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Document/Exhibit Description Pages Size 1: N-Q Quarterly Schedule of Portfolio Holdings of a HTML 685K Management Investment Company 2: EX-99.C6 OTHER OPIN Miscellaneous Exhibit HTML 16K
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: 631-470-2619
Date of fiscal year end: 12/31
Date of reporting period: 9/30/2016
EXPLANATORY NOTE
This Registrant is filing this amendment (“Amendment”) to its Form N-Q for the period ended September 30, 2016 (the “Report”) to reflect changes to the Report for the schedule of portfolio investments under Item 1 originally filed with the Securities and Exchange Commission on November 23, 2016 (Accession Number 0001580642-16-012237) for the following series of the Forethought Variable Insurance Trust:
Global Atlantic American Funds® Managed Risk Portfolio
Global Atlantic Balanced Managed Risk Portfolio
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Global Atlantic Growth Managed Risk Portfolio
Global Atlantic Moderate Growth Managed Risk Portfolio
Global Atlantic PIMCO Tactical Allocation Portfolio
Global Atlantic Select Advisor Managed Risk Portfolio
Global Atlantic Wellington Research Managed Risk
Except as otherwise noted above, the Report was accurate, timely distributed to shareholders, as applicable, and contained all information required per Form N-Q.
Item 1. Schedule of Investments.
Global Atlantic American Funds® Managed Risk Portfolio^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
VARIABLE INSURANCE TRUSTS- 89.3% | ||||||||
DEBT FUND - 29.6% | ||||||||
5,784,009 | American Funds Insurance Series - Bond Fund - Class 1 | $ | 65,127,936 | |||||
EQUITY FUNDS - 59.7% | ||||||||
2,956,361 | American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1 | 38,935,270 | ||||||
1,576,112 | American Funds Insurance Series - Global Growth and Income Fund - Class 1 | 20,899,243 | ||||||
355,118 | American Funds Insurance Series - Growth Fund - Class 1 | 23,615,343 | ||||||
1,092,942 | American Funds Insurance Series - Growth-Income Fund - Class 1 | 47,783,406 | ||||||
131,233,262 | ||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $201,245,928) | 196,361,198 | |||||||
SHORT-TERM INVESTMENTS - 10.7% | ||||||||
MONEY MARKET FUND - 10.7% | ||||||||
23,550,512 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $23,550,512) | 23,550,512 | ||||||
TOTAL INVESTMENTS - 100.0% (Cost - $224,796,440)(b) | $ | 219,911,710 | ||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.0)% * | (113,386 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 219,798,324 |
* | Represents less than 0.05% |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $226,405,500 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 2,015,918 | ||
Unrealized Depreciation: | (8,509,708 | ) | ||
Net Unrealized Depreciation: | $ | (6,493,790 | ) |
^ | Formerly FVIT American Funds® Managed Risk Portfolio. |
Global Atlantic Balanced Managed Risk Portfolio^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 92.1% | ||||||||
DEBT FUNDS - 47.6% | ||||||||
260,849 | iShares Core U.S. Aggregate Bond ETF | $ | 29,324,645 | |||||
183,029 | iShares Floating Rate Bond ETF | 9,288,722 | ||||||
92,165 | iShares Intermediate Credit Bond ETF | 10,262,573 | ||||||
48,875,940 | ||||||||
EQUITY FUNDS - 44.5% | ||||||||
168,852 | iShares Core S&P 500 ETF | 36,735,441 | ||||||
15,138 | iShares Core S&P Mid-Cap ETF | 2,342,000 | ||||||
82,354 | iShares MSCI EAFE ETF | 4,869,592 | ||||||
14,127 | iShares Russell 2000 ETF | 1,754,715 | ||||||
45,701,748 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $90,128,986) | 94,577,688 | |||||||
SHORT-TERM INVESTMENT - 8.0% | ||||||||
MONEY MARKET FUND - 8.0% | ||||||||
8,243,368 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $8,243,368) | 8,243,368 | ||||||
TOTAL INVESTMENTS - 100.1% (Cost - $98,372,354)(b) | $ | 102,821,056 | ||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.1)% | (135,859 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 102,685,197 |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $98,622,598 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 4,555,527 | ||
Unrealized Depreciation: | (357,069 | ) | ||
Net Unrealized Depreciation: | $ | 4,198,458 |
^ | Formerly FVIT Balanced Managed Risk Portfolio. |
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
VARIABLE INSURANCE TRUST - 95.1% | ||||||||
ASSET ALLOCATION FUND - 95.1% | ||||||||
17,131,396 | BlackRock Global Allocation V.I. Fund - Class 1 (Cost - $290,104,976 ) | $ | 269,134,232 | |||||
SHORT-TERM INVESTMENTS - 4.9% | ||||||||
MONEY MARKET FUND - 4.9% | ||||||||
13,858,591 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $13,858,591) | 13,858,591 | ||||||
TOTAL INVESTMENTS - 100.0% (Cost - $303,963,567)(b) | $ | 282,992,823 | ||||||
OTHER ASSETS LESS LIABILITIES -NET - (0.0)% * | (88,607 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 282,904,216 |
