINING - 0.0% **           
 100,000   Vertiv Group Corp. (a)  9.250  10/15/2024   104,000 
                 
     MACHINERY - DIVERSIFIED - 0.1%           
 100,000   CNH Industrial NV  3.850  11/15/2027   94,617 
 100,000   Tennant Co.  5.625  5/1/2025   101,250 
               195,867 
 C: 

 

 

     MEDIA - 0.4%           
 200,000   Altice U.S. Finance Corp. (a)  5.500  5/15/2026   199,750 
 200,000   CCO Holdings LLC (a)  5.125  5/1/2027   189,500 
 300,000   Comcast Corp.  3.150  2/15/2028   278,187 
 100,000   Nexstar Broadcasting, Inc. (a)  5.625  8/1/2024   97,875 
 300,000   Warner Media LLC  2.950  7/15/2026   272,030 
               1,037,342 
     MINING - 0.2%           
 100,000   First Quantum Minerals Ltd. (a)  7.250  4/1/2023   95,562 
 300,000   Glencore Finance Canada (a)  4.950  11/15/2021   309,183 
 100,000   Northwest Acquisitions ULC/Dominion Finco, Inc. (a)  7.125  11/1/2022   102,250 
               506,995 
     OIL & GAS - 0.5%           
 300,000   Anadarko Petroleum Corp.  6.450  9/15/2036   342,323 
 400,000   CNOOC Finance 2015 USA LLC  3.500  5/5/2025   383,506 
 100,000   Exxon Mobil Corp.  2.222  3/1/2021   98,013 
 100,000   Harvest Operations Corp. (a)  4.200  6/1/2023   101,358 
 400,000   Sinopec Group Overseas Development 2015 Ltd. (a)  3.250  4/28/2025   378,024 
 100,000   Sunoco LP/Sunoco Finance Corp. (a)  4.875  1/15/2023   99,000 
               1,402,224 
     OIL & GAS SERVICES - 0.1%           
 200,000   Weatherford International Ltd.  8.250  6/15/2023   189,000 
                 
     PACKAGING & CONTAINERS - 0.2%           
 200,000   Ardagh Packaging Finance PLC (a)  6.000  2/15/2025   195,750 
 100,000   Bway Holding Co. (a)  7.250  4/15/2025   97,490 
 100,000   OI European Group BV (a)  4.000  3/15/2023   95,000 
 100,000   Plastipak Holdings, Inc. (a)  6.250  10/15/2025   91,250 
 150,000   Reynolds Group Issuer, Inc. (a)  7.000  7/15/2024   152,625 
               632,115 
     PHARMACEUTICALS - 0.3%           
 300,000   Allergan Funding SCS  4.550  3/15/2035   291,813 
 100,000   Bausch Health Cos., Inc. (a)  7.500  7/15/2021   101,875 
 100,000   Bayer U.S. Finance II LLC (a)  4.375  12/15/2028   97,975 
 200,000   Bayer U.S. Finance LLC (a)  3.000  10/8/2021   196,390 
 100,000   CVS Health Corp.  4.300  3/25/2028   99,216 
 200,000   Endo DAC/Endo Finance Ltd. (a)  6.000  2/1/2025   172,400 
               959,669 
     PIPELINES - 0.4%           
 100,000   Cheniere Corpus Christi Holdings LLC  7.000  6/30/2024   109,500 
 100,000   Cheniere Energy Partners LP  5.250  10/1/2025   100,123 
 100,000   Energy Transfer Equity LP  4.250  3/15/2023   99,375 
 400,000   Enterprise Products Operating LLC  4.450  2/15/2043   387,827 
 400,000   Sabine Pass Liquefacation LLC  5.000  3/15/2027   410,876 
               1,107,701 
     REAL ESTATE - 0.1%           
 150,000   Prologis LP  3.750  11/1/2025   150,009 
                 
     REAL ESTATE INVESTMENT TRUSTS - 0.2%           
 100,000   American Homes 4 Rent LP  4.250  2/15/2028   95,669 
 300,000   American Tower Corp.  4.400  2/15/2026   300,347 
 300,000   National Retail Properties, Inc.  4.300  10/15/2028   297,736 
               693,752 
     RETAIL - 0.3%           
 200,000   Beacon Roofing Supply, Inc. (a)  4.875  11/1/2025   184,250 
 300,000   Dollar Tree, Inc.  4.000  5/15/2025   294,262 
 300,000   Home Depot, Inc. (The)  2.125  9/15/2026   268,857 
 100,000   Party City Holdings, Inc. (a)  6.625  8/1/2026   101,250 
 200,000   PetSmart, Inc. (a)  7.125  3/15/2023   143,750 
               992,369 
 C: 

 

 

     SEMICONDUCTORS - 0.0% **           
 100,000   Qorvo, Inc. (a)  5.500  7/15/2026   101,750 
                 
     SOFTWARE - 0.1%           
 100,000   Ascend Learning LLC (a)  6.875  8/1/2025   101,000 
 200,000   Fiserv, Inc.  3.850  6/1/2025   198,248 
               299,248 
     TELECOMMUNICATIONS - 0.3%           
 200,000   Juniper Networks, Inc.  4.350  6/15/2025   199,432 
 150,000   Sprint Corp.  7.125  6/15/2024   155,625 
 200,000   Sprint Spectrum Co. LLC (a)  5.152  3/20/2028   200,980 
 150,000   Telefonica Emisiones, S.A.U.  4.570  4/27/2023   154,250 
 300,000   Verizon Communications, Inc.  2.625  8/15/2026   272,015 
               982,302 
     TRANSPORTATION - 0.2%           
 500,000   FedEx Corp.  3.250  4/1/2026   481,858 
                 
     TRUCKING & LEASING - 0.0% **           
 100,000   DAE Funding LLC (a)  5.000  8/1/2024   97,875 
                 
     TOTAL CORPORATE BONDS (Cost $26,626,749)         25,631,467 
                 
     MUNICIPAL BOND - 0.0% **           
 90,000   San Jose Redevelopment Agency Successor Agency (Cost - $90,000)  3.226  8/1/2027   86,636 
                 
     TERM LOANS - 1.4%           
 148,120   AMC Entertainment ^  4.322  12/15/2023   148,089 
 100,000   American Airlines, Inc, ^  3.750  6/27/2025   98,018 
 15,144   American Airlines, Inc. ^  0.000  10/10/2021   15,141 
 141,750   Aramark Corp.^  2.983  3/28/2024   141,927 
 75,035   Aristocrat Technologies ^  3.357  10/19/2024   74,937 
 85,907   Ascena Retail Group, Inc. ^  6.625  8/21/2022   82,989 
 149,244   Ashland LLC ^  0.000  5/25/2024   149,468 
 222,190   Avis Budget Car Rental^  4.340  2/13/2025   222,190 
 149,250   Axalta Coating Systems^  4.084  6/1/2024   149,487 
 61,774   B&G Foods, Inc. ^  4.093  11/2/2022   61,890 
 197,500   Cablevision  3.741  7/17/2025   197,417 
 17,387   Chemours, Inc. ^  3.850  3/30/2025   17,398 
 5,487   Commscope, Inc. ^  4.093  12/29/2022   5,507 
 99,222   Eldorado Resorts, Inc. ^  3.625  3/16/2024   99,636 
 34,649   Endo Luxembourg Finance ^  5.625  4/12/2024   34,858 
 92,484   Felp TL B 1L USD Corp. ^  8.109  3/28/2022   92,311 
 100,000   Fieldwood Energy ^  8.375  4/11/2022   100,425 
 146,986   First Data ^  0.000  6/2/2020   146,986 
 42,926   General Nutrition Centers, Inc. ^  9.100  12/31/2022   43,928 
 102,194   General Nutrition Centers, Inc. ^  10.850  3/4/2021   100,405 
 99,496   Go Daddy ^  3.270  2/15/2024   99,855 
 34,388   Harbor Freight Tools  4.593  8/16/2023   34,398 
 43,244   HCA, Inc. ^  0.000  3/18/2023   43,558 
 97,727   Hertz Corp.^  4.850  6/30/2023   97,340 
 150,000   Hilton Worldwide Finance LLC ^  2.778  10/25/2023   150,663 
 113,185   IMS ^  3.600  1/13/2025   113,540 
 246,867   JBS USA  4.835  10/30/2022   247,346 
 20,389   Jo-Ann Stores, Inc. ^  7.509  10/21/2023   20,466 
 39,800   Las Vegas Sands LLC^  3.844  3/29/2024   39,754 
 79,395   Live Nation Entertainment^  3.875  10/31/2023   79,475 
 130,116   Mallinckrodt International^  5.203  9/24/2024   129,395 
 246,529   Mediacom Illinios LLC^  3.000  2/15/2024   245,708 
 149,625   Michaels Stores, Inc. ^  3.750  1/28/2023   148,597 
 99,491   NRG Energy, Inc.^  3.546  6/30/2023   99,575 
 97,982   Post Holdings, Inc.^  4.100  5/24/2024   97,964 
 99,494   Sinclair Television Group ^  3.040  1/3/2024   99,742 
 20,308   Trans Union LLC^  0.000  8/19/2022   20,308 
 197,211   U.S. Renal Care, Inc. ^  5.583  11/16/2022   191,951 
 47,893   Valeant Pharmaceuticals International, Inc. ^  5.092  5/28/2025   48,119 
 149,250   Yum! Brands ^  3.828  4/3/2025   149,344 
     TOTAL TERM LOANS (Cost - $4,133,741)         4,140,105 
 C: 

 

 

     MORTGAGE BACKED SECURITIES - 5.8%           
     FEDERAL HOME LOAN MORTGAGE CORP. - 3.6%           
 1,765,000   Freddie Mac Gold Pool +  3.50  10/15/2046   1,736,870 
 1,387,797   Freddie Mac Gold Pool  3.50  9/1/2047   1,366,544 
 1,848,387   Freddie Mac Gold Pool  3.50  4/1/2048   1,820,048 
 224,769   Freddie Mac Gold Pool  3.50  5/1/2048   221,377 
 2,480,000   Freddie Mac Gold Pool +  4.00  6/15/2046   2,504,025 
 1,404,052   Freddie Mac Gold Pool  4.00  5/1/2048   1,418,619 
 1,687,381   Freddie Mac Gold Pool  4.00  8/1/2048   1,705,004 
               10,772,487 
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 1.6%           
 2,060,000   Fannie Mae Pool +  3.50  12/25/2046   2,027,169 
 1,673,608   Fannie Mae Pool  3.50  9/1/2047   1,647,910 
 720,494   Fannie Mae Pool  3.50  3/1/2048   709,400 
 293,417   Fannie Mae Pool  3.50  5/1/2048   288,909 
               4,673,388 
     GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.6%           
 1,740,000   Ginnie Mae II Pool +  4.50  2/20/2045   1,797,909 
                 
     TOTAL MORTGAGE BACKED SECURITIES (Cost - $17,502,540)         17,243,784 
                 
     COMMERCIAL MORTGAGE OBLIGATIONS - 0.1%           
 280,000   FREMF Mortgage Trust (a) (Cost - $283,172)  4.120  12/25/2050   268,801 
                 
     SOVEREIGN DEBT - 0.2%           
 200,000   Export-Import Bank of China (The) (a)  3.63  7/31/2024   196,503 
 200,000   Export-Import Bank of India (a)  3.88  2/1/2028   186,122 
 300,000   Export-Import Bank of Korea  2.25  1/21/2020   296,248 
     TOTAL SOVEREIGN DEBT (Cost - $706,645)         678,873 
                 
     U.S. TREASURY SECURITIES - 3.0%           
 1,105,000   United States Treasury Bond  2.250  8/15/2046   912,488 
 600,000   United States Treasury Bond  2.500  2/15/2045   525,492 
 825,000   United States Treasury Bond  2.500  2/15/2046   720,006 
 840,000   United States Treasury Bond  2.500  5/15/2046   732,506 
 150,000   United States Treasury Bond  2.750  8/15/2047   137,373 
 160,000   United States Treasury Bond  2.750  11/15/2047   146,469 
 1,160,000   United States Treasury Bond  2.875  5/15/2043   1,096,653 
 250,000   United States Treasury Bond  3.000  11/15/2044   241,319 
 110,000   United States Treasury Bond  3.000  8/15/2048   105,862 
 150,000   United States Treasury Bond  3.125  2/15/2042   148,465 
 100,000   United States Treasury Bond  3.125  5/15/2048   98,668 
 125,000   United States Treasury Bond  3.750  8/15/2041   136,421 
 500,000   United States Treasury Bond  4.250  11/15/2040   585,117 
 740,000   United States Treasury Bond  4.375  2/15/2038   873,258 
 300,000   United States Treasury Bond  4.500  2/15/2036   355,945 
 455,000   United States Treasury Inflation Index Note  0.125  7/15/2022   486,526 
 550,000   United States Treasury Inflation Index Note  0.125  7/15/2024   560,718 
 200,000   United States Treasury Note  2.000  11/30/2022   192,695 
 800,000   United States Treasury Note  2.625  11/15/2020   796,313 
     TOTAL U.S. TREASURY SECURITIES (Cost - $9,238,104)         8,852,294 
 C: 

 

 

Shares        
    SHORT-TERM INVESTMENTS - 2.3%    
     MONEY MARKET FUND - 2.3%     
 6,736,769   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 1.92% (b)   6,736,769 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $6,736,769)     
           
     TOTAL INVESTMENTS - 98.6% (Cost - $232,637,437)  $292,896,894 
     OTHER ASSETS LESS LIABILITIES - NET - 1.4%   3,938,530 
     TOTAL NET ASSETS - 100.0%  $296,835,424 

 

+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  2.26%
3 Month USD LIBOR  2.40%
10 Year US Swap Rate  3.12%

 

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 September 30, 2018, these securities amounted to $20,557,673 or 6.9% of net assets.

 

(b)Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic Franklin Dividend & Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018 (Unaudited)

 

               Unrealized 
               Appreciation/ 
   Counterparty  Contracts  Expiration Date  Notional Value  (Depreciation) 
SHORT FUTURES CONTRACTS           
Euro Bund Future  Morgan Stanley  8  Dec-18  1,475,478  $9,962 
                  
LONG FUTURES CONTRACTS           
Australian 10 Year Bond Future  Morgan Stanley  4  Dec-18  372,926   (2,211)
Canadian 10 Year Bond Future  Morgan Stanley  6  Dec-18  615,596   (5,992)
U.S. 5 Year Note Future  Morgan Stanley  13  Dec-18  1,462,195   (11,781)
U.S. 10 Year Note Future  Morgan Stanley  7  Dec-18  831,469   (219)
U.S. Long Bond Future  Morgan Stanley  2  Dec-18  281,000   (7,812)
U.S. Ultra Bond Future  Morgan Stanley  1  Dec-18  154,281   (5,469)
                (33,484)
NET UNREALIZED DEPRECIATION OF FUTURES CONTRACTS  $(23,522)
 C: 

 

 

Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018 (Unaudited)

 

INTEREST RATE SWAPS*

 

                          Premiums   Unrealized 
      Floating Rate as  Pay/Receive     Expiration  Notional       Paid/   Appreciation/ 
Counterparty  Floating Rate Index  of 9/30/18  Floating Rate  Fixed Rate  Date  Amount   Value   (Received)   (Depreciation) 
JP Morgan Chase  USA-CPI-U  244.948%  Pay  1.96%  8/31/2024  $900,000   $49,370   $   $49,370 
                                    
CURRENCY SWAPS*
 
                          Premiums   Unrealized 
      Floating Rate as  Pay/Receive     Expiration  Notional       Paid/   Appreciation/ 
Counterparty  Floating Rate Index  of 9/30/18  Floating Rate  Fixed Rate  Date  Amount   Value   (Received)   (Depreciation) 
Citibank NA  USD - LIBOR - BBA  2.123%  Receive  2.50%  5/4/2021  $232,400   $1,726   $   $1,726 
                                    
CREDIT DEFAULT SWAPS**
 
                          Premiums   Unrealized 
      Buy/Sell  Fixed Rate     Expiration  Notional       Paid/   Appreciation/ 
Counterparty  Index  Protection  Received  Fixed Rate Paid  Date  Amount   Value   (Received)   (Depreciation) 
Citibank NA  AES Corp.  Buy  0.00%  5.00%  6/20/2022  $200,000   $(8,130)  $   $(8,130)
Citibank NA/JPMorgan  Ally Financial, Inc.  Buy  0.00%  5.00%  12/20/2022   200,000    175        175 
JPMorgan  Capital One Financial Corp.  Sell  1.00%  0.00%  12/20/2022   100,000    65        65 
Citibank NA  CDX.EM.30  Sell  1.00%  0.00%  12/20/2023   1,050,000    2,038        2,038 
Citibank NA  CDX.NA.IG.30  Sell  1.00%  0.00%  6/20/2023   550,000    (957)   (1,390)   433 
JPMorgan  Dish DBS Corp.  Sell  5.00%  0.00%  6/20/2023   100,000    2,501        2,501 
JPMorgan  Dish DBS Corp.  Buy  0.00%  5.00%  6/20/2021   100,000    (2,534)       (2,534)
Citibank NA/JPMorgan  Goldman Sachs  Sell  1.00%  0.00%  12/20/2022   200,000    613        613 
Citibank NA  MCDX.NA.30  Sell  1.00%  0.00%  6/20/2023   1,050,000    481    (58)   539 
Citibank NA  Morgan Stanley  Sell  1.00%  0.00%  12/20/2022   100,000    192        192 
Citibank NA  Nabors Inds, Inc.  Buy  0.00%  1.00%  6/20/2020   50,000    (1,231)       (1,231)
Citibank NA  Nabors Inds, Inc.  Sell  1.00%  0.00%  6/20/2022   50,000    2,710        2,710 
Citibank NA  Republic of Argentina  Sell  5.00%  0.00%  6/20/2023   105,000    (3,672)   (1,201)   (2,471)
Citibank NA  Republic of Brazil  Sell  1.00%  0.00%  12/20/2023   115,000    1,457    (288)   1,745 
JPMorgan  Republic of Colombia  Sell  1.00%  0.00%  12/20/2023   380,000    (292)   (961)   669 
Citibank NA  Republic of Indonesia  Sell  1.00%  0.00%  12/20/2023   355,000    2,045    (888)   2,933 
JPMorgan  Republic of Italy  Buy  0.00%  1.00%  6/20/2023   170,000    7,866        7,866 
JPMorgan  Republic of Italy  Sell  1.00%  0.00%  6/20/2023   170,000    4,484        4,484 
JPMorgan  Republic of Turkey  Buy  0.00%  1.00%  12/20/2023   157,500    (1,507)   9    (1,516)
Citibank NA  United Mexican States  Sell  1.00%  0.00%  12/20/2023   360,000    (372)   (910)   538 
                            $(5,687)  $11,619 
                                    