* | Represents less than 0.05%. |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $304,228,279 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | — | ||
Unrealized Depreciation: | (21,235,456 | ) | ||
Net Unrealized Depreciation: | $ | (21,235,456 | ) |
^ | Formerly FVIT BlackRock Global Allocation Managed Risk Portfolio. |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 68.6% | ||||||||
AEROSPACE/DEFENSE - 3.3% | ||||||||
19,570 | General Dynamics Corp. | $ | 3,036,481 | |||||
39,600 | United Technologies Corp. | 4,023,360 | ||||||
7,059,841 | ||||||||
AGRICULTURE - 2.4% | ||||||||
60,760 | Archer-Daniels-Midland Co. | 2,562,249 | ||||||
43,400 | Bunge, Ltd. | 2,570,582 | ||||||
5,132,831 | ||||||||
APPAREL - 1.0% | ||||||||
41,940 | Nike, Inc. | 2,208,141 | ||||||
BEVERAGES - 1.4% | ||||||||
28,000 | PepsiCo, Inc. | 3,045,560 | ||||||
CHEMICALS - 6.8% | ||||||||
30,700 | Air Products & Chemicals, Inc. | 4,615,438 | ||||||
61,100 | Albemarle Corp. | 5,223,439 | ||||||
37,850 | Praxair, Inc. | 4,573,416 | ||||||
14,412,293 | ||||||||
COMMERCIAL SERVICES - 2.1% | ||||||||
12,300 | Cintas Corp. | 1,384,980 | ||||||
15,700 | Ecolab, Inc. | 1,911,004 | ||||||
20,400 | Matthews International Corp. | 1,239,504 | ||||||
4,535,488 | ||||||||
COMPUTERS - 1.9% | ||||||||
33,300 | Accenture PLC | 4,068,261 | ||||||
COSMETICS/PERSONAL CARE - 2.5% | ||||||||
29,200 | Colgate-Palmolive Co. | 2,164,888 | ||||||
35,800 | The Procter & Gamble Co. | 3,213,050 | ||||||
5,377,938 | ||||||||
DISTRIBUTION/WHOLESALE - 0.9% | ||||||||
8,100 | WW Grainger, Inc. | 1,821,204 | ||||||
ELECTRONICS- 3.9% | ||||||||
40,660 | Honeywell International, Inc. | 4,740,549 | ||||||
77,076 | Johnson Controls International PLC | 3,586,341 | ||||||
8,326,890 |
FOOD- 0.8% | ||||||||
16,260 | McCormick & Co., Inc. | 1,624,699 | ||||||
HEALTHCARE-PRODUCTS - 8.6% | ||||||||
47,100 | Abbott Laboratories | 1,991,859 | ||||||
25,600 | Becton Dickinson and Co. | 4,601,088 | ||||||
16,600 | DENTSPLY Sirona, Inc. | 986,538 | ||||||
52,000 | Medtronic PLC | 4,492,800 | ||||||
38,100 | Stryker Corp. | 4,435,221 | ||||||
25,000 | West Pharmaceutical Services, Inc. | 1,862,500 | ||||||
18,370,006 | ||||||||
HOME FURNISHINGS- 0.4% | ||||||||
16,900 | Legget & Platt, Inc. | 770,302 | ||||||
INSURANCE - 1.0% | ||||||||
15,600 | Aflac, Inc. | 1,121,172 | ||||||
6,593 | Chubb, Ltd. | 828,410 | ||||||
3,200 | RLI Corp. | 218,752 | ||||||
2,168,334 | ||||||||
IRON/STEEL - 0.3% | ||||||||
13,610 | Nucor Corp. | 673,015 | ||||||
MACHINERY-DIVERSIFIED - 2.4% | ||||||||
28,340 | Roper Technologies, Inc. | 5,171,200 | ||||||
MEDIA - 0.7% | ||||||||
29,040 | John Wiley & Sons, Inc. | 1,498,754 | ||||||
MISCELLANEOUS MANUFACTURING - 5.0% | ||||||||
19,080 | Carlisle Cos., Inc. | 1,957,036 | ||||||
40,900 | Donaldson Co., Inc. | 1,526,797 | ||||||
44,400 | Dover Corp. | 3,269,616 | ||||||
61,370 | Pentair PLC | 3,942,409 | ||||||
10,695,858 | ||||||||
OIL & GAS - 2.2% | ||||||||
9,900 | Chevron Corp. | 1,018,908 | ||||||
6,500 | EOG Resources, Inc. | 628,615 | ||||||
22,300 | ExxonMobil Corp. | 1,946,344 | ||||||
13,500 | Occidental Petroleum Corp. | 984,420 | ||||||
4,578,287 | ||||||||
OIL & GAS SERVICES - 1.4% | ||||||||
38,000 | Schlumberger, Ltd. | 2,988,320 |
PHARMACEUTICALS - 3.7% | ||||||||
22,560 | AbbVie, Inc. | 1,422,859 | ||||||
34,400 | Johnson & Johnson | 4,063,672 | ||||||
15,500 | Perrigo Co. PLC | 1,431,115 | ||||||
26,900 | Roche Holding AG - ADR | 833,093 | ||||||
7,750,739 | ||||||||
RETAIL - 8.7% | ||||||||
24,290 | CVS Health Corp. | 2,161,567 | ||||||
19,870 | McDonald’s Corp. | 2,292,203 | ||||||
42,000 | Ross Stores, Inc. | 2,700,600 | ||||||
35,600 | Target Corp. | 2,445,008 | ||||||
52,690 | The Gap, Inc. | 1,171,826 | ||||||
17,300 | Tiffany & Co. | 1,256,499 | ||||||
30,870 | Walgreens Boots Alliance, Inc. | 2,488,739 | ||||||
28,900 | Wal-Mart Stores, Inc. | 2,084,268 | ||||||
20,300 | Yum! Brands, Inc. | 1,843,443 | ||||||
18,444,153 | ||||||||
SEMICONDUCTORS - 3.7% | ||||||||
47,400 | Linear Technology Corp. | 2,810,346 | ||||||
21,700 | QUALCOMM, Inc. | 1,486,450 | ||||||
50,300 | Texas Instruments, Inc. | 3,530,054 | ||||||
7,826,850 | ||||||||
SOFTWARE - 2.4% | ||||||||
89,410 | Microsoft Corp. | 5,150,016 | ||||||
TRANSPORTATION - 1.1% | ||||||||
20,510 | United Parcel Service, Inc. | 2,242,974 | ||||||
TOTAL COMMON STOCKS (Cost - $133,504,347) | 145,941,954 | |||||||
MUTUAL FUND - 23.9% | ||||||||
DEBT FUND - 23.9% | ||||||||
5,056,059 | Franklin Templeton Total Return Fund - R6 Shares (Cost - $50,771,242) | 50,813,390 |
SHORT-TERM INVESTMENT - 7.7% | ||||||||
MONEY MARKET FUND - 7.7% | ||||||||
16,353,985 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $16,353,985) | 16,353,985 | ||||||
TOTAL INVESTMENTS - 100.2% (Cost - $200,629,574)(b) | $ | 213,109,329 | ||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.2)% | (388,257 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 212,721,072 |
ADR - American Depositary Receipt |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $200,763,978 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 16,922,792 | ||
Unrealized Depreciation: | (4,443,037 | ) | ||
Net Unrealized Appreciation: | $ | 12,479,755 |
^ | Formerly FVIT Franklin Dividend and Income Managed Risk Portfolio. |
Contracts | Unrealized Appreciation | |||||||
SHORT FUTURES CONTRACTS | ||||||||
10 | MSCI EAFE Index Mini Future December 2016 | |||||||
(Underlying Face Amount at Value $853,350) | $ | 6,750 | ||||||
11 | MSCI Emerging Market E-Mini Future December 2016 | |||||||
(Underlying Face Amount at Value $501,875) | 2,955 | |||||||
NET UNREALIZED APPRECIATION ON SHORT FUTURES CONTRACTS | $ | 9,705 |
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 29.9% | ||||||||
EQUITY FUNDS - 29.9% | ||||||||
9,471 | iShares Core S&P 500 ETF | $ | 2,060,511 | |||||
8,363 | SPDR S&P 500 ETF Trust | 1,808,917 | ||||||
24,537 | Vanguard S&P 500 ETF | 4,875,257 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost $8,070,284) | 8,744,685 |
Principal | ||||||||||||
Amount | Coupon Rate (%) | Maturity | ||||||||||
U.S. TREASURY NOTE - 43.7% | ||||||||||||
$ | 12,328,000 | United States Treasury Note (Cost $12,528,417) | 2.13 | 5/15/2025 | 12,800,735 | |||||||
Contracts | ||||||||||||
PURCHASED OPTIONS - 0.2% | ||||||||||||
24 | FTSE 100 Index, November 2016, Put @ $6,100 | 4,055 | ||||||||||
10 | S&P 500 Index, November 2016, Put @ $1,950 | 6,300 | ||||||||||
38 | S&P 500 Index, December 2016, Put @ $1,925 | 42,750 | ||||||||||
1 | S&P 500 Index, December 2016, Put @ $1,950 | 1,325 | ||||||||||
TOTAL PURCHASED OPTIONS (Cost - $66,644) | 54,430 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 24.7% | ||||||||||||
MONEY MARKET FUND - 12.3% | ||||||||||||
3,615,553 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a) | 3,615,553 | ||||||||||
Principal | ||||||||||||
Amount | Coupon Rate (%)(b) | Maturity | ||||||||||
U.S. GOVERNMENT AGENCY - 12.4% | ||||||||||||
$ | 1,458,000 | Fannie Mae Discount Notes | 0.36 | 3/1/2017 | 1,455,798 | |||||||
727,000 | Federal Home Loan Bank Discount Notes | 0.28 | 12/23/2016 | 726,539 | ||||||||
1,456,000 | Freddie Mac Discount Notes | 0.43 | 4/6/2017 | 1,452,748 | ||||||||
3,635,085 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $7,250,638) | 7,250,638 | |||||||||||
TOTAL INVESTMENTS - 98.5% (Cost - $27,915,984)(c) | $ | 28,850,488 | ||||||||||
OTHER ASSETS LESS LIABILITIES - NET - 1.5% | 438,741 | |||||||||||
TOTAL NET ASSETS - 100.0% | $ | 29,289,229 |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents discount rate at time of purchase. |
(c) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes, including options written, is $27,913,131 and differs from fair value by net unrealized appreciation/(depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 948,598 | ||
Unrealized Depreciation: | (13,729 | ) | ||
Net Unrealized Appreciation: | $ | 934,869 |
^ | Formerly FVIT Goldman Sachs Dynamic Trends Allocation Portfolio. |
Contracts | Options Written | Value | ||||||
24 | FTSE 100 Index, October 2016, Call @ $7,200 | $ | 780 | |||||
48 | S&P 500 Index, November 2016, Call @ $2,300 | 1,680 | ||||||
1 | S&P 500 Index, November 2016, Call @ $2,325 | 28 | ||||||
TOTAL OPTIONS WRITTEN (Premiums received - $4,031) | $ | 2,488 |
Unrealized Appreciation/ | ||||||||
Contracts | (Depreciation) | |||||||
LONG FUTURES CONTRACTS | ||||||||
25 | FTSE 100 Index Future December 2016 | |||||||
(Underlying Face Amount at Value $2,228,345) | $ | 61,708 | ||||||
17 | Russell 2000 Mini Future December 2016 | |||||||
(Underlying Face Amount at Value $2,122,110) | (5,270 | ) | ||||||
19 | S&P Midcap 400 E-Mini Future December 2016 | |||||||
(Underlying Face Amount at Value $2,944,240) | (36,520 | ) | ||||||
TOTAL UNREALIZED APPRECIATION OF FUTURES CONTRACTS | $ | 19,918 |
Global Atlantic Growth Managed Risk Portfolio |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 90.8% | ||||||||
DEBT FUNDS - 14.3% | ||||||||
362,382 | iShares Core U.S. Aggregate Bond ETF | $ | 40,738,984 | |||||
251,206 | iShares Floating Rate Bond ETF | 12,748,705 | ||||||
132,843 | iShares Intermediate Credit Bond ETF | 14,792,068 | ||||||
68,279,757 | ||||||||
EQUITY FUNDS - 76.5% | ||||||||
1,023,638 | iShares Core S&P 500 ETF | 222,702,683 | ||||||
293,716 | iShares Core S&P Mid-Cap ETF | 45,440,802 | ||||||
997,091 | iShares MSCI EAFE ETF | 58,957,991 | ||||||
198,282 | iShares Russell 1000 ETF | 23,885,050 | ||||||
116,951 | iShares Russell 2000 ETF | 14,526,484 | ||||||
365,513,010 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $410,286,295) | 433,792,767 | |||||||
SHORT-TERM INVESTMENT - 9.6% | ||||||||