TOTAL RETURN SWAPS**
  
                          Premiums   Unrealized 
      Buy/Sell  Fixed Rate     Expiration  Notional       Paid/   Appreciation/ 
Counterparty  Index  Protection  Received  Fixed Rate Paid  Date  Amount   Value   (Received)   (Depreciation) 
JPMorgan  iBoxx USD Liquid High Yield Index^  Buy  0.00%  USD - LIBOR - BBA  3/20/2019  $200,000   $2,272   $   $2,272 
Citibank NA  iBoxx USD Liquid High Yield Index^  Buy  0.00%  USD - LIBOR - BBA  6/20/2019   1,200,000    20,855        20,855 
Citibank NA  iBoxx USD Liquid Leveraged Loans Index @  Buy  0.00%  USD - LIBOR - BBA  6/20/2019   855,000    9,310    3,902    5,408 
Citibank NA  iBoxx USD Liquid Leveraged Loans Index @  Buy  0.00%  USD - LIBOR - BBA  9/20/2019   70,000    33    (36)   69 
                            $3,866   $28,604 
                                    
*     Pays at termination.            $(1,821)  $91,319 
                     
**   Pays quarterly.                       
 C: 

 

 

Global Atlantic Franklin Dividend & Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018 (Unaudited)

 

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:                         
10/9/2018  Deutsche Bank  $342,000  AUD  $254,532   $247,471   $(7,061)
10/9/2018  Deutsche Bank   630,000  BRL   181,389    157,644    (23,745)
10/9/2018  Deutsche Bank   2,000,000,000  IDR   143,256    134,068    (9,188)
10/9/2018  JPMorgan   1,500,000,000  IDR   107,319    100,551    (6,768)
10/9/2018  JPMorgan   11,500,000  INR   173,847    158,446    (15,401)
10/9/2018  Deutsche Bank   13,000,000  INR   196,970    179,114    (17,856)
10/9/2018  Deutsche Bank   13,700,000  MXN   728,848    731,487    2,639 
10/10/2018  Deutsche Bank   165,000,000  KRW   155,002    148,780    (6,222)
3/14/2019  Deutsche Bank   500,000  PLN   136,396    136,262    (134)
3/14/2019  JPMorgan   2,142,000  SEK   243,454    244,442    988 
                        (82,748)
                          
To Sell:                         
10/9/2018  Deutsche Bank   342,000  AUD   265,649    247,471    18,178 
10/9/2018  Deutsche Bank   40,000  CAD   31,837    30,952    885 
10/9/2018  Citigroup NA   220,000  CAD   175,066    170,234    4,832 
10/9/2018  JPMorgan   1,020,000,000  IDR   71,006    68,375    2,631 
10/9/2018  JPMorgan   7,330,000  INR   106,572    100,992    5,580 
10/9/2018  Deutsche Bank   3,510,000  MXN   181,186    187,410    (6,224)
10/9/2018  Deutsche Bank   3,550,000  MXN   185,202    189,546    (4,344)
10/9/2018  JPMorgan   3,650,000  PHP   69,142    67,508    1,634 
10/10/2018  Deutsche Bank   165,000,000  KRW   155,915    148,781    7,134 
3/14/2019  Deutsche Bank   458,000  EUR   542,867    539,749    3,118 
3/14/2019  JPMorgan   900,000  SEK   103,744    101,201    2,543 
4/11/2019  JPMorgan   4,100,000  PHP   74,498    74,903    (405)
                        35,562 
                          
   Net unrealized depreciation on forward foreign currency contracts   $(47,186)
 C: 

 

 

Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 38.1%           
     DEBT FUNDS - 9.4%           
 26,257   iShares Short Maturity Bond ETF        $1,317,708 
 9,000   iShares Short Treasury Bond ETF         993,960 
 9,050   SPDR Bloomberg Barclays 1-3 Month T-Bill ETF     828,799 
               3,140,467 
     EQUITY FUNDS - 28.7%           
 10,836   iShares Core S&P 500 ETF         3,172,022 
 10,963   SPDR S&P 500 ETF Trust         3,187,163 
 12,037   Vanguard S&P 500 ETF         3,214,481 
               9,573,666 
     TOTAL EXCHANGE TRADED FUNDS (Cost $10,733,599)   12,714,133 
                 
Principal Amount      Coupon Rate (%)  Maturity     
     U.S. TREASURY NOTE - 39.9%           
$14,140,000   United States Treasury Note (Cost $13,494,777)  2.25  2/15/2027   13,309,827 
                 
Shares               
    SHORT-TERM INVESTMENTS - 20.0%           
     MONEY MARKET FUND - 20.0%           
 6,683,848   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 1.92% (a) (Cost - $6,683,848)   6,683,848 
                 
     TOTAL INVESTMENTS - 98.0% (Cost - $30,912,224)  $32,707,808 
     OTHER ASSETS LESS LIABILITIES - NET - 2.0%   673,629 
     TOTAL NET ASSETS - 100.0%  $33,381,437 

 

(a)Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018 (Unaudited)

 

               Unrealized Appreciation/ 
   Counterparty  Contracts  Expiration Date  Notional Value  (Depreciation) 
LONG FUTURES CONTRACTS                
E-Mini Russell 2000 Index Future  Credit Suisse  25  12/31/2018  2,126,000  $(3,500)
S&P 500 E-Mini Future  Credit Suisse  15  12/31/2018  2,189,250   8,720 
S&P Midcap 400 E-Mini Future  Credit Suisse  15  12/31/2018  3,037,800   (41,580)
TOTAL UNREALIZED DEPRECIATION OF FUTURES CONTRACTS  $(36,360)
 C: 

 

 

Global Atlantic Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.0%     
     DEBT FUNDS - 15.7%     
 186,007   iShares 1-3 Year Treasury Bond ETF  $15,455,322 
 337,011   iShares Core U.S. Aggregate Bond ETF   35,561,401 
 23,817   iShares iBoxx High Yield Corporate Bond ETF   2,058,741 
 11,324   iShares JP Morgan USD Emerging Markets Bond ETF   1,220,840 
 437,118   iShares Short-Term Corporate Bond ETF   22,655,826 
         76,952,130 
     EQUITY FUNDS - 79.3%     
 1,029,307   iShares Core MSCI EAFE ETF   65,957,993 
 138,537   iShares Core MSCI Emerging Markets ETF   7,173,446 
 655,511   iShares Core S&P 500 ETF   191,887,735 
 240,224   iShares Core S&P Mid-Cap ETF   48,354,689 
 309,644   iShares Core S&P Small-Cap ETF   27,013,343 
 117,096   iShares MSCI Japan ETF   7,052,692 
 246,902   iShares Russell 1000 ETF   39,926,522 
         387,366,420 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $375,149,975)   464,318,550 
           
     SHORT-TERM INVESTMENT - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
 2,977   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.92% (a) (Cost - $2,977)   2,977 
           
     TOTAL INVESTMENTS - 95.0% (Cost - $375,152,952)  $464,321,527 
     OTHER ASSETS LESS LIABILITIES - NET - 5.0%   24,446,732 
     TOTAL NET ASSETS - 100.0%  $488,768,259 

 

ETF - Exchange Traded Fund

 

* Represents less than 0.1%

 

(a) Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic Moderate Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.0%     
     DEBT FUNDS - 31.9%     
 117,649   iShares 1-3 Year Treasury Bond ETF  $9,775,455 
 212,926   iShares Core U.S. Aggregate Bond ETF   22,467,951 
 15,031   iShares iBoxx High Yield Corporate Bond ETF   1,299,280 
 7,202   iShares JP Morgan USD Emerging Markets Bond ETF   776,448 
 276,425   iShares Short-Term Corporate Bond ETF   14,327,108 
         48,646,242 
     EQUITY FUNDS - 63.1%     
 256,109   iShares Core MSCI EAFE ETF   16,411,465 
 34,467   iShares Core MSCI Emerging Markets ETF   1,784,701 
 157,608   iShares Core S&P 500 ETF   46,136,590 
 57,771   iShares Core S&P Mid-Cap ETF   11,628,725 
 74,406   iShares Core S&P Small-Cap ETF   6,491,179 
 73,070   iShares MSCI Japan ETF   4,401,006 
 59,320   iShares Russell 1000 ETF   9,592,637 
         96,446,303 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $123,027,267)   145,092,545 
           
     SHORT-TERM INVESTMENT - 0.0% *     
     MONEY MARKET FUND - 0.0% *     
 19,768   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.92% (a) (Cost - $19,768)   19,768 
           
     TOTAL INVESTMENTS - 95.0% (Cost - $123,047,035)  $145,112,313 
     OTHER ASSETS LESS LIABILITIES - NET - 5.0%   7,628,627 
     TOTAL NET ASSETS - 100.0%  $152,740,940 

 

ETF - Exchange Traded Fund

 

* Represents less than 0.1%

 

(a) Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic Motif Technological Innovations Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     COMMON STOCKS - 99.7%     
     AUTO MANUFACTURERS - 0.9%     
 6   Tesla, Inc. *  $1,589 
           
     COMMERCIAL SERVICES - 7.5%     
 13   2U, Inc. *   977 
 8   FleetCor Technologies, Inc. *   1,823 
 15   Paylocity Holding Corp. *   1,205 
 30   PayPal Holdings, Inc. *   2,635 
 32   Ritchie Bros Auctioneers, Inc.   1,156 
 27   Square, Inc. *   2,673 
 20   Total System Services, Inc.   1,975 
 7   WEX, Inc. *   1,405 
         13,849 
     COMPUTERS - 4.0%     
 18   Check Point Software Technologies Ltd. *   2,118 
 23   Fortinet, Inc. *   2,122 
 27   Nutanix, Inc. *   1,153 
 12   Qualys, Inc. *   1,069 
 27   Teradata Corp. *   1,018 
         7,480 
     DIVERSIFIED FINANCIAL SERVICES - 6.8%     
 20   American Express Co.   2,130 
 10   Ellie Mae, Inc. *   948 
 20   Mastercard, Inc.   4,452 
 34   Visa, Inc.   5,103 
         12,633 
     ELECTRONICS - 0.6%     
 51   Gentex Corp.   1,094 
           
     ENTERTAINMENT - 0.4%     
 33   Stars Group, Inc. (The) *   822 
           
 C: 

 

 

     INTERNET - 40.1%     
 23   Alibaba Group Holding Ltd. * (ADR)   3,789 
 4   Alphabet, Inc. *   4,828 
 3   Amazon.com, Inc. *   6,009 
 10   Baidu, Inc. * (ADR)   2,287 
 2   Booking Holdings, Inc. *   3,968 
 46   Ctrip.com International Ltd. * (ADR)   1,710 
 60   eBay, Inc. *   1,981 
 27   Etsy, Inc. *   1,387 
 14   Expedia Group, Inc.   1,827 
 9   F5 Networks, Inc. *   1,795 
 28   Facebook, Inc. *   4,605 
 60   FireEye, Inc. *   1,020 
 13   GrubHub, Inc. *   1,802 
 67   JD.com, Inc. * (ADR)   1,748 
 39   Match Group, Inc. *   2,258 
 4   MercadoLibre, Inc.   1,362 
 23   Mimecast Ltd. *   963 
 9   Netflix, Inc. *   3,367 
 27   Okta, Inc. *   1,900 
 9   Palo Alto Networks, Inc. *   2,027 
 10   Proofpoint, Inc. *   1,063 
 15   Q2 Holdings, Inc. *   908 
 15   RingCentral, Inc. *   1,396 
 11   Shutterfly, Inc. *   725 
 128   Snap, Inc. *   1,085 
 4   Stamps.com, Inc. *   905 
 33   Stitch Fix, Inc. *   1,444 
 77   Symantec, Corp.   1,639 
 20   Twilio, Inc. *   1,726 
 50   Twitter, Inc. *   1,423 
 116   Vipshop Holdings Ltd. * (ADR)   724 
 12   Wayfair, Inc. *   1,772 
 20   Weibo Corp. * (ADR)   1,463 
 11   Wix.com Ltd. *   1,317 
 38   Yandex NV *   1,250 
 13   YY, Inc. * (ADR)   974 
 22   Zendesk, Inc. *   1,562 
 25   Zillow Group, Inc. *   1,106 
 27   Zscaler, Inc. *   1,101 
         74,216 
     REAL ESTATE INVESTMENT TRUSTS - 3.4%     
 9   CoreSite Realty Corp.   1,000 
 20   CyrusOne, Inc.   1,268 
 17   Digital Realty Trust, Inc.   1,912 
 5   Equinix, Inc.   2,165 
         6,345 
     RETAIL - 0.8%     
 28   Copart, Inc. *   1,443 
           
     SEMICONDUCTORS - 2.2%     
 25   Cree, Inc. *   947 
 44   QUALCOMM, Inc.   3,169 
         4,116 
 C: 

 

 

     SOFTWARE - 30.2%     
 37   ACI Worldwide, Inc. *   1,041 
 33   Activision Blizzard, Inc.   2,745 
 11   Adobe Systems, Inc. *   2,969 
 22   Akamai Technologies, Inc. *   1,609 
 8   athenahealth, Inc. *   1,069 
 21   Blackline, Inc. *   1,186 
 40   Box, Inc. *   956 
 15   Citrix Systems, Inc. *   1,667 
 15   CommVault Systems, Inc. *   1,050 
 19   Cornerstone OnDemand, Inc. *   1,078 
 16   Coupa Software, Inc. *   1,266 
 15   Electronic Arts, Inc. *   1,807 
 82   First Data Corp. *   2,007 
 9   HubSpot, Inc. *   1,359 
 19   InterXion Holding NV *   1,279 
 14   Medidata Solutions, Inc. *   1,026 
 29   Momo, Inc. * (ADR)   1,270 
 4   NetEase, Inc. (ADR)   913 
 12   New Relic, Inc. *   1,131 
 12   Paycom Software, Inc. *   1,865 
 21   RealPage, Inc. *   1,384 
 22   salesforce.com, Inc. *   3,499 
 12   ServiceNow, Inc. *   2,348 
 11   Shopify, Inc.   1,809 
 50   Smartsheet, Inc. *   1,563 
 17   Splunk, Inc. *   2,056 
 13   Tableau Software, Inc. *   1,453 
 13   Take-Two Interactive Software, Inc. *   1,794 
 5   Ultimate Software Group, Inc. (The) *   1,611 
 19   Veeva Systems, Inc. *   2,069 
 21   Verint Systems, Inc. *   1,052 
 17   VMware, Inc. *   2,653 
 16   Workday, Inc. *   2,336 
 245   Zynga, Inc. *   983 
         55,903 
     TELECOMMNUNICATIONS - 2.8%     
 7   Arista Networks, Inc. *   1,861 
 11   LogMeIn, Inc.   980 
 13   Nice Ltd. (ADR) *   1,488 
 83   Switch, Inc.   896 
         5,225 
           
     TOTAL COMMON STOCKS (Cost - $116,300)   184,715 
 C: 

 

 

     SHORT-TERM INVESTMENT - 0.4%     
     MONEY MARKET FUND - 0.4%     
 835   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 1.92% (a)(Cost - $835)   835 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $117,135)  $185,550 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (219)
     TOTAL NET ASSETS - 100.0%  $185,331 

 

ADR - American Depositary Receipt

 

* Non-income producing security.