MONEY MARKET FUND - 9.6% | ||||||||
45,713,848 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a) (Cost - $45,713,848) | 45,713,848 | ||||||
TOTAL INVESTMENTS - 100.4% (Cost - $456,000,143)(b) | $ | 479,506,615 | ||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.4)% | (1,710,118 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 477,796,497 |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $457,391,579 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 25,644,198 | ||
Unrealized Depreciation: | (3,529,162 | ) | ||
Net Unrealized Appreciation: | $ | 22,115,036 |
^ | Formerly FVIT Growth Managed Risk Portfolio. |
Global Atlantic Moderate Growth Managed Risk Portfolio^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 91.1% | ||||||||
DEBT FUNDS - 33.3% | ||||||||
258,628 | iShares Core U.S. Aggregate Bond ETF | $ | 29,074,960 | |||||
182,835 | iShares Floating Rate Bond ETF | 9,278,876 | ||||||
90,759 | iShares Intermediate Credit Bond ETF | 10,106,015 | ||||||
48,459,851 | ||||||||
EQUITY FUNDS - 57.8% | ||||||||
277,327 | iShares Core S&P 500 ETF | 60,335,262 | ||||||
57,177 | iShares Core S&P Mid-Cap ETF | 8,845,854 | ||||||
205,299 | iShares MSCI EAFE ETF | 12,139,330 | ||||||
22,233 | iShares Russell 2000 ETF | 2,761,561 | ||||||
84,082,007 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $125,777,970) | 132,541,858 | |||||||
SHORT-TERM INVESTMENT - 9.2% | ||||||||
MONEY MARKET FUND - 9.2% | ||||||||
13,433,416 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a) (Cost - $13,433,416) | 13,433,416 | ||||||
TOTAL INVESTMENTS - 100.4% (Cost - $139,211,386)(b) | $ | 145,975,274 | ||||||
OTHER ASSETS LESS LIABILITIES - NET - (0.4)% | (561,217 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 145,414,057 |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $139,514,216 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 7,026,134 | ||
Unrealized Depreciation: | (565,076 | ) | ||
Net Unrealized Appreciation: | $ | 6,461,058 |
^ | Formerly FVIT Moderate Growth Managed Risk Portfolio. |
Global Atlantic Motif Aging of America Portfolio |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 97.2% | ||||||||
BIOTECHNOLOGY - 21.7% | ||||||||
45 | Aduro Biotech, Inc. * | $ | 559 | |||||
15 | Amgen, Inc. | 2,502 | ||||||
82 | ARIAD Pharmaceuticals, Inc. * | 1,123 | ||||||
25 | Celgene Corp. * | 2,613 | ||||||
18 | Cellectis SA * (ADR) | 433 | ||||||
61 | Epizyme, Inc. * | 600 | ||||||
45 | Exact Sciences Corp. * | 836 | ||||||
93 | Exelixis, Inc. * | 1,189 | ||||||
41 | FibroGen, Inc. * | 849 | ||||||
9 | Five Prime Therapeutics, Inc. * | 472 | ||||||
29 | Foundation Medicine, Inc. * | 677 | ||||||
175 | ImmunoGen, Inc. * | 469 | ||||||
20 | Incyte Corp. * | 1,886 | ||||||
26 | Innoviva, Inc. | 286 | ||||||
18 | Medicines Co. (The) * | 679 | ||||||
122 | Merrimack Pharmaceuticals, Inc. * | 775 | ||||||
29 | Myriad Genetics, Inc. * | 597 | ||||||
75 | NeoGenomics, Inc. * | 617 | ||||||
49 | NewLink Genetics Corp. * | 736 | ||||||
43 | OncoMed Pharmaceuticals, Inc. * | 491 | ||||||
28 | Seattle Genetics, Inc. * | 1,512 | ||||||
85 | Spectrum Pharmaceuticals, Inc. * | 397 | ||||||
9 | United Therapeutics Corp. * | 1,063 | ||||||
21,361 | ||||||||
HEALTHCARE PRODUCTS - 18.9% | ||||||||
9 | ABIOMED, Inc. * | 1,157 | ||||||
103 | Accuray, Inc. * | 656 | ||||||
33 | AtriCure, Inc. * | 522 | ||||||
7 | Baxter International, Inc. | 333 | ||||||
26 | BioTelemetry, Inc. * | 483 | ||||||
34 | Boston Scientific Corp. * | 809 | ||||||
2 | CR Bard, Inc. | 449 | ||||||
16 | Edwards Lifesciences Corp. * | 1,929 | ||||||
46 | Endologix. Inc. * | 589 | ||||||
25 | Genomic Health. Inc. * | 723 | ||||||
19 | Globus Medical, Inc. * | 429 | ||||||
8 | Hologic, Inc. * | 311 | ||||||
6 | ICU Medical, Inc. * | 758 | ||||||
17 | Insulet Corp. * | 696 | ||||||
17 | K2M Group Holdings, Inc. * | 302 | ||||||
17 | LivaNova, PLC * | 1,022 | ||||||
12 | Medtronic PLC | 1,037 | ||||||
25 | Merit Medical Systems, Inc. * | 607 | ||||||
101 | Novocure Ltd. * | 863 | ||||||
8 | NuVasive, Inc. * | 533 | ||||||
39 | NxStage Medical, Inc. * | 975 | ||||||
7 | Orthofix International NV * | 299 | ||||||
69 | Rockwell Medical, Inc. * | 462 | ||||||
4 | Stryker Corp. | 466 | ||||||
11 | Varian Medical Systems, Inc. * | 1,095 | ||||||
6 | Vascular Solutions, Inc. * | 289 | ||||||
17 | Wright Medical Group NV * | 417 | ||||||
3 | Zimmer Biomet Holdings, Inc. | 390 | ||||||
18,601 |
HEALTHCARE - SERVICES - 18.1% | ||||||||
2 | Aetna, Inc. | 231 | ||||||
33 | Almost Family, Inc. * | 1,213 | ||||||
41 | Amedisys, Inc. * | 1,945 | ||||||
161 | Brookdale Senior Living, Inc. * | 2,809 | ||||||
73 | Capital Senior Living Corp. * | 1,226 | ||||||
11 | Chemed Corp. | 1,552 | ||||||
10 | DaVita, Inc. * | 661 | ||||||
81 | Ensign Group, Inc. | 1,631 | ||||||
28 | Fresenius Medical Care AG & Co. KGaA (ADR) | 1,226 | ||||||
37 | Kindred Healthcare, Inc. | 378 | ||||||
36 | LHC Group, Inc. * | 1,328 | ||||||
25 | National HealthCare Corp. | 1,650 | ||||||
10 | Triple-S Management Corp. * | 219 | ||||||
5 | UnitedHealth Group, Inc. | 700 | ||||||
91 | Universal American Corp. | 696 | ||||||
3 | WellCare Health Plans, Inc. * | 351 | ||||||
17,816 | ||||||||
PHARMACEUTICALS - 11.3% | ||||||||
11 | AbbVie, Inc. | 694 | ||||||
20 | Agios Pharmaceuticals, Inc. * | 1,056 | ||||||
88 | Array BioPharma, Inc. * | 594 | ||||||
30 | AstraZeneca PLC | 986 | ||||||
466 | BioScrip, Inc. * | 1,347 | ||||||
9 | Bristol-Myers Squibb Co. | 485 | ||||||
72 | Corcept Therapeutics, Inc. * | 468 | ||||||
11 | DexCom, Inc. * | 964 | ||||||
6 | Dr. Reddy’s Laboratories Ltd. (ADR) | 279 | ||||||
7 | Eli Lilly & Co. | 562 | ||||||
48 | Insys Therapeutics, Inc. * | 566 | ||||||
3 | Johnson & Johnson | 354 | ||||||
8 | Novartis AG (ADR) | 632 | ||||||
25 | Novo Nordisk A/S (ADR) | 1,040 | ||||||
98 | Regulus Therapeutics, Inc. * | 323 | ||||||
6 | Sanofi (ADR) | 229 | ||||||
59 | SciClone Pharmaceuticals, Inc. * | 605 | ||||||
11,184 |
REAL ESTATE INVESTMENT TRUSTS - 27.2% | ||||||||
73 | Care Capital Properties, Inc. | 2,081 | ||||||
113 | CareTrust REIT, Inc. | 1,670 | ||||||
66 | HCP, Inc. | 2,505 | ||||||
33 | LTC Properties, Inc. | 1,716 | ||||||
31 | National Health Investors, Inc. | 2,433 | ||||||
158 | New Senior Investment Group, Inc. | 1,823 | ||||||
93 | Omega Healthcare Investors, Inc. | 3,297 | ||||||
74 | Sabra Health Care REIT, Inc. | 1,863 | ||||||
65 | Senior Housing Properties Trust | 1,476 | ||||||
48 | Ventas, Inc. | 3,390 | ||||||
61 | Welltower, Inc. | 4,561 | ||||||
26,815 | ||||||||
TOTAL COMMON STOCKS (Cost - $97,866) | 95,777 | |||||||
SHORT-TERM INVESTMENT - 0.8% | ||||||||
MONEY MARKET FUND - 0.8% | ||||||||
761 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $761) | 761 | ||||||
TOTAL INVESTMENTS - 98.0% (Cost - $98,627)(b) | $ | 96,538 | ||||||
OTHER ASSETS LESS LIABILITIES - NET - 2.0% | 2,026 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 98,564 |
ADR - American Depository Receipt |
REIT - Real Estate Investment Trust |
* | Non-income producing security. |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $98,627 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 3,032 | ||
Unrealized Depreciation: | (5,121 | ) | ||
Net Unrealized Depreciation: | $ | (2,089 | ) |
Global Atlantic Motif Real EstateTrends Portfolio |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 99.1% | ||||||||
ENGINEERING & CONSTRUCTION - 2.6% | ||||||||
22 | SBA Communications Corp. | $ | 2,467 | |||||
HEALTHCARE SERVICES - 6.6% | ||||||||
16 | Almost Family, Inc. * | 588 | ||||||
19 | Amedisys, Inc. * | 901 | ||||||
76 | Brookdale Senior Living, Inc. * | 1,326 | ||||||
35 | Capital Senior Living Corp. * | 588 | ||||||
5 | Chemed Corp. | 705 | ||||||
38 | Ensign Group, Inc. (The) | 765 | ||||||
17 | LHC Group, Inc. * | 627 | ||||||
12 | National HealthCare Corp. | 792 | ||||||
6,292 | ||||||||
REAL ESTATE INVESTMENT TRUSTS - 89.9% | ||||||||
37 | American Campus Communities, Inc. | 1,882 | ||||||
26 | American Tower Corp. | 2,947 | ||||||
41 | Apartment Investment & Management Co. | 1,882 | ||||||
17 | AvalonBay Communities, Inc. | 3,023 | ||||||
17 | Boston Properties, Inc. | 2,317 | ||||||
24 | Camden Property Trust | 2,010 | ||||||
34 | Care Capital Properties, Inc. | 969 | ||||||
53 | CareTrust REIT, Inc. | 783 | ||||||
51 | CBL & Associates Properties, Inc. | 619 | ||||||
22 | Columbia Property Trust, Inc. | 493 | ||||||
18 | CoreSite Realty Corp. | 1,333 | ||||||
35 | Crown Castle International Corp. | 3,297 | ||||||
64 | CubeSmart | 1,745 | ||||||
32 | CyrusOne, Inc. | 1,522 | ||||||
14 | DCT Industrial Trust, Inc. | 680 | ||||||
24 | Digital Realty Trust, Inc. | 2,331 | ||||||
9 | Douglas Emmett, Inc. | 330 | ||||||
34 | Duke Realty Corp. | 929 | ||||||
34 | DuPont Fabros Technology, Inc. | 1,403 | ||||||
32 | Education Realty Trust, Inc. | 1,380 | ||||||
27 | Empire State Realty Trust, Inc. | 566 | ||||||
9 | Equinix, Inc. | 3,242 | ||||||
46 | Equity Residential | 2,959 | ||||||
11 | Essex Property Trust, Inc. | 2,450 | ||||||
28 | Extra Space Storage, Inc. | 2,223 | ||||||
100 | General Growth Properties, Inc. | 2,760 |
31 | HCP, Inc. | 1,176 | ||||||
78 | Independence Realty Trust, Inc. | 702 | ||||||
36 | Investors Real Estate Trust | 214 | ||||||
18 | Life Storage, Inc. | 1,601 | ||||||
20 | LTC Properties, Inc. | 1,040 | ||||||
18 | Macerich Co. (The) | 1,456 | ||||||
12 | Mack-Cali Realty Corp. | 327 | ||||||
20 | Mid-America Apartment Communities, Inc. | 1,880 | ||||||
28 | Monmouth Real Estate Investment Corp. | 400 | ||||||
114 | Monogram Residential Trust, Inc. | 1,213 | ||||||
15 | National Health Investors, Inc. | 1,177 | ||||||
40 | National Storage Affiliates Trust | 838 | ||||||