 

(a)Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 29.9%           
     EQUITY FUNDS - 29.9%           
 58,883   iShares MSCI EAFE ETF        $4,003,455 
 13,886   SPDR S&P 500 ETF Trust         4,036,938 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $6,606,554)   8,040,393 
                 
Principal               
Amount      Coupon Rate (%)  Maturity     
     ASSET BACKED SECURITIES - 4.3%           
$187,127   AAMES Mortgage Investment Trust 2006-1 1 Month LIBOR + 0.48 (b)  2.70  4/25/2036   167,557 
 13,364   ACE Securities Corp. Home Equity Loan Trust Series 2002-HE2 1 Month LIBOR + 1.275 (b)  3.49  8/25/2032   13,640 
 18,701   ACE Securities Corp. Home Equity Loan Trust Series 2006-OP1 1 Month LIBOR + 0.15 (b)  2.37  4/25/2036   18,538 
 26,325   Alternative Loan Trust 2005-J12 1 Month LIBOR + 0.27 (b)  2.49  8/25/2035   20,494 
 17,465   Alternative Loan Trust 2006-OA9 1 Month LIBOR + 0.21 (b)  2.38  7/20/2046   12,197 
 29,750   American Home Mortgage Assets Trust 2006-2 1 Month LIBOR + 0.19 (b)  2.41  9/25/2046   26,881 
 147,480   Avery Point IV CLO Ltd. 3 Month LIBOR + 1.12 (a,b)  3.45  1/18/2025   147,495 
 13,280   Bear Stearns ALT-A Trust 2005-8 (b)  4.23  10/25/2035   13,765 
 16,876   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3 1 Month LIBOR + 0.25 (a,b)  2.47  8/25/2035   16,165 
 16,331   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4 1 Month LIBOR + 0.23 (a,b)  2.45  10/25/2035   15,977 
 29,699   Citigroup Mortgage Loan Trust 2007-AMC1 1 Month LIBOR + 0.16 (a,b)  2.38  12/25/2036   19,967 
 16,794   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.13 (b)  2.35  12/25/2036   16,205 
 25,304   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.14 (b)  2.36  6/25/2047   22,261 
 73,904   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.15 (b)  2.37  5/25/2037   72,102 
 144,571   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.37 (b)  2.59  4/25/2036   142,374 
 12,501   Credit Suisse First Boston Mortgage Securities Corp.  4.50  7/25/2020   12,360 
 11,646   CWABS Asset-Backed Certificates Trust 2006-17 1 Month LIBOR + 0.15 (b)  2.37  3/25/2047   11,260 
 31,830   FBR Securitization Trust 1 Month LIBOR + 0.68 (b)  2.90  10/25/2035   31,517 
 33,388   Great Hall Mortgages No 1 PLC 3 Month LIBOR + 0.13 (a,b)  2.47  6/18/2039   32,659 
 25,900   GreenPoint Mortgage Funding Trust 2006-AR2 12 MTA + 2.00 (b)  3.84  3/25/2036   24,981 
 22,071   GSAMP Trust 2006-HE4 1 Month LIBOR + 0.14 (b)  2.36  6/25/2036   21,607 
 14,322   GSR Mortgage Loan Trust 2005-AR6 (b)  3.90  9/25/2035   14,546 
 12,539   Impac CMB Trust Series 2005-8 1 Month LIBOR + 0.70 (b)  2.92  2/25/2036   12,277 
 18,583   IndyMac INDX Mortgage Loan Trust 2006-AR4 1 Month LIBOR + 0.21 (b)  2.43  5/25/2046   17,918 
 2,259   JP Morgan Mortgage Trust 2006-S2  5.88  6/25/2021   2,229 
 8,259   Long Beach Mortgage Loan Trust 2004-2 1 Month LIBOR + 1.62 (b)  3.84  6/25/2034   8,281 
 26,121   Long Beach Mortgage Loan Trust 2005-3 1 Month LIBOR + 0.52 (b)  2.74  8/25/2045   25,648 
 29,899   Long Beach Mortgage Loan Trust 2006-7 1 Month LIBOR + 0.16 (b)  2.37  8/25/2036   18,974 
 2,843   Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 1 Month LIBOR + 0.25 (b)  2.47  11/25/2035   2,836 
 13,075   MortgageIT Trust 2005-4 1 Month LIBOR + 0.28 (b)  2.50  10/25/2035   12,894 
 18,722   RASC Series 2004-KS10 Trust 1 Month LIBOR + 1.73 (b)  3.94  11/25/2034   19,378 
 12,501   Reperforming Loan REMIC Trust 2006-R1 1 Month LIBOR + 0.34 (a,b)  2.56  1/25/2036   11,944 
 49,145   SLC Student Loan Trust 2006-2 3 Month LIBOR + 0.10 (b)  2.43  9/15/2026   49,079 
 22,490   SLM Student Loan Trust 2005-3 3 Month LIBOR + 0.09 (b)  2.43  10/25/2024   22,478 
 17,354   Soundview Home Loan Trust 2007-WMC1 1 Month LIBOR + 0.11 (b)  2.33  2/25/2037   7,827 
 7,760   Structured Adjustable Rate Mortgage Loan Trust (b)  4.28  9/25/2034   7,863 
 8,153   Structured Adjustable Rate Mortgage Loan Trust (b)  4.23  2/25/2034   8,293 
 12,180   Structured Adjustable Rate Mortgage Loan Trust Series 2005-19XS 1 Month LIBOR + 0.30 (b)  2.52  10/25/2035   12,216 
 7,166   Structured Asset Investment Loan Trust 2004-7 1 Month LIBOR + 1.05 (b)  3.27  8/25/2034   7,163 
 20,622   Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC2 1 Month LIBOR + 0.15 (b)  2.37  9/25/2036   19,477 
 18,897   WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust (b)  3.16  4/25/2037   16,957 
     TOTAL ASSET BACKED SECURUTIES (Cost - $1,116,945)         1,158,280 
                 
     CORPORATE BONDS - 8.6%           
     AEROSPACE/DEFENSE - 0.2%           
 50,000   Rockwell Collins, Inc.  3.50  3/15/2027   47,508 
                 
     AGRICULTURE - 0.5%           
 100,000   Philip Morris International, Inc.  6.38  5/16/2038   120,364 
 10,000   Reynolds American, Inc.  5.85  8/15/2045   10,875 
               131,239 
 C: 

 

 

     AIRLINES - 0.2%           
 43,196   Spirit Airlines Pass Through Trust 2015-1A  4.10  4/1/2028   43,034 
                 
     AUTO MANUFACTURERS - 0.8%           
 40,000   Ford Motor Credit Co. LLC  3.20  1/15/2021   39,407 
 20,000   General Motors Financial Co., Inc.  3.20  7/13/2020   19,942 
 50,000   General Motors Financial Co., Inc.  3.20  7/6/2021   49,375 
 100,000   Nissan Motor Acceptance Corp. 3 Month LIBOR + 0.89 (a,b)  3.23  1/13/2022   101,033 
               209,757 
     BANKS - 2.7%           
 100,000   Bank of America Corp. 3 Month LIBOR + 1.09 (b)  3.09  10/1/2025   95,262 
 11,000   Bank of America Corp. 3 Month LIBOR + 1.04 (b)  3.42  12/20/2028   10,324 
 14,000   Bank of America Corp.  4.00  4/1/2024   14,140 
 50,000   Citigroup, Inc.  2.65  10/26/2020   49,350 
 50,000   Deutsche Bank AG 3 Month LIBOR + 1.91(b)  4.25  5/10/2019   50,282 
 200,000   Development Bank of Japan, Inc. (a)  1.63  9/1/2021   190,772 
 10,000   Goldman Sachs Group, Inc. (The)  3.75  5/22/2025   9,801 
 15,000   Goldman Sachs Group, Inc. (The)  6.00  6/15/2020   15,679 
 25,000   JPMorgan Chase & Co.  3.88  2/1/2024   25,185 
 35,000   JPMorgan Chase & Co.  3.13  1/23/2025   33,574 
 50,000   JPMorgan Chase & Co.  3.90  7/15/2025   49,982 
 200,000   UBS Group Funding Switzerland AG (a)  2.65  2/1/2022   193,330 
               737,681 
     COMPUTERS - 0.2%           
 50,000   Dell International LLC / EMC Corp. (a)  5.45  6/15/2023   52,582 
                 
     ELECTRIC - 0.1%           
 30,000   Duke Energy Corp.  3.05  8/15/2022   29,393 
                 
     ENVIRONMENTAL CONTROL - 0.1%           
 25,000   Republic Services, Inc.  3.55  6/1/2022   24,994 
                 
     MEDIA - 0.3%           
 100,000   Charter Communications Operating LLC / Charter Communications Operating Capital  3.75  2/15/2028   92,085 
                 
     PHARMACEUTICALS - 0.9%           
 50,000   AbbVie, Inc.  2.85  5/14/2023   48,143 
 100,000   Shire Acquisitions Investments Ireland DAC  1.90  9/23/2019   98,931 
 100,000   Shire Acquisitions Investments Ireland DAC  2.40  9/23/2021   96,589 
               243,663 
     PIPELINES - 0.5%           
 23,000   Energy Transfer LP / Regency Energy Finance Corp.  4.50  11/1/2023   23,312 
 100,000   Sabine Pass Liquefaction LLC  5.75  5/15/2024   107,347 
               130,659 
     REGIONAL - 0.7%           
 200,000   Japan Finance Organization for Municipalities (a)  2.13  10/25/2023   187,047 
                 
     REAL ESTATE INVESTMENT TRUSTS - 0.6%           
 100,000   American Tower Corp.  2.25  1/15/2022   95,457 
 25,000   Digital Realty Trust LP  3.95  7/1/2022   25,156 
 30,000   Duke Realty LP  3.88  2/15/2021   30,268 
 10,000   Host Hotels & Resorts LP  4.00  6/15/2025   9,696 
               160,577 
     SOVEREIGN - 0.7%           
 200,000   Saudi Government International Bond (a)  4.00  4/17/2025   200,100 
                 
     TELECOMMUNICATIONS - 0.1%           
 30,000   AT&T, Inc. (a)  4.10  2/15/2028   29,125 
                 
     TOTAL CORPORATE BONDS (Cost - $2,365,887)         2,319,444 
                 
     MORTGAGE BACKED SECURITIES - 22.1%           
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 22.1%           
 300,000   Fannie Mae TBA +  3.00  5/25/2047   286,969 
 4,700,000   Fannie Mae TBA +  3.50  12/25/2046   4,625,094 
 800,000   Fannie Mae TBA +  4.00  11/1/2044   806,625 
 200,000   Fannie Mae TBA +  4.50  12/25/2045   206,312 
     TOTAL MORTGAGE BACKED SECURITIES (Cost - $5,957,063)         5,925,000 
 C: 

 

 

     COLLATERALIZED MORTGAGE OBLIGATIONS - 1.0%     
     AGENCY COLLATERAL - 1.0%           
 7,752   Government National Mortgage Association 1Month LIBOR + 0.50 (b)  2.58  3/20/2065   7,747 
 80,373   Government National Mortgage Association 1 Month LIBOR + 0.60 (b)  2.68  5/20/2065   81,397 
 81,780   Government National Mortgage Association 1 Month LIBOR + 0.62 (b)  2.70  8/20/2065   82,949 
 19,423   Government National Mortgage Association 1 Month LIBOR + 0.70 (b)  2.78  10/20/2065   19,468 
 80,724   Government National Mortgage Association 1 Month LIBOR + 1.00 (b)  3.08  12/20/2065   83,172 
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $270,199)   274,733 
                 
     COMMERCIAL MORTGAGE BACKED SECURITIES - 0.2%    
 56,932   Freddie Mac Multifamily Structured Pass Through Certificates 1 Month LIBOR + 0.70 (b) (Cost - $56,932)  2.81  9/25/2022   57,029 
                 
     U.S. TREASURY SECURITIES - 43.3%           
 100,000   United States Treasury Inflation Indexed Bond  2.38  1/15/2027   139,195 
 400,000   United States Treasury Inflation Indexed Note  0.50  1/15/2028   392,127 
 100,000   United States Treasury Inflation Indexed Note  0.75  7/15/2028   98,773 
 150,000   United States Treasury Inflation Indexed Note  0.63  1/15/2026   155,636 
 100,000   United States Treasury Bond  2.75  8/15/2047   91,582 
 50,000   United States Treasury Bond  2.75  11/15/2047   45,771 
 100,000   United States Treasury Bond  2.88  11/15/2046   94,047 
 500,000   United States Treasury Bond  3.00  5/15/2045   482,461 
 180,000   United States Treasury Bond  3.13  5/15/2048   177,602 
 230,000   United States Treasury Bond  4.25  5/15/2039   268,220 
 350,000   United States Treasury Bond  4.38  11/15/2039   415,311 
 100,000   United States Treasury Bond  4.50  8/15/2039   120,480 
 550,000   United States Treasury Bond  6.25  5/15/2030   720,307 
 700,000   United States Treasury Note  1.13  8/31/2021   665,711 
 200,000   United States Treasury Note  1.25  4/30/2019   198,617 
 100,000   United States Treasury Note  1.63  5/15/2026   90,461 
 1,500,000   United States Treasury Note  1.88  3/31/2022   1,448,555 
 500,000   United States Treasury Note  1.88  4/30/2022   482,441 
 100,000   United States Treasury Note  1.88  7/31/2022   96,215 
 100,000   United States Treasury Note  1.88  9/30/2022   96,031 
 100,000   United States Treasury Note  2.00  12/31/2021   97,215 
 500,000   United States Treasury Note  2.00  11/15/2026   462,578 
 200,000   United States Treasury Note  2.13  12/31/2022   193,508 
 110,000   United States Treasury Note  2.13  5/15/2025   104,152 
 650,000   United States Treasury Note  2.25  2/15/2027   611,838 
 2,700,000   United States Treasury Note  2.25  8/15/2027   2,532,094 
 500,000   United States Treasury Note  2.38  5/15/2027   474,707 
 900,000   United States Treasury Note  2.50  8/15/2023   881,719 
     TOTAL U.S. TREASURY SECURITIES (Cost - $12,037,563)     11,637,354 
                 
Contracts      Counterparty  Notional Value     
     PURCHASED OPTIONS ON INDICES - 0.6%           
 24   S&P 500 Index, December 2018, Put @ $1,925  Morgan Stanley  4,620,000   21,240 
 24   S&P 500 Index, December 2018, Put @ $2,200  Morgan Stanley  5,280,000   45,000 
 24   S&P 500 Index, December 2018, Put @ $2,475  Morgan Stanley  5,940,000   91,920 
 2   U.S. 5 Year Future, December 2018, Put @ $104.75  Goldman Sachs & Co.  209,500    
 6   U.S. 5 Year Future, December 2018, Put @ $105.75  Goldman Sachs & Co.  634,500    
 1   U.S. 5 Year Future, December 2018, Put @ $106.50  Goldman Sachs & Co.  106,500    
 2   U.S. 5 Year Future, December 2018, Put @ $108  Goldman Sachs & Co.  216,000    
 13   U.S. 5 Year Future, December 2018, Put @ $108.25  Goldman Sachs & Co.  1,407,250    
 12   U.S. 5 Year Future, December 2018, Put @ $108.50  Goldman Sachs & Co.  1,302,000    
 5   U.S. 10 Year Future, December 2018, Put @ $106  Goldman Sachs & Co.  530,000    
 2   U.S. 10 Year Future, December 2018, Put @ $127  Goldman Sachs & Co.  254,000    
 13   U.S. 10 Year Future, December 2018, Put @ $107  Goldman Sachs & Co.  1,391,000    
 2   U.S. 10 Year Future, December 2018, Put @ $107.50  Goldman Sachs & Co.  215,000    
 4   U.S. 10 Year Future, December 2018, Put @ $111  Goldman Sachs & Co.  444,000    
 2   U.S. Bond Future, December 2018, Put @ $180  Goldman Sachs & Co.  360,000    
     TOTAL PURCHASED OPTIONS ON INDICES (Cost - $321,410)   158,160 
                 
Shares               
     SHORT-TERM INVESTMENTS - 7.8%           
     MONEY MARKET FUND - 2.6%           
 699,276   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 1.92% (c)   699,276 
 C: 

 

 

Principal              
Amount      Coupon Rate (%)  Maturity    
     U.S. TREASURY BILLS - 5.2%           
$400,000   United States Treasury Bill  0.00  12/6/2018   398,451 
 1,000,000   United States Treasury Bill  0.00  12/13/2018   995,688 
               1,394,139 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $2,093,449)   2,093,415 
                 
     TOTAL INVESTMENTS - 117.8% (Cost - $30,826,002)     $31,663,808 
     OTHER ASSETS LESS LIABILITIES - NET - (17.8)%      (4,786,193)
     TOTAL NET ASSETS - 100.0%     $26,877,615 

 

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 September 30, 2018, these securities amounted to $1,198,196 or 4.5% of net assets.

 

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

 

Benchmark  Rate
1 Month USD LIBOR  2.26%
3 Month EUR EURIBOR  -0.35%
3 Month USD LIBOR  2.40%

 

(c) Money market rate shown represents the rate at September 30, 2018.