74 | New Senior Investment Group, Inc. | 854 | ||||||
72 | New York REIT, Inc. | 659 | ||||||
44 | Omega Healthcare Investors, Inc. | 1,560 | ||||||
93 | Paramount Group, Inc. | 1,524 | ||||||
24 | Pennsylvania Real Estate Investment Trust | 553 | ||||||
25 | Post Properties, Inc. | 1,653 | ||||||
37 | Prologis, Inc. | 1,981 | ||||||
14 | Public Storage | 3,124 | ||||||
26 | QTS Realty Trust, Inc. | 1,374 | ||||||
35 | Sabra Health Care REIT, Inc. | 881 | ||||||
29 | Senior Housing Properties Trust | 659 | ||||||
10 | Simon Property Group, Inc. | 2,070 | ||||||
11 | SL Green Realty Corp. | 1,189 | ||||||
27 | STAG Industrial, Inc. | 662 | ||||||
17 | Taubman Centers, Inc. | 1,265 | ||||||
61 | UDR, Inc. | 2,195 | ||||||
22 | Ventas, Inc. | 1,554 | ||||||
10 | Vornado Realty Trust | 1,012 | ||||||
5 | Washington Real Estate Investment Trust | 156 | ||||||
28 | Welltower, Inc. | 2,094 | ||||||
85,118 | ||||||||
TOTAL COMMON STOCKS (Cost - $99,880) | 93,877 | |||||||
SHORT-TERM INVESTMENT - 0.6% | ||||||||
MONEY MARKET FUND - 0.6% | ||||||||
517 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $517) | 517 | ||||||
TOTAL INVESTMENTS - 99.7% (Cost - $100,397)(b) | $ | 94,394 | ||||||
OTHER ASSETS LESS LIABILITIES - NET - 0.3% | 303 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 94,697 |
REIT - Real Estate Investment Trust |
* | Non-income producting security. |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $100,397 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 209 | ||
Unrealized Depreciation: | (6,212 | ) | ||
Net Unrealized Depreciation: | $ | (6,003 | ) |
Global Atlantic Motif Technological Innovations Portfolio |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 99.9% | ||||||||
AUTO PARTS & EQUIPMENT - 0.8% | ||||||||
20 | Mobileye NV * | $ | 851 | |||||
COMMERCIAL SERVICES - 7.3% | ||||||||
7 | Cimpress NV * | 708 | ||||||
7 | FleetCor Technologies, Inc. * | 1,216 | ||||||
14 | Global Payments, Inc. | 1,075 | ||||||
13 | Paylocity Holding Corp. * | 578 | ||||||
37 | PayPal Holdings, Inc. * | 1,516 | ||||||
63 | Square, Inc. * | 735 | ||||||
19 | Total System Services, Inc. | 896 | ||||||
18 | Vantiv, Inc. * | 1,013 | ||||||
7,737 | ||||||||
COMPUTERS - 2.7% | ||||||||
13 | Fleetmatics Group PLC * | 780 | ||||||
24 | Fortinet, Inc. * | 886 | ||||||
23 | Teradata Corp. * | 713 | ||||||
31 | VeriFone Systems, Inc. * | 488 | ||||||
2,867 | ||||||||
DIVERSIFIED FINANCIAL SERVICES - 7.1% | ||||||||
19 | American Express Co. | 1,217 | ||||||
15 | Blackhawk Network Holdings, Inc. * | 453 | ||||||
7 | Ellie Mae, Inc. * | 737 | ||||||
23 | Mastercard, Inc. | 2,341 | ||||||
34 | Visa, Inc. | 2,812 | ||||||
7,560 | ||||||||
ELECTRONICS - 0.7% | ||||||||
42 | Gentex Corp. | 738 | ||||||
HOME FURNISHINGS - 0.6% | ||||||||
7 | Harman International Industries, Inc. | 591 |
INTERNET - 39.0% | ||||||||
28 | Alibaba Group Holding Ltd. * (ADR) | 2,962 | ||||||
4 | Alphabet, Inc. * | 3,216 | ||||||
4 | Amazon.com, Inc. * | 3,349 | ||||||
11 | Baidu, Inc. * (ADR) | 2,002 | ||||||
45 | Box, Inc. * | 709 | ||||||
15 | Criteo SA * (ADR) | 527 | ||||||
27 | Ctrip.com International Ltd. * (ADR) | 1,257 | ||||||
33 | eBay, Inc. * | 1,086 | ||||||
9 | Expedia, Inc. | 1,051 | ||||||
7 | F5 Networks, Inc. * | 872 | ||||||
26 | Facebook, Inc. * | 3,335 | ||||||
37 | FireEye, Inc. * | 545 | ||||||
116 | Groupon, Inc. * | 597 | ||||||
67 | JD.com, Inc. * (ADR) | 1,748 | ||||||
39 | Match Group, Inc. * | 694 | ||||||
15 | Netflix, Inc. * | 1,478 | ||||||
1 | Priceline Group, Inc. (The) * | 1,471 | ||||||
9 | Shutterstock, Inc. * | 573 | ||||||
12 | SINA Corp. * | 886 | ||||||
15 | Splunk, Inc. * | 880 | ||||||
7 | Stamps.com, Inc. * | 662 | ||||||
53 | Symantec, Corp. | 1,330 | ||||||
9 | TripAdvisor, Inc. * | 569 | ||||||
63 | Twitter, Inc. * | 1,452 | ||||||
56 | Vipshop Holdings Ltd. * (ADR) | 822 | ||||||
14 | Wayfair, Inc. * | 551 | ||||||
31 | Weibo Corp. * (ADR) | 1,564 | ||||||
31 | Yahoo!, Inc. * | 1,336 | ||||||
39 | Yandex NV * | 821 | ||||||
19 | Yelp, Inc. * | 792 | ||||||
14 | YY, Inc. * (ADR) | 746 | ||||||
21 | Zendesk, Inc. * | 645 | ||||||
21 | Zillow Group, Inc. * | 723 | ||||||
41,251 | ||||||||
LEISURE TIME - 0.8% | ||||||||
28 | Qunar Cayman Islands Ltd. * (ADR) | 812 | ||||||
REAL ESTATE INVESTMENT TRUSTS - 4.5% | ||||||||
8 | CoreSite Realty Corp. | 592 | ||||||
13 | CyrusOne, Inc. | 618 | ||||||
10 | Digital Realty Trust, Inc. | 971 | ||||||
15 | DuPont Fabros Technology, Inc. | 619 | ||||||
4 | Equinix, Inc. | 1,441 | ||||||
11 | QTS Realty Trust, Inc. | 581 | ||||||
4,822 | ||||||||
RETAIL - 0.8% | ||||||||
16 | Copart, Inc. * | 857 |
SEMICONDUCTORS - 3.7% | ||||||||
10 | Qorvo, Inc. * | 557 | ||||||
29 | QUALCOMM, Inc. | 1,987 | ||||||
10 | Silicon Motion Technology Corp. (ADR) | 518 | ||||||
11 | Skyworks Solutions, Inc. | 838 | ||||||
3,900 | ||||||||
SOTFWARE - 29.3% | ||||||||
15 | 2U, Inc. * | 574 | ||||||
32 | ACI Worldwide, Inc. * | 620 | ||||||
34 | Activision Blizzard, Inc. | 1,506 | ||||||
12 | Adobe Systems, Inc. * | 1,302 | ||||||
20 | Akamai Technologies, Inc. * | 1,060 | ||||||
6 | athenahealth, Inc. * | 757 | ||||||
15 | Check Point Software Technologies Ltd. * | 1,164 | ||||||
12 | Citrix Systems, Inc. * | 1,023 | ||||||
11 | CommVault Systems, Inc. * | 584 | ||||||
14 | Cornerstone OnDemand, Inc. * | 643 | ||||||
10 | CyberArk Software, Ltd. * | 496 | ||||||
17 | Electronic Arts, Inc. * | 1,452 | ||||||
86 | First Data Corp. * | 1,132 | ||||||
10 | HubSpot, Inc. * | 576 | ||||||
11 | Imperva, Inc. * | 591 | ||||||
17 | InterXion Holding NV * | 616 | ||||||
12 | Medidata Solutions, Inc. * | 669 | ||||||
3 | MicroStrategy, Inc. * | 502 | ||||||
44 | Momo, Inc. * (ADR) | 990 | ||||||
4 | NetEase, Inc. (ADR) | 963 | ||||||
8 | NetSuite, Inc. * | 886 | ||||||
16 | New Relic, Inc. * | 613 | ||||||
13 | Paycom Software, Inc. * | 652 | ||||||
8 | Proofpoint, Inc. * | 599 | ||||||
28 | Rackspace Hosting, Inc. * | 887 | ||||||
22 | RealPage, Inc. * | 565 | ||||||
21 | salesforce.com, Inc. * | 1,498 | ||||||
14 | ServiceNow, Inc. * | 1,108 | ||||||
13 | Tableau Software, Inc. * | 719 | ||||||
17 | Take-Two Interactive Software, Inc. * | 766 | ||||||
4 | Ultimate Software Group, Inc. * | 818 | ||||||
20 | Veeva Systems, Inc. * | 826 | ||||||
17 | Verint Systems, Inc. * | 640 | ||||||
19 | VMware, Inc. * | 1,394 | ||||||
14 | Workday, Inc. * | 1,284 | ||||||
208 | Zynga, Inc. * | 605 | ||||||
31,080 | ||||||||
TELECOMMNUNICATIONS - 2.6% | ||||||||
11 | Arista Networks, Inc. * | 936 | ||||||
6 | LogMeIn, Inc. | 542 | ||||||
8 | Palo Alto Networks, Inc. * | 1,275 | ||||||
2,753 | ||||||||
TOTAL COMMON STOCKS (Cost - $99,834) | 105,819 | |||||||
SHORT-TERM INVESTMENT - 0.1% | ||||||||
MONEY MARKET FUND - 0.1% | ||||||||
139 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $139) | 139 | ||||||
TOTAL INVESTMENTS - 100.1% (Cost - $99,973)(b) | $ | 105,958 | ||||||
OTHER ASSETS LESS LIABILITIES - NET - 0.1% | (72 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 105,886 |
ADR | American Depositary Receipt |
* | Non-income producing security |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $99,973 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 7,965 | ||
Unrealized Depreciation: | (1,980 | ) | ||
Net Unrealized Appreciation: | $ | 5,985 |
Global Atlantic PIMCO Tactical Allocation Portfolio^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||||||
EXCHANGE TRADED FUNDS - 29.9% | ||||||||||||
EQUITY FUNDS - 29.9% | ||||||||||||
49,017 | iShares MSCI EAFE ETF | $ | 2,898,375 | |||||||||
13,396 | SPDR S&P 500 ETF Trust | 2,897,555 | ||||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $5,402,612) | 5,795,930 | |||||||||||
Principal | ||||||||||||
Amount | Coupon Rate (%) | Maturity | ||||||||||
ASSET BACKED SECURITIES - 3.0% | ||||||||||||
$ | 20,435 | ACE Securities Corp. Home Equity Loan Trust Series 2002-HE2 (b) | 1.80 | 8/25/2032 | 19,664 | |||||||
42,869 | ACE Securities Corp. Home Equity Loan Trust Series 2006-OP1 (b) | 0.68 | 4/25/2036 | 40,484 | ||||||||
39,143 | Citigroup Mortgage Loan Trust 2007-AMC1 (a)(b) | 0.69 | 12/25/2036 | 25,992 | ||||||||
22,834 | Countrywide Asset-Backed Certificates (b) | 0.66 | 12/25/2036 | 20,112 | ||||||||
30,793 | Countrywide Asset-Backed Certificates (b) | 0.67 | 6/25/2047 | 20,169 | ||||||||
16,298 | CWABS Asset-Backed Certificates Trust 2006-17 (b) | 0.68 | 3/25/2047 | 14,688 | ||||||||
40,794 | FBR Securitization Trust (b) | 1.20 | 10/25/2035 | 35,110 | ||||||||
50,000 | Ford Credit Floorplan Master Owner Trust A (b) | 1.12 | 8/15/2020 | 50,265 | ||||||||
12,020 | Fremont Home Loan Trust 2005-E (b) | 0.77 | 1/25/2036 | 12,026 | ||||||||
30,260 | GSAMP Trust 2006-HE4 (b) | 0.67 | 6/25/2036 | 25,926 | ||||||||
10,585 | Long Beach Mortgage Loan Trust 2004-2 (b) | 2.14 | 6/25/2034 | 10,328 | ||||||||
35,174 | Long Beach Mortgage Loan Trust 2005-3 (b) | 0.79 | 8/25/2045 | 30,321 | ||||||||
35,488 | Long Beach Mortgage Loan Trust 2006-7 (b) | 0.68 | 8/25/2036 | 20,728 | ||||||||
37,155 | Nissan Auto Receivables 2016-B Owner Trust | 0.63 | 5/15/2017 | 37,179 | ||||||||
18,722 | RASC Series 2004-KS10 Trust (b) | 2.25 | 11/25/2034 | 16,187 | ||||||||
98,515 | SLC Student Loan Trust 2006-2 (b) | 0.95 | 9/15/2026 | 96,099 | ||||||||
53,426 | SLM Student Loan Trust 2005-3 (b) | 0.80 | 10/25/2024 | 52,669 | ||||||||
18,370 | Soundview Home Loan Trust 2007-WMC1 (b) | 0.64 | 2/25/2037 | 6,143 | ||||||||
14,428 | Structured Asset Investment Loan Trust 2004-7 (b) | 1.58 | 8/25/2034 | 13,686 | ||||||||
28,318 | Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC2 (b) | 0.68 | 9/25/2036 | 24,432 | ||||||||
TOTAL ASSET BACKED SECURUTIES (Cost - $575,331) | 572,208 | |||||||||||
CORPORATE BONDS - 23.4% | ||||||||||||