 

Principal              
Amount      Coupon Rate (%)  Maturity    
     SECURITIES SOLD SHORT - (0.2)%           
     U.S. TREASURY SECURITIES - (0.2)%           
$25,000   United States Treasury Bond  2.75  11/15/2047  $22,886 
 30,000   United States Treasury Bond  3.13  5/15/2048   29,600 
     TOTAL U.S. TREASURY SECURITIES (Cost - $53,902)      52,486 
                 
Contracts      Counterparty  Notional Value     
     OPTIONS WRITTEN ON FUTURES           
 2   US 10 Year Future, November 2018, Call @ $121  Goldman Sachs & Co.  242,000  $31 
 2   US 10 Year Future, November 2018, Put @ $119  Goldman Sachs & Co.  238,000   1,063 
     TOTAL OPTIONS WRITTEN ON FUTURES (Premiums Received - $969)  $1,094 
 C: 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018 (Unaudited)

 

   Number of            Unrealized Appreciation/ 
Description  Contracts  Expiration Date  Counterparty  Notional Amount   (Depreciation) 
SHORT FUTURES CONTRACTS             
90 Day Euro Future  32  December-20  Goldman Sachs  $7,746,800   $283 
Euro-Oat Future  2  December-18  Goldman Sachs   350,889    3,168 
U.S. 10 Year Ultra Future  1  December-18  Goldman Sachs   126,000    (209)
U.S. Long Bond (CBT) Future  9  December-18  Goldman Sachs   1,264,500    7,505 
                  10,747 
LONG FUTURES CONTRACTS            
90 Day Euro Future  11  December-18  Goldman Sachs   2,676,850    (8,600)
90 Day Euro Future  32  December-19  Goldman Sachs   7,748,800    (183)
S&P 500 E-Mini Future  83  December-18  Credit Suisse   12,113,850    61,835 
US 5 Year Note (CBT)  40  December-18  Goldman Sachs   4,499,063    (17,375)
                  35,677 
TOTAL NET UNREALIZED APPRECIATION OF FUTURES CONTRACTS       $46,424 
 C: 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018 (Unaudited)

 

INTEREST RATE SWAPTIONS PURCHASED

 

            Expiration  Notional           Unrealized 
Counterparty  Description  Exercise Rate     Date  Amount           Depreciation 
Barclays Bank PLC  Call - IRO USD 2 Year  1.85     12/31/2018  $1,800,000             $(5,632)
                                 
INTEREST RATE SWAPS
                                 
                         Premiums   Unrealized 
      Pay/Receive     Expiration  Notional        Paid/   Appreciation/ 
Counterparty  Floating Rate Index  Floating Rate  Fixed Rate  Date  Amount   Value   (Received)   (Depreciation) 
Goldman Sachs & Co.  3 Month USD - LIBOR*  Receive  2.25%  6/20/2028  $3,300,000    38,257   $   $38,257 
Goldman Sachs & Co.  6 Month GBP - LIBOR**  Receive  1.50%  3/20/2029   400,000    2,653        2,653 
Goldman Sachs & Co.  3 Month USD - LIBOR*  Receive  1.25%  6/21/2021   300,000    4,862        4,862 
Goldman Sachs & Co.  3 Month USD - LIBOR*  Receive  1.50%  6/21/2027   200,000    10,930        10,930 
Goldman Sachs & Co.  6 Month JPY - LIBOR**  Receive  0.75%  3/20/2038   20,000,000    (402,206)       (402,206)
Goldman Sachs & Co.  3 Month USD - LIBOR*  Receive  2.00%  12/16/2020   100,000    3,893        3,893 
Goldman Sachs & Co.  6 Month GBP - LIBOR**  Receive  2.05%  2/1/2037   200,000    (1,919)       (1,919)
Goldman Sachs & Co.  6 Month EUR - EURIBOR**  Pay  2.05%  2/3/2037   200,000    326        326 
Goldman Sachs & Co.  3 Month USD - LIBOR*  Receive  2.25%  12/21/2046   200,000    49,421        49,421 
Goldman Sachs & Co.  3 Month USD - LIBOR**  Receive  2.50%  12/20/2027   100,000    2,510        2,510 
Goldman Sachs & Co.  3 Month USD - LIBOR*  Receive  2.50%  6/15/2046   100,000    16,135        16,135 
                         $   $(275,138)

 

CREDIT DEFAULT SWAPS*

 

                          Premiums   Unrealized 
      Buy/Sell  Fixed Rate  Fixed Rate  Expiration  Notional       Paid/   Appreciation/ 
Counterparty  Index  Protection  Received  Paid  Date  Amount   Value   (Received)   (Depreciation) 
Goldman Sachs & Co.  North American Investment Grade CDX Index^  Sell  1.00%    6/20/2023  $1,000,000   $2,645   $367   $2,278 
Goldman Sachs & Co.  North American Investment Grade CDX Index#  Sell  1.00%    12/20/2023   5,100,000    5,878    533    5,345 
Goldman Sachs & Co.  North American High Yield CDX Index@  Sell  5.00%    6/20/2023   200,000    2,237    (1,139)   3,376 
                            $(239)  $10,999 
                                    
                            $(239)  $(269,771)

 

*Pays quarterly.

 

**Pays semiannually.

 

#The underlying holdings of this index can be found at https://www.markit.com/NewsInformation/NewsAnnouncementsFile?CMSID=128341388aab491f9df0a65e7e4b7073.

 

@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 2.40%
6 Month EUR EURIBOR -0.35%
6 Month GBP LIBOR 0.89%
6 Month JPY LIBOR 0.03%
 C: 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018 (Unaudited)

 

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:                         
10/2/2018  Barclays Bank PLC   76,000  EUR  $88,425   $88,274   $(151)
10/2/2018  Barclays Bank PLC   52,000  GBP   67,935    67,811    (124)
11/14/2018  Barclays Bank PLC   1,549,000  MXN   81,962    82,220    258 
11/15/2018  Barclays Bank PLC   13,721,990  RUB   199,594    208,499    8,905 
12/17/2018  Barclays Bank PLC   46,916,160  COP   15,483    15,775    292 
12/19/2018  Barclays Bank PLC   237,608,000  IDR   16,000    15,779    (221)
12/19/2018  Barclays Bank PLC   1,135,712  INR   16,000    15,510    (490)
                        8,469 
                          
To Sell:                         
10/2/2018  Barclays Bank PLC   13,000  EUR  $15,129   $15,100   $29 
11/15/2018  Barclays Bank PLC   13,797,170  RUB   203,503    209,641    (6,138)
                        (6,109)
                          
Net unrealized appreciation on forward foreign currency contracts   $2,360 

 

COP - Colombian Peso INR - Indian Rupee
   
EUR - Euro MXN - Mexican Peso
   
GBP - British Pound RUB - Russian Ruble
   
IDR - Indonesian Rupiah  
 C: 

 

 

Global Atlantic Select Advisor Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 17.1%     
     DEBT FUNDS - 6.6%     
 157,251   iShares Short-Term Corporate Bond ETF  $8,150,319 
           
     EQUITY FUNDS - 10.5%     
 45,226   iShares Core MSCI Emerging Markets ETF   2,341,802 
 67,341   iShares MSCI EAFE Value ETF   3,496,345 
 15,044   iShares Russell 1000 Growth ETF   2,346,563 
 27,410   iShares Russell 2000 ETF   4,619,956 
         12,804,666 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $18,791,422)   20,954,985 
           
     VARIABLE INSURANCE TRUSTS - 78.0%     
     DEBT FUND - 17.2%     
 1,670,000   MFS Total Return Bond Series - Initial Class   21,008,599 
           
     EQUITY FUNDS - 60.8%     
 263,251   American Century VP Mid Cap Value - Investor Class   5,680,954 
 884,468   American Century VP Value Fund - Class I   10,295,205 
 122,876   Invesco VI International Growth Fund - Class I   4,562,404 
 297,982   MFS Growth Series - Initial Class   16,576,754 
 87,590   MFS VIT II Blended Research Core Equity Portfolio - Initial Class   4,677,284 
 456,569   MFS VIT II International Value Portfolio - Initial Class   12,852,412 
 359,517   MFS VIT Mid Cap Growth Series - Initial Class   3,516,074 
 595,753   Putnam VT Equity Income - Class IA   16,204,495 
         74,365,582 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $81,819,209)   95,374,181 
           
     SHORT-TERM INVESTMENT - 0.1%     
     MONEY MARKET FUND - 0.1%     
 61,614   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.92% (a)(Cost - $61,614)   61,614 
           
     TOTAL INVESTMENTS - 95.2% (Cost - $100,672,245)  $116,390,780 
     OTHER ASSETS LESS LIABILITIES - NET - 4.8%   5,903,039 
     TOTAL NET ASSETS - 100.0%  $122,293,819 

 

ETF - Exchange Traded Fund

 

(a)Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic Wellington Research Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     COMMON STOCKS - 63.6%     
     ADVERTISING - 0.1%     
 22,406   Interpublic Group of Cos., Inc. (The)  $512,425 
           
     AEROSPACE/DEFENSE - 3.0%     
 13,508   Boeing Co. (The)   5,023,625 
 12,585   General Dynamics Corp.   2,576,401 
 9,845   Harris Corp.   1,665,872 
 12,218   Lockheed Martin Corp.   4,226,939 
 8,392   Moog, Inc.   721,460 
         14,214,297 
     AGRICULTURE - 1.7%     
 54,625   Altria Group, Inc.   3,294,434 
 16,551   Archer-Daniels-Midland Co.   832,019 
 64,583   British American Tobacco PLC - ADR   3,011,505 
 8,200   Philip Morris International, Inc.   668,628 
         7,806,586 
     AIRLINES - 0.2%     
 42,685   JetBlue Airways Corp. *   826,382 
 5,101   Spirit Airlines, Inc. *   239,594 
         1,065,976 
     APPAREL - 0.7%     
 24,309   NIKE, Inc.   2,059,458 
 6,990   Skechers U.S.A., Inc. *   195,231 
 19,133   Under Armour, Inc. - Cl. A *   406,002 
 38,506   Under Armour, Inc. - Cl. C *   749,327 
         3,410,018 
     BANKS - 2.6%     
 291,423   Bank of America Corp.   8,585,322 
 11,602   Capital One Financial Corp.   1,101,378 
 17,016   Northern Trust Corp.   1,737,844 
 17,160   Zions Bancorp NA   860,574 
         12,285,118 
     BEVERAGES - 1.1%     
 83,167   Coca-Cola Co. (The)   3,841,484 
 21,448   Monster Beverage Corp. *   1,249,989 
         5,091,473 
     BIOTECHNOLOGY - 0.9%     
 13,602   Aduro Biotech, Inc. *   99,975 
 2,585   Alnylam Pharmaceuticals, Inc. *   226,239 
 8,106   Aptinyx, Inc. *   234,750 
 4,581   Arcus Biosciences, Inc. *   63,859 
 3,036   Assembly Biosciences, Inc. *   112,757 
 3,464   Audentes Therapeutics, Inc. *   137,140 
 1,100   Biogen, Inc. *   388,641 
 9,767   Biohaven Pharmaceutical Holding Co. Ltd. *   366,751 
 1,880   BlueBird Bio, Inc. *   274,480 
 3,100   Calithera Biosciences, Inc. *   16,275 
 1,097   Celgene Corp. *   98,171 
 3,300   Clearside Biomedical, Inc. *   20,295 
 2,174   Five Prime Therapeutics, Inc. *   30,262 
 9,756   Forty Seven, Inc. *   145,560 
 14,950   GlycoMimetics, Inc. *   215,280 
 2,656   Incyte Corp. *   183,476 
 11,133   Karyopharm Therapeutics, Inc. *   189,595 
 1,870   Loxo Oncology, Inc. *   319,452 
 2,668   Neon Therapeutics, Inc. *   22,785 
 10,854   Otonomy, Inc. *   29,848 
 4,524   Radius Health, Inc. *   80,527 
 346   Regeneron Pharmaceuticals, Inc. *   139,798 
 15,838   Rigel Pharmaceuticals, Inc. *   50,840 
 5,577   Seattle Genetics, Inc. *   430,098 
 1,675   Spark Therapeutics, Inc. *   91,371 
 11,684   Syndax Pharmaceuticals, Inc. *   94,407 
         4,062,632 
 C: 

 

 

     BUILDING MATERIALS - 0.1%     
 308   Martin Marietta Materials, Inc.   56,041 
 2,038   Vulcan Materials Co.   226,626 
         282,667 
     CHEMICALS - 1.4%     
 8,746   Cabot Corp.   548,549 
 9,138   Celanese Corp.   1,041,732 
 23,691   DowDuPont, Inc.   1,523,568 
 6,820   FMC Corp.   594,568 
 12,264   PPG Industries, Inc.   1,338,370 
 6,077   Praxair, Inc.   976,756 
 4,168   Westlake Chemical Corp.   346,402 
         6,369,945 
     COMMERCIAL SERVICES - 2.0%     
 5,587   Equifax, Inc.   729,495 
 5,901   FleetCor Technologies, Inc. *   1,344,484 
 16,305   Global Payments, Inc.   2,077,257 
 23,535   IHS Markit Ltd. *   1,269,949 
 18,057   PayPal Holdings, Inc. *   1,586,127 
 3,422   Total System Services, Inc.   337,888 
 9,623   TransUnion   708,060 
 11,544   TriNet Group, Inc. *   650,158 
 3,723   WEX, Inc. *   747,429 
         9,450,847 
     COMPUTERS - 2.6%     
 2,435   Accenture PLC - Cl. A   414,437 
 48,844   Apple, Inc.   11,026,045 
 20,603   Genpact Ltd.   630,658 
         12,071,140 
     COSMETICS/PERSONAL CARE - 0.6%     
 97,725   Coty, Inc.   1,227,426 
 26,138   Unilever NV - ADR   1,451,966 
         2,679,392 
     DIVERSIFIED FINANCIAL SERVICES - 2.8%     
 4,900   Air Lease Corp.   224,812 
 2,238   Alliance Data Systems Corp.   528,526 
 14,760   American Express Co.   1,571,792 
 44,285   Blucora, Inc. *   1,782,471 
 18,781   Cohen & Steers, Inc.   762,696 
 25,189   OneMain Holdings, Inc. *   846,602 
 20,362   Raymond James Financial, Inc.   1,874,322 
 35,592   TD Ameritrade Holding Corp.   1,880,325 
 25,855   Visa, Inc. - Cl. A   3,880,577 
         13,352,123 
     ELECTRIC - 2.4%     
 16,092   Avangrid, Inc.   771,289 
 30,075   Edison International   2,035,476 
 32,308   Exelon Corp.   1,410,567 
 13,101   NextEra Energy, Inc.   2,195,728 
 46,895   NRG Energy, Inc.   1,753,873 
 18,029   PG&E Corp.   829,514 
 17,809   Sempra Energy   2,025,774 
         11,022,221 
 C: 

 

 

     ELECTRICAL COMPONENTS & EQUIPMENT - 0.1%     
 7,780   AMETEK, Inc.   615,554 
           
     ELECTRONICS - 0.6%     
 147,645   Flex Ltd. *   1,937,102 
 9,529   Fortive Corp.   802,342 
         2,739,444 
     ENGINEERING & CONSTRUCTION - 0.0% **     
 2,723   Jacobs Engineering Group, Inc.   208,310 
           
     ENTERTAINMENT - 0.0% **     
 4,668   Cinemark Holdings, Inc.   187,654 
           
     ENVIRONMENTAL CONTROL - 0.1%     
 13,112   Pentair PLC   568,405 
           
     FOOD - 1.4%     
 12,698   Fresh Del Monte Produce, Inc.   430,335 
 10,688   Hormel Foods Corp.   421,107 
 52,550   Hostess Brands, Inc. *   581,729 
 6,040   McCormick & Co., Inc.   795,770 
 21,746   Post Holdings, Inc. *   2,131,978 
 13,104   Sysco Corp.   959,868 
 35,118   US Foods Holding Corp. *   1,082,337 
         6,403,124 
     FOREST PRODUCTS & PAPER - 0.2%     
 19,407   International Paper Co.   953,854 
           
     HEALTHCARE-PRODUCTS - 3.3%     
 32,401   Abbott Laboratories   2,376,937 
 15,659   Baxter International, Inc.   1,207,152 
 88,104   Boston Scientific Corp. *   3,392,004 
 15,972   Danaher Corp.   1,735,518 
 40,445   Medtronic PLC   3,978,575 
 11,396   Thermo Fisher Scientific, Inc.   2,781,536 
         15,471,722 
     HEALTHCARE-SERVICES - 1.7%     
 10,519   HCA Healthcare, Inc.   1,463,403 
 24,669   UnitedHealth Group, Inc.   6,562,941 
         8,026,344 
     HOME BUILDERS - 0.1%     
 9,888   Installed Building Products, Inc. *   385,632 
           
     INSURANCE - 2.9%     
 4,420   Allstate Corp. (The)   436,254 
 39,707   American International Group, Inc.   2,114,001 
 11,181   Assurant, Inc.   1,206,989 
 37,457   Assured Guaranty Ltd.   1,581,809 
 29,522   Athene Holding Ltd. *   1,525,106 
 17,636   Hartford Financial Services Group, Inc. (The)   881,095 
 20,608   Marsh & McLennan Cos., Inc.   1,704,694 
 27,979   MetLife, Inc.   1,307,179 
 43,325   MGIC Investment Corp. *   576,656 
 9,265   Prudential Financial, Inc.   938,730 
 14,600   Trupanion, Inc.   521,658 
 18,806   Voya Financial, Inc.   934,094 
         13,728,265 
 C: 

 

 

     INTERNET - 6.9%     
 7,609   Alphabet, Inc. - Cl. A *   9,184,672 
 6,172   Amazon.com, Inc. *   12,362,516 
 22,390   eBay, Inc. *   739,318 
 15,624   Etsy, Inc. *   802,761 
 10,794   Expedia Group, Inc.   1,408,401 
 15,241   Facebook, Inc. - Cl. A *   2,506,535 
 19,353   GoDaddy, Inc. *   1,613,847 
 3,250   Netflix, Inc. *   1,215,922 
 1,844   Spotify Technology SA *   333,451 
 14,126   Wayfair, Inc. *   2,085,986 
         32,253,409 
     IRON/STEEL - 0.1%     
 998   ArcelorMittal - ADR *   30,798 
 6,252   Steel Dynamics, Inc.   282,528 
         313,326 
     LODGING - 0.4%     
 17,767   Hilton Worldwide Holdings, Inc.   1,435,218 
 14,468   MGM Resorts International   403,802 
         1,839,020 
     MACHINERY-CONTRUCTION & MINING - 0.2%     
 6,558   Caterpillar, Inc.   1,000,029 
           
     MACHINERY-DIVERSIFIED - 0.2%     
 2,309   AGCO Corp.   140,364 
 5,765   Deere & Co.   866,652 
         1,007,016 
     MEDIA - 1.7%     
 6,690   Charter Communications, Inc. *   2,180,137 
 108,316   Comcast Corp.   3,835,470 
 14,701   Liberty Media Corp-Liberty Formula One *   546,730 
 6,743   New York Times Co. (The)   156,100 
 11,117   Twenty-First Century Fox, Inc.   515,051 
 11,351   Viacom, Inc.   383,210 
 4,661   Walt Disney Co. (The)   545,057 
         8,161,755 
     MINING - 0.1%     
 6,783   Alcoa Corp. *   274,033 
 8,599   Freeport-McMoRan, Inc.   119,698 
 2,055   Southern Copper Corp.   88,653 
         482,384 
     MISCELLANEOUS MANUFACTURING - 0.9%     
 6,853   3M Co.   1,443,996 
 11,030   Eaton Corp. PLC   956,632 
 99,176   General Electric Co.   1,119,697 
 5,653   Illinois Tool Works, Inc.   797,751 
         4,318,076 
     OIL & GAS - 2.8%     
 6,234   Andeavor   956,919 
 7,198   Cabot Oil & Gas Corp.   162,099 
 22,720   Chevron Corp.   2,778,202 
 5,624   Concho Resources, Inc. *   859,066 
 4,916   Diamondback Energy, Inc.   664,594 
 33,732   Encana Corp.   442,227 
 1,134   EOG Resources, Inc.   144,664 
 61,541   Exxon Mobil Corp.   5,232,216 
 11,917   Marathon Petroleum Corp.   953,002 
 19,397   Newfield Exploration Co. *   559,216 
 4,818   Noble Energy, Inc.   150,273 
         12,902,478 
     OIL & GAS SERVICES - 0.5%     
 30,023   Baker Hughes a GE Co.   1,015,678 
 29,157   Halliburton Co.   1,181,733 
         2,197,411 
 C: 

 

 

     PACKAGING & CONTAINERS - 0.4%     
 17,800   Ardagh Group SA   297,082 
 31,667   Ball Corp.   1,393,031 
         1,690,113 
     PHARMACEUTICALS - 3.4%     
 4,678   Aerie Pharmaceuticals, Inc. *   287,931 
 17,855   Allergan PLC   3,401,020 
 23,597   Amneal Pharmaceuticals, Inc. *   523,617 
 58,686   AstraZeneca PLC - ADR   2,322,205 
 49,774   Bristol-Myers Squibb Co.   3,089,970 
 14,497   Coherus Biosciences, Inc. *   239,201 
 22,162   Dermira, Inc. *   241,566 
 5,400   Elanco Animal Health, Inc. *   188,406 
 3,722   G1 Therapeutics, Inc. *   194,623 
 3,700   Global Blood Therapeutics, Inc. *   140,600 
 3,089   Heron Therapeutics, Inc. *   97,767 
 13,613   Ironwood Pharmaceuticals, Inc. - Cl. A *   251,296 
 3,072   Jounce Therapeutics, Inc. *   19,968 
 7,118   Kala Pharmaceuticals, Inc. *   70,255 
 10,419   Momenta Pharmaceuticals, Inc. *   274,020 
 39,748   Mylan NV *   1,454,777 
 5,020   MyoKardia, Inc. *   327,304 
 3,910   Nektar Therapeutics *   238,354 
 10,783   Ra Pharmaceuticals, Inc. *   195,064 
 7,565   Revance Therapeutics, Inc. *   187,990 
 2,580   TESARO, Inc. *   100,646 
 73,548   Teva Pharmaceutical Industries Ltd. - ADR   1,584,224 
 15,851   Trevena, Inc. *   33,604 
 7,700   Tricida, Inc. *   235,235 
         15,699,643 
     PIPELINES - 0.4%     
 10,725   ONEOK, Inc.   727,048 
 24,111   TransCanada Corp.   975,531 
         1,702,579 
     REAL ESTATE INVESTMENT TRUSTS - 1.8%     
 8,253   Alexandria Real Estate Equities, Inc.   1,038,145 
 22,419   American Tower Corp.   3,257,481 
 9,569   Camden Property Trust   895,371 
 2,558   Equinix, Inc.   1,107,333 
 15,692   Outfront Media, Inc.   313,055 
 3,551   Public Storage   715,988 
 6,829   Simon Property Group, Inc.   1,207,026 
         8,534,399 
     RETAIL - 2.4%     
 7,121   Costco Wholesale Corp.   1,672,580 
 12,119   Freshpet, Inc. *   444,767 
 13,533   Lowe’s Cos, Inc.   1,553,859 
 16,122   McDonald’s Corp.   2,697,049 
 34,813   National Vision Holdings, Inc. *   1,571,459 
 11,694   Tapestry, Inc.   587,857 
 26,330   TJX Cos., Inc. (The)   2,949,487 
         11,477,058 
 C: 

 

 

     SEMICONDUCTORS - 2.8%           
 106,279   Advanced Micro Devices, Inc. *         3,282,958 
 10,176   Broadcom, Inc. *         2,510,724 
 38,214   Intel Corp.         1,807,140 
 4,821   KLA-Tencor Corp.         490,344 
 16,272   Marvell Technology Group Ltd.         314,050 
 17,251   Micron Technology, Inc. *         780,263 
 5,620   NVIDIA Corp.         1,579,332 
 34,704   Teradyne, Inc.         1,283,354 
 11,380   Texas Instruments, Inc.         1,220,960 
               13,269,125 
     SOFTWARE - 4.2%           
 2,417   Adobe Systems, Inc. *         652,469 
 679   Atlassian Corp. PLC *         65,279 
 2,873   Autodesk, Inc. *         448,504 
 7,686   Electronic Arts, Inc. *         926,086 
 5,111   Guidewire Software, Inc. *         516,262 
 87,543   Microsoft Corp.         10,012,293 
 3,728   PTC, Inc. *         395,876 
 11,889   Salesforce.com, Inc. *         1,890,708 
 3,119   ServiceNow, Inc. *         610,170 
 2,259   Splunk, Inc. *         273,136 
 50,266   SS&C Technologies Holdings, Inc.         2,856,617 
 6,350   Workday, Inc. *         926,973 
               19,574,373 
     TELECOMMUNICATIONS - 1.0%           
 90,135   Verizon Communications, Inc.         4,812,308 
                 
     TRANSPORTATION - 0.7%           
 1,317   FedEx Corp.         317,120 
 2,786   Kirby Corp. *         229,149 
 7,537   Norfolk Southern Corp.         1,360,429 
 8,385   Union Pacific Corp.         1,365,330 
               3,272,028 
     TRUCKING & LEASING - 0.1%           
 7,532   Greenbrier Cos, Inc. (The)         452,673 
                 
     TOTAL COMMON STOCKS (Cost - $226,874,334)   297,924,371 
                 
     PREFERRED STOCK - 0.0% **           
     TELECOMMUNICATIONS - 0.0% **           
 3,000   Verizon Communications, Inc.         76,230 
     TOTAL PREFERRED STOCK (Cost - $75,000)   76,230 
                 
Principal Amount      Coupon Rate (%)  Maturity   Value 
     ASSET BACKED SECURITIES - 3.1%           
$472,312   Ajax Mortgage Loan Trust 2017-B (a) ^  3.163  9/25/2056   471,314 
 375,000   ALM VI Ltd. 3 Month LIBOR + 1.40% (a) ^  3.748  7/15/2026   373,238 
 8,493   AmeriCredit Automobile Receivables Trust 2017-1  1.510  5/18/2020   8,487 
 31,826   AmeriCredit Automobile Receivables Trust 2017-2  1.650  9/18/2020   31,769 
 250,000   Apidos CLO  3.270  7/18/2027   249,754 
 350,000   Apidos CLO XXII 3 Month LIBOR + 2.05% (a) ^  4.398  10/20/2027   350,109 
 72,074   ARI Fleet Lease Trust 2017-A (a)  1.910  4/15/2026   71,646 
 125,000   ARI Fleet Lease Trust 2018-A (a)  2.550  10/15/2026   124,420 
 140,000   ARI Fleet Lease Trust 2018-B (a)  3.220  8/16/2027   139,996 
 345,000   Atlas Senior Loan Fund Ltd. 3 Month LIBOR + 1.30% (a) ^  3.639  1/16/2030   345,658 
 320,000   Avery Point IV CLO Ltd. 3 Month LIBOR + 1.60% (a) ^  3.935  4/25/2026   320,005 
 300,000   Ballyrock CLO 2016-1 Ltd. 3 Month LIBOR + 1.59% (a) ^  3.929  10/15/2028   300,914 
 246,150   Bayview Koitere Fund Trust 2017-RT4 (a) ^  3.500  7/28/2057   243,438 
 152,504   Bayview Opportunity Master Fund IVa Trust 2017-SPL1 (a) ^  4.000  10/28/2064   152,841 
 159,114   Bayview Opportunity Master Fund IVa Trust 2017-SPL5 (a) ^  3.500  6/28/2057   158,277 
 115,876   Bayview Opportunity Master Fund IVb Trust 2017-SPL3 (a) ^  4.000  11/28/2053   115,673 
 117,515   Bayview Opportunity Master Fund IVb Trust 2017-SPL4 (a) ^  3.500  1/28/2055   116,979 
 325,000   BlueMountain CLO 2015-3 Ltd. 3 Month LIBOR + 1.00% (a) ^  3.348  4/20/2031   323,614 
 125,000   Canadian Pacer Auto Receivables Trust2017-1 (a)  2.050  3/19/2021   124,062 
 220,545   Cent CLO 20 Ltd. 3 Month LIBOR + 1.10% (a) ^  3.435  1/25/2026   220,575 
 195,688   Chesapeake Funding II LLC (a)  1.910  8/15/2029   193,655 
 265,000   Chesapeake Funding II LLC (a)  3.230  8/15/2030   264,767 
 194,348   Chesapeake Funding II LLC 1 Month LIBOR + 0.45% (a) ^  2.608  5/15/2029   194,687 
 C: 

 

 

 187,419   Chesapeake Funding II LLC 1 Month LIBOR + 1.00% (a) ^  3.158  6/15/2028   188,029 
 350,000   CIFC Funding 2014-II-R Ltd. 3 Month LIBOR + 1.05% (a) ^  3.164  4/24/2030   349,021 
 61,366   CNH Equipment Trust 2015-C  1.660  11/16/2020   61,130 
 130,391   Enterprise Fleet Financing LLC (a)  1.970  1/20/2023   129,457 
 204,418   Enterprise Fleet Financing LLC (a)  2.130  5/22/2023   202,563 
 67,392   Finance of America Structured Securities Trust 2017-HB1 (a) ^  2.321  11/25/2027   67,189 
 114,242   First Investors Auto Owner Trust (a)  2.000  3/15/2022   113,509 
 19,043   First Investors Auto Owner Trust 2017-1 (a)  1.690  4/15/2021   18,997 
 33,317   First Investors Auto Owner Trust 2017-2 (a)  1.860  10/15/2021   34,804 
 280,000   Ford Credit Floorplan Master Owner Trust A  1.750  7/15/2021   277,256 
 100,000   Ford Credit Floorplan Master Owner Trust A (a)  2.090  3/15/2022   98,514 
 100,000   Ford Credit Floorplan Master Owner Trust A  2.310  2/15/2021   99,842 
 275,000   Galaxy XIX CLO Ltd. 3 Month LIBOR + 1.22% (a) ^  3.562  7/24/2030   275,364 
 175,000   GreatAmerica Leasing Receivables Funding LLC Series 2017-1 (a)  2.360  1/20/2023   172,665 
 100,000   GreatAmerica Leasing Receivables Funding LLC Series 2018-1 (a)  2.600  6/15/2021   99,082 
 100,000   GreatAmerica Leasing Receivables Funding LLC Series 2018-1 (a)  2.830  6/17/2024   98,641 
 250,000   KKR Clo 16 Ltd. 3 Month LIBOR + 1.49% (a) ^  3.838  1/20/2029   250,267 
 300,000   Madison Park Funding XI Ltd. 3 Month LIBOR + 1.16% (a) ^  3.507  7/23/2029   299,985 
 250,000   Madison Park Funding XV Ltd. 3 Month LIBOR + 1.50% (a) ^  3.837  1/27/2026   249,990 
 565,000   Madison Park Funding XVIII Ltd. 3 Month LIBOR + 1.19% (a) ^  3.537  10/21/2030   566,042 
 300,000   Madison Park Funding XXX Ltd. 3 Month LIBOR + 0.75% (a) ^  3.089  4/15/2029   297,217 
 535,000   Magnetite VII Ltd. 3 Month LIBOR +0.80% (a) ^  3.139  1/15/2028   531,861 
 255,000   Mercedes-Benz Master Owner Trust 2017-A 1 Month LIBOR + 0.30% (a) ^  2.458  5/16/2021   255,135 
 56,684   Mill City Mortgage Loan Trust 2016-1 (a) ^  2.500  4/25/2057   55,524 
 177,966   Mill City Mortgage Loan Trust 2017-3 (a) ^  2.750  1/25/2061   174,246 
 140,000   MMAF Equipment Finance LLC 2016-A (a)  2.210  12/15/2032   134,053 
 46,064   MMAF Equipment Finance LLC 2017-A (a)  1.730  5/18/2020   45,945 
 160,000   MMAF Equipment Finance LLC 2017-B (a)  2.210  10/17/2022   157,181 
 35,429   Nationstar HECM Loan Trust 2017-1 (a)  1.968  5/25/2027   35,361 
 47,547   Nationstar HECM Loan Trust 2017-2 (a) ^  2.038  9/25/2027   47,205 
 85,199   Nationstar HECM Loan Trust 2018-1 (a) ^  2.760  2/25/2028   85,188 
 195,000   OneMain Direct Auto Receivables Trust 2017-2 (a)  2.310  12/14/2021   193,930 
 380,000   OneMain Direct Auto Receivables Trust 2018-1 (a)  3.430  12/16/2024   379,518 
 100,000   OneMain Financial Issuance Trust 2016-1 (a)  3.660  2/20/2029   100,297 
 76,800   OneMain Financial Issuance Trust 2016-2 (a)  4.100  3/20/2028   77,155 
 100,000   OneMain Financial Issuance Trust 2017-1 (a)  2.370  9/14/2032   98,080 
 121,184   Securitized Term Auto Receivables Trust 2016-1 (a)  1.524  3/25/2020   120,716 
 105,000   Securitized Term Auto Receivables Trust 2017-2 (a)  2.040  4/26/2021   103,750 
 325,000   Shackleton 2015-VIII CLO Ltd. 3 Month LIBOR + 0.92% (a) ^  3.268  10/20/2027   324,419 
 176,481   Sofi Consumer Loan Program 2018-2 Trust (a)  2.930  4/26/2027   176,095 
 500,000   SOUND POINT CLO III-R LTD. 3 Month LIBOR + 0.95% (a) ^  3.298  4/15/2029   499,212 
 325,000   Sound Point Clo XII Ltd. 3 Month LIBOR + 1.66% (a) ^  4.008  10/20/2028   325,026 
 69,707   Springleaf Funding Trust 2015-A (a)  3.160  11/15/2024   69,713 
 190,000   Springleaf Funding Trust 2016-A (a)  2.900  11/15/2029   189,485 
 305,000   SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2016-T1 (a)  2.530  11/16/2048   304,968 
 118,400   Towd Point Mortgage Trust 2016-3 (a) ^  2.250  4/25/2056   117,592 
 205,830   Towd Point Mortgage Trust 2017-1 (a) ^  2.750  10/25/2056   204,896 
 70,941   Towd Point Mortgage Trust 2017-2 (a) ^  2.750  4/25/2057   70,767 
 204,326   Towd Point Mortgage Trust 2017-4 (a) ^  2.750  6/25/2057   198,524 
 89,871   Towd Point Mortgage Trust 2018-1 (a) ^  3.000  1/25/2058   88,321 
 129,924   United Auto Credit Securitization Trust 2017-1 (a)  2.400  11/12/2019   129,657 
 159,067   Vantage Data Centers Issuer LLC (a)  4.072  2/16/2043   159,510 
 105,000   Volvo Financial Equipment LLC Series 2017-1 (a)  1.920  3/15/2021   104,137 
 19,126   Westlake Automobile Receivables Trust 2017-1 (a)  1.780  4/15/2020   19,114 
 155,071   Wheels SPV 2 LLC (a)  1.880  4/20/2026   153,758 
     TOTAL ASSET BACKED SECURITIES (Cost - $14,664,126)         14,575,781 
 C: 

 

 

     CORPORATE BONDS - 12.5%           
     AEROSPACE/DEFENSE - 0.2%           
 100,000   BAE Systems Holdings, Inc. (a)  3.850  12/15/2025   98,098 
 485,000   General Dynamics Corp.  2.875  5/11/2020   483,828 
 100,000   Lockheed Martin Corp.  4.070  12/15/2042   97,204 
 50,000   Lockheed Martin Corp.  4.850  9/15/2041   53,740 
 125,000   Lockheed Martin Corp.  6.150  9/1/2036   152,004 
 150,000   United Technologies Corp.  3.950  8/16/2025   149,290 
               1,034,164 
     AGRICULTURE - 0.3%           
 670,000   BAT Capital Corp. (a)  3.557  8/15/2027   623,936 
 230,000   BAT International Finance PLC (a)  2.750  6/15/2020   227,601 
 20,000   BAT International Finance PLC (a)  3.500  6/15/2022   19,794 
 475,000   Imperial Brands Finance PLC (a)  3.750  7/21/2022   472,856 
               1,344,187 
                 
     AIRLINES - 0.0% **           
 35,000   United Airlines 2018-1 Class B Pass Through Trust  4.600  3/1/2026   34,931 
                 
     AUTO MANUFACTURERS - 0.4%           
 315,000   Daimler Finance North America LLC (a)  2.200  5/5/2020   309,356 
 280,000   Daimler Finance North America LLC (a)  2.300  2/12/2021   272,698 
 475,000   Ford Motor Co.  3.096  5/4/2023   445,897 
 600,000   General Motors Financial Co., Inc.  3.700  5/9/2023   586,245 
 120,000   General Motors Financial Co., Inc.  3.950  4/13/2024   116,706 
               1,730,902 
     BANKS - 3.6%           
 200,000   Banco Santander SA  3.125  2/23/2023   189,813 
 135,000   Bank of America Corp.  2.250  4/21/2020   133,275 
 640,000   Bank of America Corp.  2.625  10/19/2020   632,269 
 160,000   Bank of America Corp.  4.200  8/26/2024   160,748 
 345,000   Bank of America Corp. 3 Month LIBOR + 1.37% ^  3.593  7/21/2028   328,924 
 380,000   Bank of New York Mellon Corp. (The) 3 Month LIBOR + 1.05% ^  3.389  10/30/2023   387,584 
 300,000   Banque Federative du Credit Mutuel SA (a)  2.750  10/15/2020   295,710 
 100,000   Barclays Bank PLC  5.140  10/14/2020   102,470 
 405,000   Barclays PLC  3.200  8/10/2021   397,575 
 150,000   BB&T Corp.  2.450  1/15/2020   148,868 
 350,000   BB&T Corp.  3.200  9/3/2021   347,927 
 200,000   BNP Paribas SA (a)  3.375  1/9/2025   189,331 
 435,000   BNP Paribas SA (a)  3.500  11/16/2027   400,564 
 305,000   BPCE SA (a)  3.500  10/23/2027   277,951 
 600,000   BPCE SA (a)  5.150  7/21/2024   610,217 
 275,000   BPCE SA (a)  5.700  10/22/2023   286,611 
 105,000   Capital One Financial Corp.  4.200  10/29/2025   102,605 
 70,000   Citigroup, Inc.  3.300  4/27/2025   67,235 
 300,000   Citigroup, Inc.  3.500  5/15/2023   295,099 
 370,000   Citigroup, Inc. 3 Month LIBOR + 1.151% ^  3.520  10/27/2028   347,893 
 50,000   Citigroup, Inc.  4.050  7/30/2022   50,423 
 55,000   Citigroup, Inc.  5.500  9/13/2025   58,593 
 200,000   Credit Agricole SA (a)  4.375  3/17/2025   195,598 
 250,000   Credit Agricole SA/London (a)  3.750  4/24/2023   245,341 
 250,000   Credit Agricole SA/London (a)  3.250  10/4/2024   234,290 
 50,000   Credit Suisse AG/New York NY  5.400  1/14/2020   51,316 
 285,000   Credit Suisse Group AG (a)  3.574  1/9/2023   279,299 
 260,000   Credit Suisse Group AG 3 Month LIBOR + 1.24% (a) ^  3.574  6/12/2024   261,469 
 250,000   Credit Suisse Group Funding Guernsey Ltd.  3.125  12/10/2020   247,980 
 395,000   Credit Suisse Group Funding Guernsey Ltd.  3.800  9/15/2022   393,106 
 200,000   Danske Bank A/S (a)  3.875  9/12/2023   195,887 
 230,000   Deutsche Bank AG/New York NY  2.700  7/13/2020   225,300 
 230,000   Deutsche Bank AG/New York NY  3.150  1/22/2021   224,757 
 345,000   Deutsche Bank AG/New York NY  4.250  10/14/2021   342,833 
 525,000   Discover Bank  3.100  6/4/2020   521,694 
 130,000   Goldman Sachs Group, Inc. (The)  2.625  4/25/2021   127,326 
 460,000   Goldman Sachs Group, Inc. (The) 3 Month LIBOR + 1.201% ^  3.272  9/29/2025   439,531 
 200,000   Goldman Sachs Group, Inc. (The)  3.500  1/23/2025   193,730 
 C: 

 

 

 85,000   Goldman Sachs Group, Inc. (The)  4.750  10/21/2045   86,461 
 50,000   Goldman Sachs Group, Inc. (The)  6.750  10/1/2037   60,148 
 305,000   HSBC Holdings PLC  3.400  3/8/2021   304,406 
 200,000   HSBC Holdings PLC  3.600  5/25/2023   198,011 
 60,000   HSBC Holdings PLC  4.000  3/30/2022   60,734 
 200,000   HSBC Holdings PLC 3 Month LIBOR + 1.546% ^  4.041  3/13/2028   192,669 
 200,000   HSBC Holdings PLC 3 Month LIBOR + 1.535% ^  4.583  6/19/2029   200,003 
 250,000   Huntington Bancshares, Inc. (OH)  3.150  3/14/2021   247,834 
 250,000   Huntington National Bank (The)  2.400  4/1/2020   246,775 
 200,000   ING Groep NV  3.950  3/29/2027   191,967 
 400,000   JPMorgan Chase & Co.  2.950  10/1/2026   371,872 
 450,000   Macquarie Group Ltd. 3 Month LIBOR + 1.33% (a) ^  4.150  3/27/2024   448,106 
 70,000   Morgan Stanley  3.125  7/27/2026   65,216 
 300,000   Morgan Stanley  3.625  1/20/2027   288,082 
 110,000   Morgan Stanley  3.875  4/29/2024   109,500 
 455,000   Morgan Stanley  4.350  9/8/2026   451,490 
 900,000   NBK SPC Ltd. (a)  2.750  5/30/2022   866,250 
 400,000   PNC Bank NA  2.600  7/21/2020   397,134 
 50,000   PNC Financial Services Group, Inc. (The)  3.900  4/29/2024   49,750 
 120,000   Santander Holdings USA, Inc.  2.650  4/17/2020   118,457 
 75,000   Santander Holdings USA, Inc.  3.400  1/18/2023   72,325 
 465,000   Santander Holdings USA, Inc.  3.700  3/28/2022   459,282 
 200,000   Skandinaviska Enskilda Banken AB (a)  2.450  5/27/2020   197,329 
 350,000   State Street Corp.  3.550  8/18/2025   347,016 
 250,000   Synchrony Bank  3.650  5/24/2021   247,923 
 250,000   UBS Group Funding Switzerland AG (a)  2.950  9/24/2020   247,625 
 225,000   UBS Group Funding Switzerland AG (a)  3.000  4/15/2021   221,662 
 150,000   Wells Fargo & Co.  3.000  2/19/2025   141,989 
 35,000   Wells Fargo & Co.  4.100  6/3/2026   34,597 
 195,000   Wells Fargo & Co.  4.750  12/7/2046   194,252 
               17,110,007 
     BEVERAGES - 0.1%           
 260,000   Anheuser-Busch InBev Finance, Inc.  3.650  2/1/2026   252,641 
 305,000   Anheuser-Busch InBev Worldwide, Inc.  3.500  1/12/2024   301,825 
 55,000   Anheuser-Busch InBev Worldwide, Inc.  3.750  7/15/2042   47,643 
 60,000   Anheuser-Busch InBev Worldwide, Inc.  4.375  4/15/2038   57,738 
               659,847 
     BIOTECHNOLOGY - 0.2%           
 740,000   Amgen, Inc.  2.650  5/11/2022   718,675 
 130,000   Biogen, Inc.  2.900  9/15/2020   129,327 
 70,000   Celgene Corp.  3.550  8/15/2022   69,790 
 90,000   Gilead Sciences, Inc.  2.550  9/1/2020   89,095 
               1,006,887 
     CHEMICALS - 0.2%           
 575,000   CNAC HK Synbridge Co. Ltd.  5.000  5/5/2020   578,703 
 300,000   Nutrien Ltd.  3.150  10/1/2022   291,720 
               870,423 
     COMMERCIAL SERVICES - 0.2%           
 500,000   ERAC USA Finance, LLC (a)  3.300  10/15/2022   490,593 
 355,000   Total System Services, Inc.  3.800  4/1/2021   356,214 
               846,807 
     COMPUTERS - 0.1%           
 15,000   Apple, Inc.  2.450  8/4/2026   13,833 
 120,000   Apple, Inc.  3.000  2/9/2024   117,640 
 105,000   Apple, Inc.  3.250  2/23/2026   102,632 
               234,105 
     DIVERSIFIED FINANCIAL SERVICES - 0.2%           
 120,000   GTP Acquisition Partners I LLC (a)  2.350  6/15/2020   117,356 
 285,000   LeasePlan Corp NV (a)  2.875  1/22/2019   284,782 
 350,000   Private Export Funding Corp.  3.250  6/15/2025   348,363 
 155,000   Synchrony Financial  2.600  1/15/2019   154,873 
 15,000   Synchrony Financial  2.700  2/3/2020   14,832 
 205,000   Synchrony Financial  3.750  8/15/2021   203,612 
               1,123,818 
 C: 

 

 

     ELECTRIC - 1.6%           
 200,000   Appalachian Power Co.  3.400  6/1/2025   195,134 
 510,000   Cleveland Electric Illuminating Co. (The) (a)  3.500  4/1/2028   481,029 
 195,000   Dominion Energy, Inc.  2.579  7/1/2020   192,378 
 160,000   Dominion Energy, Inc. #  2.962  7/1/2019   159,920 
 230,000   Dominion Energy, Inc. #  4.104  4/1/2021   231,655 
 175,000   Duke Energy Carolinas LLC  6.100  6/1/2037   212,145 
 70,000   Duke Energy Corp.  2.650  9/1/2026   63,290 
 225,000   Duke Energy Corp.  3.750  4/15/2024   225,525 
 55,000   Emera US Finance LP  2.700  6/15/2021   53,392 
 140,000   Entergy Louisiana LLC  3.120  9/1/2027   131,978 
 175,000   Eversource Energy  2.900  10/1/2024   166,139 
 265,000   Fortis, Inc. (Canada)  3.055  10/4/2026   243,163 
 28,000   Georgia Power Co.  4.300  3/15/2042   26,590 
 65,000   Georgia Power Co.  4.750  9/1/2040   65,432 
 200,000   Infraestructura Energetica Nova SAB de CV (a)  4.875  1/14/2048   173,250 
 200,000   Oglethorpe Power Corp.  5.250  9/1/2050   213,109 
 51,000   Oncor Electric Delivery Co. LLC  2.950  4/1/2025   48,965 
 160,000   Oncor Electric Delivery Co. LLC  4.100  6/1/2022   163,478 
 75,000   Pacific Gas & Electric Co.  3.400  8/15/2024   71,571 
 10,000   Pacific Gas & Electric Co.  4.300  3/15/2045   9,153 
 65,000   Pacific Gas & Electric Co.  4.750  2/15/2044   63,257 
 60,000   Pacific Gas & Electric Co.  5.125  11/15/2043   61,527 
 295,000   Pacific Gas & Electric Co.  5.400  1/15/2040   315,047 
 270,000   Pacific Gas & Electric Co.  5.800  3/1/2037   301,183 
 65,000   Pacific Gas & Electric Co.  6.250  3/1/2039   74,922 
 15,000   Pacific Gas & Electric Co.  6.350  2/15/2038   17,536 
 50,000   PPL Capital Funding, Inc.  3.500  12/1/2022   49,495 
 326,000   SCANA Corp.  4.125  2/1/2022   321,495 
 695,000   SCANA Corp.  4.750  5/15/2021   698,757 
 300,000   SCANA Corp.  6.250  4/1/2020   307,676 
 160,000   South Carolina Electric & Gas Co.  3.500  8/15/2021   160,071 
 190,000   South Carolina Electric & Gas Co.  4.250  8/15/2028   189,235 
 50,000   South Carolina Electric & Gas Co.  4.600  6/15/2043   49,630 
 150,000   South Carolina Electric & Gas Co.  5.100  6/1/2065   150,238 
 40,000   South Carolina Electric & Gas Co.  6.625  2/1/2032   47,004 
 45,000   Southern California Edison Co.  3.700  8/1/2025   44,707 
 245,000   Southern California Edison Co.  6.650  4/1/2029   287,327 
 225,000   Southern Co. (The)  2.750  6/15/2020   222,806 
 290,000   Southern Co. (The)  2.950  7/1/2023   278,578 
 270,000   State Grid Overseas Investment 2016 Ltd. (a)  2.750  5/4/2022   261,032 
 270,000   State Grid Overseas Investment 2016 Ltd. (a)  3.500  5/4/2027   257,233 
               7,286,052 
     FOOD - 0.2%           
 55,000   Kraft Heinz Foods Co.  3.000  6/1/2026   50,204 
 165,000   Kraft Heinz Foods Co.  4.000  6/15/2023   165,470 
 375,000   Kraft Heinz Foods Co.  4.375  6/1/2046   331,199 
 375,000   Kroger Co. (The)  2.950  11/1/2021   369,046 
 240,000   Sigma Alimentos SA de CV (a)  4.125  5/2/2026   230,280 
               1,146,199 
     GAS - 0.1%           
 60,000   Boston Gas Co. (a)  3.150  8/1/2027   56,629 
 149,000   CenterPoint Energy Resources Corp.  4.500  1/15/2021   151,664 
 125,000   Dominion Energy Gas Holdings LLC  3.600  12/15/2024   121,994 
 275,000   KeySpan Gas East Corp. (a)  2.742  8/15/2026   253,078 
               583,365 
 C: 

 

 

     HEALTHCARE-PRODUCTS - 0.1%           
 325,000   Boston Scientific Corp.  3.375  5/15/2022   321,575 
                 
     HEALTHCARE-SERVICES - 0.6%           
 210,000   Aetna, Inc.  2.800  6/15/2023   201,213 
 75,000   Anthem, Inc.  3.500  8/15/2024   73,481 
 45,000   Anthem, Inc.  4.101  3/1/2028   44,321 
 90,000   Anthem, Inc.  4.375  12/1/2047   85,352 
 150,000   Anthem, Inc.  4.650  8/15/2044   147,592 
 15,000   Ascension Health  4.847  11/15/2053   16,490 
 191,000   Catholic Health Initiatives  2.950  11/1/2022   184,223 
 105,000   Catholic Health Initiatives  4.200  8/1/2023   105,734 
 95,000   Catholic Health Initiatives  4.350  11/1/2042   85,598 
 92,000   Dignity Health  3.812  11/1/2024   90,918 
 270,000   Dignity Health  4.500  11/1/2042   252,753 
 210,000   Halfmoon Parent, Inc. (a)  4.375  10/15/2028   209,388 
 295,000   Kaiser Foundation Hospitals  3.500  4/1/2022   295,574 
 50,000   Memorial Sloan-Kettering Cancer Center  5.000  7/1/2042   56,616 
 270,000   Mercy Health (OH)  3.555  8/1/2027   259,337 
 95,000   Providence St Joseph Health Obligated Group  3.930  10/1/2048   88,570 
 300,000   United Health Group, Inc.  2.875  3/15/2023   292,516 
 45,000   United Health Group, Inc.  3.350  7/15/2022   44,937 
 75,000   United Health Group, Inc.  3.750  7/15/2025   75,357 
 195,000   United Health Group, Inc.  3.850  6/15/2028   195,480 
               2,805,450 
     INSURANCE - 0.3%           
 50,000   American International Group, Inc.  4.875  6/1/2022   52,102 
 190,000   Berkshire Hathaway, Inc.  2.750  3/15/2023   185,564 
 50,000   Chubb INA Holdings, Inc.  2.300  11/3/2020   49,091 
 75,000   Chubb INA Holdings, Inc.  3.350  5/15/2024   73,750 
 250,000   Hartford Financial Services Group, Inc. (The)  5.500  3/30/2020   257,534 
 275,000   Jackson National Life Global Funding (a)  3.250  1/30/2024   267,267 
 195,000   Metropolitan Life Global Funding I (a)  2.650  4/8/2022   189,728 
 250,000   Metropolitan Life Global Funding I (a)  3.000  9/19/2027   233,538 
 150,000   Principal Financial Group, Inc.  3.400  5/15/2025   145,368 
               1,453,942 
     INTERNET - 0.3%           
 400,000   Alibaba Group Holding Ltd.  2.500  11/28/2019   397,919 
 270,000   Alibaba Group Holding Ltd.  3.400  12/6/2027   251,666 
 190,000   Amazon.com, Inc.  2.800  8/22/2024   183,316 
 100,000   Amazon.com, Inc.  4.250  8/22/2057   99,953 
 165,000   Amazon.com, Inc.  4.800  12/5/2034   180,000 
 215,000   Tencent Holdings Ltd. (a)  3.595  1/19/2028   203,500 
               1,316,354 
     LODGING - 0.0% **           
 225,000   Marriott International, Inc. (MD)  2.875  3/1/2021   221,606 
                 
     MEDIA - 0.4%           
 50,000   21st Century Fox America, Inc.  3.700  9/15/2024   50,160 
 175,000   Charter Communications Operating LLC  4.464  7/23/2022   177,930 
 45,000   Charter Communications Operating LLC  5.375  5/1/2047   42,638 
 15,000   Charter Communications Operating LLC  6.484  10/23/2045   16,125 
 138,000   Comcast Corp.  3.999  11/1/2049   122,812 
 15,000   Cox Communications, Inc. (a)  4.600  8/15/2047   14,028 
 275,000   Cox Communications, Inc. (a)  4.800  2/1/2035   256,669 
 15,000   Cox Communications, Inc. (a)  6.450  12/1/2036   16,364 
 100,000   NBCUniversal Media, LLC  2.875  1/15/2023   97,190 
 250,000   Sky PLC (a)  3.750  9/16/2024   249,342 
 375,000   Warner Media LLC  3.600  7/15/2025   359,338 
 475,000   Viacom, Inc.  4.250  9/1/2023   478,238 
               1,880,834 
 C: 

 

 

     MINING - 0.1%           
 275,000   Glencore Finance Canada Ltd. (a)  4.250  10/25/2022   276,933 
                 
     MISCELLANEOUS MANUFACTURING - 0.1%           
 250,000   Siemens Financieringsmaatschappij NV (a)  2.900  5/27/2022   245,167 
                 
     OIL & GAS - 0.6%           
 240,000   Anadarko Petroleum Corp.  4.850  3/15/2021   246,647 
 200,000   BG Energy Capital PLC (a)  4.000  10/15/2021   202,788 
 105,000   BP Capital Markets PLC  3.245  5/6/2022   104,315 
 20,000   ConocoPhillips Co.  4.950  3/15/2026   21,588 
 130,000   Marathon Oil Corp.  2.700  6/1/2020   128,317 
 95,000   Petroleos Mexicanos  5.375  3/13/2022   97,850 
 775,000   Petroleos Mexicanos  5.500  1/21/2021   799,730 
 140,000   Petroleos Mexicanos (a)  6.350  2/12/2048   128,240 
 175,000   Petroleos Mexicanos  6.750  9/21/2047   166,983 
 225,000   Pioneer Natural Resources Co.  7.500  1/15/2020   236,848 
 180,000   Shell International Finance BV  4.125  5/11/2035   182,300 
 230,000   Sinopec Group Overseas Development 2015 Ltd. (a)  2.500  4/28/2020   226,270 
 435,000   Sinopec Group Overseas Development 2017 Ltd. (a)  3.000  4/12/2022   422,438 
               2,964,314 
     OIL & GAS SERVICES - 0.0% **           
 110,000   Schlumberger Holdings Corp. (a)  3.000  12/21/2020   109,220 
                 
     PHARMACEUTICALS - 0.8%           
 20,000   Allergan Funding SCS  3.450  3/15/2022   19,866 
 550,000   Allergan Funding SCS  3.800  3/15/2025   538,584 
 50,000   Allergan Funding SCS  3.850  6/15/2024   49,455 
 60,000   Allergan Funding SCS  4.550  3/15/2035   58,363 
 100,000   Allergan Sales LLC (a)  5.000  12/15/2021   103,709 
 275,000   Bayer US Finance LLC (a)  2.375  10/8/2019   273,176 
 265,000   Bayer US Finance II LLC (a)  4.250  12/15/2025   263,371 
 155,000   Cardinal Health, Inc.  3.079  6/15/2024   146,422 
 170,000   Cardinal Health, Inc.  3.200  3/15/2023   165,197 
 35,000   Cardinal Health, Inc.  4.500  11/15/2044   31,201 
 250,000   CVS Health Corp.  4.000  12/5/2023   250,515 
 530,000   CVS Health Corp.  4.100  3/25/2025   528,581 
 55,000   CVS Health Corp.  4.875  7/20/2035   55,267 
 195,000   CVS Health Corp.  5.125  7/20/2045   200,467 
 95,000   EMD Finance LLC (a)  2.950  3/19/2022   92,602 
 195,000   Mylan, Inc (a)  4.550  4/15/2028   189,568 
 100,000   Mylan, Inc (a)  5.200  4/15/2048   92,412 
 60,000   Mylan NV  3.950  6/15/2026   56,756 
 123,000   Teva Pharmaceutical Finance Co BV  3.650  11/10/2021   119,139 
 330,000   Teva Pharmaceutical Finance Netherlands III BV  2.800  7/21/2023   293,846 
               3,528,497 
     PIPELINES - 0.3%           
 175,000   Columbia Pipeline Group, Inc.  4.500  6/1/2025   176,924 
 90,000   Energy Transfer Partners LP  7.600  2/1/2024   101,132 
 30,000   Energy Transfer Partners LP / Regency Energy Finance Corp.  4.500  11/1/2023   30,408 
 515,000   EQT Midstream Partners LP  4.750  7/15/2023   522,613 
 100,000   Phillips 66 Partners LP  3.605  2/15/2025   96,449 
 195,000   Sunoco Logistics Partners Operations LP  3.900  7/15/2026   184,991 
 55,000   Sunoco Logistics Partners Operations LP  4.400  4/1/2021   55,948 
 200,000   Western Gas Partners LP  4.000  7/1/2022   199,127 
               1,367,592 
     REAL ESTATE - 0.1%           
 425,000   WEA Finance LLC (a)  4.125  9/20/2028   421,147 
 C: 

 

 

     REAL ESTATE INVESTMENT TRUSTS - 0.6%           
 300,000   American Tower Corp.  3.450  9/15/2021   298,744 
 75,000   American Tower Corp.  4.400  2/15/2026   75,087 
 86,000   American Tower Corp.  5.000  2/15/2024   89,927 
 50,000   AvalonBay Communities, Inc.  2.950  9/15/2022   48,888 
 385,000   Brandywine Operating Partnership LP  3.950  11/15/2027   363,830 
 130,000   Crown Castle International Corp  3.650  9/1/2027   122,140 
 105,000   Crown Castle International Corp  3.800  2/15/2028   99,578 
 150,000   DDR Corp.  4.625  7/15/2022   153,370 
 75,000   HCP, Inc.  3.875  8/15/2024   73,333 
 200,000   HCP, Inc.  4.000  6/1/2025   196,361 
 155,000   SBA Tower Trust (a)  2.877  7/9/2021   152,400 
 50,000   SBA Tower Trust (a)  2.898  10/15/2019   49,611 
 255,000   SBA Tower Trust (a)  3.156  10/8/2020   251,178 
 155,000   SBA Tower Trust (a)  3.448  3/15/2023   152,750 
 260,000   Scentre Group Trust 1/Scentre Group Trust 2 (a)  2.375  11/5/2019   257,168 
 275,000   WEA Finance LLC / Westfield UK & Europe Finance PLC (a)  3.250  10/5/2020   274,121 
               2,658,486 
     RETAIL - 0.0% **           
 100,000   Home Depot, Inc. (The)  2.000  6/15/2019   99,635 
                 
     SEMICONDUCTORS - 0.1%           
 295,000   Broadcom Corp / Broadcom Cayman Finance Ltd.  3.625  1/15/2024   286,619 
 170,000   Microchip Technology, Inc. (a)  3.922  6/1/2021   169,004 
               455,623 
     SOFTWARE - 0.2%           
 235,000   Microsoft Corp.  2.400  8/8/2026   216,683 
 335,000   Microsoft Corp.  2.875  2/6/2024   327,497 
 120,000   Microsoft Corp.  3.700  8/8/2046   114,777 
 225,000   Oracle Corp.  2.800  7/8/2021   223,234 
 230,000   Oracle Corp.  3.250  11/15/2027   221,309 
               1,103,500 
     TELECOMMUNICATIONS - 0.3%           
 30,000   AT&T, Inc.  3.950  1/15/2025   29,538 
 200,000   AT&T, Inc. (a)  4.100  2/15/2028   194,165 
 20,000   AT&T, Inc.  4.500  5/15/2035   18,685 
 150,000   Crown Castle Towers LLC (a)  3.222  5/15/2022   146,215 
 410,000   Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC (a)  4.738  3/20/2025   409,816 
 609,000   Verizon Communications, Inc.  4.522  9/15/2048   579,144 
 100,000   Verizon Communications, Inc.  4.672  3/15/2055   94,011 
 4,000   Verizon Communications, Inc.  4.812  3/15/2039   4,032 
               1,475,606 
     TRANSPORTATION - 0.0% **           
 225,000   FedEx Corp.  8.000  1/15/2019   228,282 
                 
     TRUCKING & LEASING - 0.2%           
 150,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.200  7/15/2020   149,217 
 200,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.375  2/1/2022   197,202 
 345,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.950  3/10/2025   338,025 
 50,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  4.875  7/11/2022   51,536 
               735,980 
     WATER - 0.0% **           
 120,000   American Water Capital Corp.  2.950  9/1/2027   112,283 
                 
     TOTAL CORPORATE BONDS (Cost $60,095,432)         58,793,720 
                 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 0.2%           
     WHOLE LOAN COLLATERAL - 0.2%           
 78,294   Angel Oak Mortgage Trust LLC 2015-1 (a) ^  2.708  11/25/2047   77,582 
 140,725   COLT 2018-1 Mortgage Loan Trust (a) ^  2.930  2/25/2048   139,982 
 130,000   COLT 2018-3 Mortgage Loan Trust (a) ^  3.692  10/26/2048   130,231 
 37,130   Deephaven Residential Mortgage Trust 2017-1 (a) ^  2.725  12/26/2046   36,786 
 93,525   Deephaven Residential Mortgage Trust 2017-2 (a) ^  2.453  6/25/2047   91,904 
 88,619   Deephaven Residential Mortgage Trust 2017-3 (a) ^  2.577  10/25/2047   87,455 
 147,308   Deephaven Residential Mortgage Trust 2018-1 (a) ^  2.976  12/25/2057   145,958 
 153,071   MetLife Securitization Trust (a) ^  3.000  4/25/2055   149,966 
 197,864   New Residential Mortgage Loan Trust 2017-3 (a) ^  4.000  4/25/2057   198,890 
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $1,076,196)         1,058,754 
 C: 

 

 

     COMMERCIAL MORTGAGE BACKED SECURITIES - 2.5%           
 155,000   Banc of America Commercial Mortgage Trust 2015-UBS7  3.705  9/15/2048   155,034 
 185,000   BAMLL Commercial Mortgage Securities Trust 2018-PARK (a) ^  4.091  8/10/2038   188,789 
 195,000   CD 2017-CD4 Mortgage Trust ^  3.514  5/10/2050   191,350 
 525,000   Citigroup Commercial Mortgage Trust 2015-GC35  3.818  11/10/2048   527,410 
 87,433   COMM 2013-CCRE8 Mortgage Trust  3.334  6/10/2046   87,006 
 225,000   CSAIL 2015-C1 Commercial Mortgage Trust  3.505  4/15/2050   223,139 
 420,000   CSAIL 2015-C2 Commercial Mortgage Trust  3.504  6/15/2057   414,620 
 405,000   CSAIL 2015-C3 Commercial Mortgage Trust  3.718  8/15/2048   404,724 
 405,000   CSMC 17-LSTK A (a)  2.760  4/5/2033   398,091 
 195,535   Fannie Mae-Aces 1 Month LIBOR +0.400% ^  2.469  10/25/2024   195,639 
 78,108   Fannie Mae-Aces  2.654  4/25/2024   78,120 
 656,693   Fannie Mae REMICS  3.000  1/25/2045   641,526 
 510,147   Fannie Mae REMICS  3.000  12/25/2045   495,946 
 1,165,822   Fannie Mae REMICS  3.000  12/25/2054   1,132,262 
 392,000   Fannie Mae REMICS  3.500  2/1/2048   388,187 
 326,087   Fannie Mae REMICS  3.500  6/25/2044   324,440 
 1,151,267   Fannie Mae REMICS  3.500  1/25/2047   1,143,054 
 684,000   Fannie Mae REMICS  3.500  1/1/2048   681,008 
 465,000   Fannie Mae Multifamily Remic Trust 2015-M12 ^  2.886  5/25/2025   447,744 
 705,778   Freddie Mac REMICS  1.750  9/15/2042   650,371 
 873,186   Freddie Mac REMICS  3.000  6/15/2045   853,132 
 576,300   Freddie Mac REMICS  3.000  7/15/2047   561,116 
 105,000   FREMF 2010-K7 Mortgage Trust (a) ^  5.686  4/25/2020   107,791 
 75,000   FREMF 2013-K712 Mortgage Trust (a) ^  3.473  5/25/2045   74,716 
 45,000   FREMF 2013-K713 Mortgage Trust (a) ^  3.263  4/25/2046   44,762 
 300,000   GS Mortgage Securities Trust 2015-GS1  3.734  11/10/2048   299,268 
 100,000   JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1  3.914  1/15/2049   100,941 
 100,000   SFAVE Commercial Mortgage Securities Trust 2015-5AVE (a) ^  4.144  1/5/2043   94,936 
 250,000   Wells Fargo Commercial Mortgage Trust 2015-NXS1  3.148  5/15/2048   242,685 
 400,000   Wells Fargo Commercial Mortgage Trust 2017-C38  3.453  7/15/2050   389,344 
     TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $11,865,285)         11,537,151 
                 
     AGENCY MORTGAGE BACKED SECURITIES - 7.5%           
     FEDERAL HOME LOAN MORTGAGE CORP. - 4.0%           
 18,289   Freddie Mac Gold Pool  2.500  10/1/2028   17,811 
 88,505   Freddie Mac Gold Pool  2.500  12/1/2031   85,445 
 9,685   Freddie Mac Gold Pool  3.000  9/1/2028   9,585 
 200,000   Freddie Mac Gold Pool +  3.000  3/15/2032   197,000 
 40,217   Freddie Mac Gold Pool  3.000  2/1/2043   38,553 
 1,834,880   Freddie Mac Gold Pool  3.000  9/1/2046   1,758,725 
 1,358,853   Freddie Mac Gold Pool +  3.000  11/1/2046   1,302,461 
 2,890,125   Freddie Mac Gold Pool  3.000  12/1/2046   2,768,378 
 555,864   Freddie Mac Gold Pool  3.000  12/1/2046   532,468 
 889,117   Freddie Mac Gold Pool  3.000  12/1/2046   851,650 
 358,291   Freddie Mac Gold Pool +  3.000  12/1/2046   343,416 
 177,305   Freddie Mac Gold Pool  3.000  1/1/2047   169,833 
 735,412   Freddie Mac Gold Pool  3.000  2/1/2047   704,422 
 205,889   Freddie Mac Gold Pool  3.000  3/1/2047   197,208 
 478,675   Freddie Mac Gold Pool  3.000  12/1/2047   458,211 
 101,167   Freddie Mac Gold Pool  3.500  11/1/2034   100,589 
 30,501   Freddie Mac Gold Pool  3.500  10/1/2043   30,256 
 1,610,000   Freddie Mac Gold Pool +  3.500  10/15/2046   1,584,341 
 2,404,151   Freddie Mac Gold Pool  3.500  8/1/2047   2,367,326 
 1,584,759   Freddie Mac Gold Pool  3.500  10/1/2047   1,560,471 
 2,967,177   Freddie Mac Gold Pool  3.500  9/1/2048   2,921,847 
 21,571   Freddie Mac Gold Pool  4.000  8/1/2044   21,816 
 525,000   Freddie Mac Gold Pool +  4.000  6/15/2046   530,086 
 175,000   Freddie Mac Gold Pool +  4.500  1/15/2046   180,578 
 50,000   Freddie Mac Gold Pool +  5.000  5/15/2040   52,492 
 50,000   Freddie Mac Gold Pool +  5.500  7/15/2039   53,211 
               18,838,179 
 C: 

 

 

    FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.9%          
 149,314   Fannie Mae Pool  2.470  5/1/2025   142,698 
 25,189   Fannie Mae Pool  2.500  4/1/2028   24,466 
 56,641   Fannie Mae Pool  2.500  2/1/2030   54,800 
 114,274   Fannie Mae Pool  2.500  6/1/2030   110,561 
 243,422   Fannie Mae Pool  2.500  10/1/2031   234,878 
 162,487   Fannie Mae Pool  2.500  12/1/2031   156,775 
 600,000   Fannie Mae Pool +  2.500  5/25/2032   578,625 
 310,000   Fannie Mae Pool  2.680  5/1/2025   299,477 
 400,000   Fannie Mae Pool  2.810  7/1/2025   389,151 
 108,529   Fannie Mae Pool  2.990  10/1/2025   106,736 
 15,679   Fannie Mae Pool  3.000  10/1/2028   15,511 
 1,475,000   Fannie Mae Pool +  3.000  3/25/2032   1,456,562 
 80,581   Fannie Mae Pool  3.000  7/1/2043   77,803 
 1,818,290   Fannie Mae Pool  3.000  1/1/2046   1,740,745 
 1,681,636   Fannie Mae Pool  3.000  10/1/2046   1,611,768 
 52,450   Fannie Mae Pool  3.090  10/1/2025   51,870 
 200,000   Fannie Mae Pool +  3.500  6/25/2028   200,969 
 2,530,000   Fannie Mae Pool  3.500  12/25/2046   2,489,678 
 1,067,538   Fannie Mae Pool  3.500  12/1/2047   1,051,115 
 100,000   Fannie Mae Pool +  4.000  12/25/2025   101,953 
 36,152   Fannie Mae Pool  4.000  11/1/2043   36,581 
 647,856   Fannie Mae Pool  4.000  1/1/2046   655,227 
 697,590   Fannie Mae Pool  4.000  2/1/2046   705,520 
 675,000   Fannie Mae Pool +  4.500  12/25/2045   696,305 
 375,000   Fannie Mae Pool +  5.000  2/25/2040   393,633 
 300,000   Fannie Mae Pool +  5.500  5/25/2039   320,109 
 75,000   Fannie Mae Pool +  6.000  9/25/2038   81,258 
               13,784,774 
     GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.6%           
 41,333   Ginnie Mae II Pool  3.000  12/20/2042   40,338 
 45,107   Ginnie Mae II Pool  3.500  7/20/2043   45,151 
 16,873   Ginnie Mae II Pool  4.000  12/20/2044   17,278 
 2,125,000   Ginnie Mae II Pool  4.000  8/20/2046   2,160,528 
 350,000   Ginnie Mae II Pool +  4.500  2/20/2045   361,648 
 50,000   Ginnie Mae I Pool +  5.000  9/15/2040   52,000 
 100,000   Ginnie Mae II Pool +  5.000  3/20/2041   104,375 
               2,781,318 
                 
     TOTAL AGENCY MORTGAGE BACKED SECURITIES (Cost - $36,349,017)         35,404,271 
                 
     MUNICIPAL SECURITIES - 1.0%           
 115,000   Bay Area Toll Authority  7.043  4/1/2050   168,467 
 90,000   Chicago O’Hare International Airport  6.395  1/1/2040   115,618 
 190,000   Chicago Transit Authority  6.300  12/1/2021   198,479 
 320,000   Chicago Transit Authority  6.899  12/1/2040   406,759 
 315,000   County of Sacramento CA  5.730  8/15/2023   333,339 
 190,000   Kansas Development Finance Authority  4.927  4/15/2045   204,096 
 135,000   Kansas Development Finance Authority  5.371  5/1/2026   143,049 
 120,000   Long Island Power Authority  3.883  9/1/2024   119,521 
 100,000   Metropolitan Transportation Authority  6.814  11/15/2040   131,852 
 146,000   Municipal Electric Authority of Georgia  6.637  4/1/2057   172,219 
 70,000   Municipal Electric Authority of Georgia  6.655  4/1/2057   82,849 
 85,000   New Jersey Economic Development Authority  3.882  6/15/2019   85,341 
 525,000   New York State Urban Development Corp  2.100  3/15/2022   514,411 
 35,000   Port Authority of New York & New Jersey  4.810  10/15/2065   38,201 
 120,000   Regents of the University of California Medical Center Pooled Revenue  6.548  5/15/2048   157,145 
 20,000   Regents of the University of California Medical Center Pooled Revenue  6.583  5/15/2049   26,219 
 120,000   San Jose Redevelopment Agency Successor Agency  3.375  8/1/2034   111,152 
 265,000   State of California  7.350  11/1/2039   372,163 
 25,000   State of California  7.600  11/1/2040   37,156 
 410,000   State of Connecticut  2.990  1/15/2023   398,077 
 675,000   State of Illinois  5.100  6/1/2033   647,831 
 35,000   University of California  3.931  5/15/2045   33,839 
     TOTAL MUNICIPAL SECURITIES (Cost - $4,468,991)         4,497,783 
 C: 

 

 

    SOVEREIGN DEBT - 0.7%          
 320,000   Export-Import Bank of Korea  1.750  5/26/2019   317,532 
 204,000   Japan Bank for International Cooperation  2.125  6/1/2020   200,839 
 272,000   Japan Bank for International Cooperation  2.250  2/24/2020   269,212 
 655,000   Qatar Government International Bond (a)  2.375  6/2/2021   636,699 
 200,000   Qatar Government International Bond (a)  3.875  4/23/2023   201,400 
 200,000   Qatar Government International Bond (a)  5.103  4/23/2048   208,000 
 825,000   Qatar Government International Bond (a)  5.250  1/20/2020   846,335 
 330,000   Saudi Government International Bond (a)  2.875  3/4/2023   318,714 
 200,000   Saudi Government International Bond (a)  4.000  4/17/2025   200,100 
     TOTAL SOVEREIGN DEBT (Cost - $3,210,693)         3,198,831 
                 
     U.S. TREASURY SECURITIES - 4.2%           
 230,000   United States Treasury Bond  2.500  2/15/2046   200,729 
 805,000   United States Treasury Bond  2.500  5/15/2046   701,985 
 525,000   United States Treasury Bond  2.750  2/15/2028   511,855 
 910,000   United States Treasury Bond  2.750  8/15/2047   833,396 
 235,000   United States Treasury Bond  2.875  5/15/2028   231,457 
 690,000   United States Treasury Bond  3.000  11/15/2044   666,039 
 765,000   United States Treasury Bond  3.000  5/15/2047   736,791 
 440,000   United States Treasury Bond  3.000  2/15/2048   423,448 
 525,000   United States Treasury Bond  3.125  5/15/2048   518,007 
 4,315,000   United States Treasury Inflation Index Note  0.375  1/15/2027   4,297,116 
 1,689,176   United States Treasury Inflation Index Note  0.500  1/15/2028   1,655,930 
 485,000   United States Treasury Note  1.250  3/31/2021   466,301 
 200,000   United States Treasury Note  1.625  8/31/2022   190,406 
 235,000   United States Treasury Note  1.750  12/31/2020   229,419 
 450,000   United States Treasury Note  1.750  6/30/2022   431,455 
 75,000   United States Treasury Note  2.000  11/30/2020   73,673 
 3,815,000   United States Treasury Note  2.500  2/15/2045   3,341,254 
 470,000   United States Treasury Note  2.625  6/30/2023   463,317 
 1,372,000   United States Treasury Note  2.750  11/15/2047   1,255,970 
 545,000   United States Treasury Note  2.875  8/15/2045   513,194 
 315,000   United States Treasury Note  3.000  8/15/2048   303,151 
 1,580,000   United States Treasury Note  3.375  5/15/2044   1,629,190 
 5,000   United States Treasury Note  3.625  8/15/2043   5,365 
 5,000   United States Treasury Note  3.750  11/15/2043   5,475 
     TOTAL U.S. TREASURY SECURITIES (Cost - $20,510,449)         19,684,923 
                 
Shares               
     SHORT-TERM INVESTMENTS - 3.1%           
     MONEY MARKET FUND - 3.1%           
                 
 14,448,571   Fidelity Investments Money Market - Government Portfolio, Institutional Class to yield 1.92% (b)     
     TOTAL SHORT-TERM INVESTMENTS (Cost - $14,448,571)   14,448,571 
                 
     TOTAL INVESTMENTS - 98.4% (Cost - $393,638,094)  $461,200,386 
     OTHER ASSETS LESS LIABILITIES - NET - 1.6%   7,634,709 
     TOTAL NET ASSETS - 100.0%  $468,835,095 

 

+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  2.260%
3 Month LIBOR  2.398%

 

#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 September 30, 2018, these securities amounted to $35,788,744 or 7.6% of net assets.

 

(b)Money market rate shown represents the rate at September 30, 2018.

 

 C: 

 

 

Global Atlantic Wellington Research Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2018 (Unaudited)

 

SHORT FUTURES CONTRACTS        
         
   Number of            Unrealized 
Description  Contracts  Expiration Date  Counterparty  Notional Amount   Appreciation 
US 10 Year Ultra Future  63  12/19/2018  Credit Suisse  $7,938,000   $109,191 
TOTAL NET UNREALIZED APPRECIATION ON FUTURES CONTRACTS 
  
LONG FUTURES CONTRACTS       
                  
   Number of            Unrealized 
Description  Contracts  Expiration Date  Counterparty  Notional Amount   Depreciation 
US 5 Year Future  72  12/31/2018  Credit Suisse  $8,098,313   $(57,875)
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS 
 C: 

 

 

Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio

PORTFOLIO OF INVESTMENTS

September 30, 2018 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 56.1%     
     DEBT FUNDS - 37.3%     
 42   iShares Core U.S. Aggregate Bond ETF  $4,432 
 120   iShares Short-Term Corporate Bond ETF   6,219 
         10,651 
           
     EQUITY FUNDS - 18.8%     
 11   iShares Core MSCI Emerging Markets ETF   570 
 4   iShares Core S&P 500 ETF   1,171 
 17   iShares MSCI EAFE Value ETF   883 
 8   iShares Russell 2000 ETF   1,348 
 12   iShares S&P 500 Value ETF   1,390 
         5,362 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $15,348)   16,013 
           
     VARIABLE INSURANCE TRUSTS - 41.8%     
     DEBT FUNDS - 23.1%     
 118   American Funds Insurance Series® - U.S. Government/AAA-Rated Securities Fund - Class I   1,401 
 117   BlackRock High Yield VI Fund - Class I   849 
 346   MFS Total Return Bond Series - Initial Shares   4,359 
         6,609 
           
     EQUITY FUNDS - 18.7%     
 79   American Funds Insurance Series® - Blue Chip Income and Growth Fund - Class I   1,150 
 25   MFS Growth Series - Initial Shares   1,386 
 90   MFS VIT III Mid Cap Value Portfolio - Initial Shares   788 
 10   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   880 
 474   Oppenheimer International Growth Fund - Non-Service Shares   1,129 
         5,333 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $11,615)   11,942 
           
     SHORT-TERM INVESTMENT - 2.2%     
     MONEY MARKET FUND - 2.2%     
 629   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.92% (a)(Cost - $629)   629 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $27,592)  $28,584 
     LIABILITIES LESS OTHER ASSETS - NET - (0.1)%   (37)
     TOTAL NET ASSETS - 100.0%  $28,547 

 

ETF - Exchange Traded Fund

 

(a)Money market rate shown represents the rate at September 30, 2018.
 C: 

 

 

Global Atlantic Wilshire Dynamic Growth Allocation Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2018 (Unaudited)

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 58.6%     
     DEBT FUNDS - 15.7%     
 13   iShares Core U.S. Aggregate Bond ETF  $1,372 
 35   iShares Short-Term Corporate Bond ETF   1,814 
         3,186 
     EQUITY FUNDS - 42.9%     
 9   iShares Core MSCI EAFE ETF   577 
 14   iShares Core MSCI Emerging Markets ETF   725 
 8   iShares Core S&P 500 ETF   2,342 
 28   iShares MSCI EAFE Value ETF   1,454 
 11   iShares Russell 2000 ETF   1,854 
 15   iShares S&P 500 Value ETF   1,738 
         8,690 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $10,751)   11,876 
           
     VARIABLE INSURANCE TRUSTS - 39.9%     
     DEBT FUNDS - 5.8%     
 50   American Funds Insurance Series® - U.S. Government/AAA-Rated Securities Fund - Class I   593 
 46   MFS Total Return Bond Series - Initial Shares   575 
         1,168 
           
     EQUITY FUNDS - 34.1%     
 111   American Funds Insurance Series® - Blue Chip Income and Growth Fund - Class 1   1,619 
 32   MFS Growth Series - Initial Shares   1,759 
 127   MFS VIT III Mid Cap Value Portfolio - Initial Shares   1,110 
 12   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   1,038 
 585   Oppenheimer International Growth Fund - Non-Service Shares   1,392 
         6,918 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $7,603)   8,086 
           
     SHORT-TERM INVESTMENT - 1.8%     
     MONEY MARKET FUND - 1.8%     
 363   Fidelity Investments Money Market Funds - Government Portfolio, Institutional Class to yield 1.92% (a)(Cost - $363)   363 
           
     TOTAL INVESTMENTS - 100.3% (Cost - $18,717)  $20,325 
     LIABILITIES LESS OTHER ASSETS - NET - (0.3)%   (59)
     TOTAL NET ASSETS - 100.0%  $20,266 

 

ETF - Exchange Traded Fund

 

(a)Money market rate shown represents the rate at September 30, 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 Portfolios are investment companies and accordingly follow 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 (“ETFs”). 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, an ETF has 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.

 C: 

 

 

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 September 30, 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  $228,650,871   $   $   $228,650,871 
Short Term Investment   12,250            12,250 
Total  $228,663,121   $   $   $228,663,121 
                     
Global Atlantic Balanced Managed Risk Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $87,115,301   $   $   $87,115,301 
Short Term Investment   9,246            9,246 
Total  $87,124,547   $   $   $87,124,547 
                     
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio 
   
Assets  Level 1   Level 2   Level 3   Total 
Variable Insurance Trusts  $256,685,640   $   $   $256,685,640 
Short Term Investment   26,232            26,232 
Total  $256,711,872   $   $   $256,711,872 
                     
                     
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio 
   
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $211,191,939   $   $   $211,191,939  
Asset Backed Securities       18,066,226        18,066,226 
Corporate Bonds       25,631,467        25,631,467 
Municipal Bond       86,636        86,636 
Term Loans       4,140,105        4,140,105 
Mortgage Backed Securities       17,243,784        17,243,784 
Commercial Mortgage Obligation       268,801        268,801 
Sovereign Debt       678,873        678,873 
U.S. Treasury Securities       8,852,294        8,852,294 
Short Term Investment   6,736,769            6,736,769 
Total  $217,928,708   $74,968,186   $   $292,896,894 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts  $23,522   $   $   $23,522 
Swap Contracts       1,821        1,821 
Forward Foreign Currency Contracts       47,186        47,186 
Total  $23,522   $49,007   $   $72,529 
 C: 

 

 

Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio   
    
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $12,714,133   $   $   $12,714,133 
U.S. Treasury Note       13,309,827        13,309,827 
Short Term Investment   6,683,848            6,683,848 
Total  $19,397,981   $13,309,827   $   $32,707,808 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Futures Contracts  $36,360   $   $   $36,360 
Total  $36,360   $   $   $36,360 
                     
Global Atlantic Growth Managed Risk Portfolio     
      
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $464,318,550   $   $   $464,318,550 
Short Term Investment   2,977            2,977 
Total  $464,321,527   $   $   $464,321,527 
                     
Global Atlantic Moderate Growth Managed Risk Portfolio     
      
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $145,092,545   $   $   $145,092,545 
Short Term Investment   19,768            19,768 
Total  $145,112,313   $   $   $145,112,313 
                     
Global Atlantic Motif Technological Innovations Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $184,715   $   $   $184,715 
Money Market Fund   835            835 
Total  $185,550   $   $   $185,550 
 C: 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio  
   
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $8,040,393   $   $   $8,040,393 
Asset Backed Securities       1,158,280        1,158,280 
Corporate Bonds       2,319,444        2,319,444 
Mortgage Backed Securities       5,925,000        5,925,000 
Collateralized Mortgage Obligation       274,733        274,733 
Commercial Mortgage Backed Securities       57,029        57,029 
U.S. Treasury Securities       11,637,354        11,637,354 
Purchased Options   158,160            158,160 
Short Term Investment   699,276    1,394,139        2,093,415 
Forward Foreign Currency Contracts       2,360        2,360 
Futures Contracts   46,424            46,424 
Total  $8,944,253   $22,768,339   $   $31,712,592 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
U.S. Treasury Securities - Short  $   $52,486   $   $52,486 
Options Written on Futures Contracts  $1,094   $   $    1,094 
Swap Contracts       269,771        269,771 
Total  $1,094   $322,257   $   $323,351 
                     
Global Atlantic Select Advisor Managed Risk Portfolio       
        
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $20,954,985   $   $   $20,954,985 
Variable Insurance Trusts   95,374,181            95,374,181 
Short Term Investment   61,614            61,614 
Total  $116,390,780   $   $   $116,390,780 
                     
Global Atlantic Wellington Research Managed Risk Portfolio    
     
Assets  Level 1   Level 2   Level 3   Total 
Common Stock  $297,924,371   $   $   $297,924,371 
Preferred Stock       76,230        76,230 
Asset Backed Securities       14,575,781        14,575,781 
Corporate Bonds       58,793,720        58,793,720 
Collateralized Mortgage Obligation       1,058,754        1,058,754 
Commercial Mortgage Backed Securities       11,537,151        11,537,151 
Mortgage Backed Securities       35,404,271        35,404,271 
Municipal Securities       4,497,783        4,497,783 
Sovereign Debt       3,198,831        3,198,831 
U.S. Treasury Securities       19,684,923        19,684,923 
Futures Contracts   51,316            51,316 
Short Term Investment   14,448,571            14,448,571 
Total  $312,424,258   $148,827,444   $   $461,251,702 
 C: 

 

 

Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio   
    
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $16,013   $   $   $16,013 
Variable Insurance Trusts   11,942            11,942 
Short Term Investment   629            629 
Total  $28,584   $   $   $28,584 
                     
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio     
      
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $11,876   $   $   $11,876 
Variable Insurance Trusts   8,086            8,086 
Short Term Investment   363            363 
Total  $20,325   $   $   $20,325 

 

*Cumulative net appreciation/(depreciation) on futures contracts and forward foreign exchange 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 and Global Atlantic Wilshire Dynamic Growth Allocation Portfolio. Transfers that were made into Level 2 represent securities being fair valued using observable inputs, per the Valuation Policy. It is the Portfolios’ policy to record transfers between Level 1 and Level 2 securities at the end of the reporting period.

 

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 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)

 

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

 C: 

 

 

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, including ETFs, 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.

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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.

 

Certain Portfolios 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.

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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 September 30, 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’

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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 fixed income 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.

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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 developments 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.

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Aggregate Tax Unrealized Appreciation and Depreciation – At September 30, 2018 the aggregate cost for federal tax purposes, which differs from fair value by net unrealized appreciation/(depreciation) of securities, are as follows:

 

               Net Unrealized 
       Gross Unrealized   Gross Unrealized   Appreciation/ 
Portfolio  Tax Cost   Appreciation   Depreciation   (Depreciation) 
Global Atlantic American Funds® Managed Risk Portfolio  $215,424,646   $15,304,751   $(2,066,276)  $13,238,475 
Global Atlantic Balanced Managed Risk Portfolio   77,191,914    10,544,643    (612,010)   9,932,633 
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio   252,240,651    4,471,221        4,471,221 
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio   232,641,563    66,279,345    (6,024,014)   60,255,331 
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio   30,881,458    2,012,503    (186,153)   1,826,350 
Global Atlantic Growth Managed Risk Portfolio   376,257,135    89,157,998    (1,093,606)   88,064,392 
Global Atlantic Moderate Growth Managed Risk Portfolio   123,842,148    21,975,912    (705,747)   21,270,165 
Global Atlantic Motif Technological Innovations Portfolio   117,180    71,369    (2,999)   68,370 
Global Atlantic PIMCO Tactical Allocation Portfolio   30,875,892    1,497,422    (763,086)   734,336 
Global Atlantic Select Advisor Managed Risk Portfolio   101,130,611    16,428,620    (1,168,451)   15,260,169 
Global Atlantic Wellington Research Managed Risk Portfolio   394,730,512    77,444,458    (10,974,584)   66,469,874 
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio   27,601    1,528    (545)   983 
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio   18,991    1,381    (47)   1,334 

 

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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 11/28/2018

 

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 11/28/2018

 

By (Signature and Title)

/s/ Laura Szalyga

Laura Szalyga, Treasurer

 

Date 11/28/2018

 

 


Dates Referenced Herein   and   Documents Incorporated by Reference

This ‘N-Q’ Filing    Date    Other Filings
Filed on / Effective on:11/29/18N-Q
For Period End:9/30/18N-Q
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