AGRICULTURE - 0.1% | ||||||||||||
10,000 | Reynolds American, Inc. | 5.85 | 8/15/2045 | 13,001 | ||||||||
AIRLINES - 0.3% | ||||||||||||
50,000 | Spirit Airlines 2015-1 Pass Through Trust A | 4.10 | 4/1/2028 | 51,469 | ||||||||
AUTO MANUFACTURERS - 0.6% | ||||||||||||
40,000 | Ford Motor Credit Co. LLC | 3.20 | 1/15/2021 | 41,065 | ||||||||
20,000 | General Motors Financial Co., Inc. | 3.20 | 7/13/2020 | 20,479 | ||||||||
50,000 | General Motors Financial Co., Inc. | 3.20 | 7/6/2021 | 50,614 | ||||||||
112,158 |
BANKS - 8.3% | ||||||||||||
73,000 | Bank of America Corp. | 3.30 | 1/11/2023 | 75,567 | ||||||||
44,000 | Bank of America Corp. | 3.88 | 3/22/2017 | 44,508 | ||||||||
25,000 | Bank of America Corp. | 4.00 | 4/1/2024 | 26,940 | ||||||||
50,000 | Bank of America Corp. | 5.65 | 5/1/2018 | 53,038 | ||||||||
45,000 | The Bank of Nova Scotia | 1.10 | 12/13/2016 | 45,013 | ||||||||
100,000 | Barclays Bank PLC (b) | 1.64 | 9/8/2017 | 100,327 | ||||||||
50,000 | Citigroup, Inc. | 2.65 | 10/26/2020 | 51,074 | ||||||||
50,000 | Credit Suisse AG (b) | 1.65 | 9/12/2017 | 50,060 | ||||||||
50,000 | Deutsche Bank AG (b) | 2.72 | 5/10/2019 | 48,812 | ||||||||
50,000 | The Goldman Sachs Group, Inc. (b) | 1.48 | 5/22/2017 | 50,087 | ||||||||
10,000 | The Goldman Sachs Group, Inc. | 3.75 | 5/22/2025 | 10,501 | ||||||||
15,000 | The Goldman Sachs Group, Inc. | 6.00 | 6/15/2020 | 17,060 | ||||||||
50,000 | HSBC USA, Inc. (b) | 1.56 | 8/7/2018 | 50,076 | ||||||||
35,000 | JPMorgan Chase & Co. | 3.13 | 1/23/2025 | 35,773 | ||||||||
25,000 | JPMorgan Chase & Co. | 3.88 | 2/1/2024 | 26,958 | ||||||||
50,000 | JPMorgan Chase & Co. | 3.90 | 7/15/2025 | 53,916 | ||||||||
35,000 | KeyCorp. | 2.90 | 9/15/2020 | 36,335 | ||||||||
26,000 | Morgan Stanley | 2.13 | 4/25/2018 | 26,219 | ||||||||
100,000 | Natixis SA (b) | 1.55 | 9/25/2017 | 100,000 | ||||||||
25,000 | Regions Financial Corp. | 3.20 | 2/8/2021 | 25,989 | ||||||||
20,000 | Royal Bank Scotland Group PLC | 9.50 | 3/16/2022 | 20,626 | ||||||||
93,000 | Santander UK PLC | 1.38 | 3/13/2017 | 92,949 | ||||||||
100,000 | Sumitomo Mitsui Banking Corp. (b) | 1.55 | 9/15/2017 | 100,041 | ||||||||
100,000 | Sumitomo Mitsui Trust Bank Limited (b) | 1.58 | 9/18/2017 | 100,000 | ||||||||
200,000 | UBS Group Funding Jersey Ltd. (a)(b) | 2.34 | 2/1/2022 | 202,690 | ||||||||
100,000 | Wachovia Corp. | 5.63 | 10/15/2016 | 100,126 | ||||||||
60,000 | Wells Fargo & Co. | 2.63 | 12/15/2016 | 60,191 | ||||||||
1,604,876 | ||||||||||||
BIOTECHNOLOGY - 0.5% | ||||||||||||
100,000 | Amgen, Inc. | 2.13 | 5/15/2017 | 100,580 | ||||||||
COMMERCIAL SERVICES - 0.2% | ||||||||||||
30,000 | S&P Global, Inc. | 2.50 | 8/15/2018 | 30,474 | ||||||||
COMPUTERS - 0.3% | ||||||||||||
50,000 | Diamond 1 Finance Corp. / Diamond 2 Finance Corp. (a) | 5.45 | 6/15/2023 | 53,573 | ||||||||
CONSUMER FINANCE - 4.2% | ||||||||||||
100,000 | Bosphorus CLO | 1.43 | 10/15/2025 | 112,608 | ||||||||
2,000,000 | NYKREDIT | 1.00 | 1/1/2017 | 302,748 | ||||||||
2,700,000 | Realkredit Danmark | 1.00 | 1/1/2017 | 408,678 | ||||||||
824,034 | ||||||||||||
ELECTRIC - 0.2% | ||||||||||||
30,000 | Duke Energy Corp. | 3.05 | 8/15/2022 | 31,360 | ||||||||
ENVIRONMENTAL CONTROL - 0.1% | ||||||||||||
25,000 | Republic Services, Inc. | 3.55 | 6/1/2022 | 26,863 | ||||||||
FOOD - 0.5% | ||||||||||||
100,000 | Wm Wrigley, Jr. Co. (a) | 1.40 | 10/21/2016 | 100,027 | ||||||||
HEALTHCARE PRODUCTS - 0.5% | ||||||||||||
100,000 | Thermo Fisher Scientific, Inc. | 1.30 | 2/1/2017 | 100,204 | ||||||||
MUNICIPAL - 0.1% | ||||||||||||
30,000 | City of Chicago IL | 7.75 | 1/1/2042 | 32,264 | ||||||||
OIL & GAS - 0.6% | ||||||||||||
35,000 | BP Capital Markets PLC | 3.51 | 3/17/2025 | 37,099 | ||||||||
100,000 | Petrobras Global Finance BV | 4.38 | 5/20/2023 | 89,450 | ||||||||
126,549 | ||||||||||||
PHARMACEUTICALS - 2.6% | ||||||||||||
50,000 | AbbVie, Inc. | 2.85 | 5/14/2023 | 50,760 | ||||||||
50,000 | AbbVie, Inc. | 3.20 | 5/14/2026 | 50,618 | ||||||||
100,000 | Actavis Funding SCS | 1.30 | 6/15/2017 | 99,917 | ||||||||
200,000 | Shire Acquisitions Investments Ireland DAC | 1.90 | 9/23/2019 | 199,897 | ||||||||
100,000 | Teva Pharmaceutical Finance Co. BV | 2.40 | 11/10/2016 | 100,135 | ||||||||
501,327 |
PIPELINES - 0.9% | ||||||||||||
20,000 | Kinder Morgan Finance Co. LLC (a) | 6.00 | 1/15/2018 | 20,974 | ||||||||
25,000 | MPLX LP | 4.88 | 6/1/2025 | 25,832 | ||||||||
100,000 | ONEOK Partners LP | 3.20 | 9/15/2018 | 101,893 | ||||||||
23,000 | Regency Energy Partners LP / Regency Energy Finance Corp. | 4.50 | 11/1/2023 | 23,155 | ||||||||
171,854 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS - 0.9% | ||||||||||||
100,000 | American Tower Corp. | 2.25 | 1/15/2022 | 99,796 | ||||||||
25,000 | Digital Realty Trust LP | 3.95 | 7/1/2022 | 26,497 | ||||||||
30,000 | Duke Realty LP | 3.88 | 2/15/2021 | 31,848 | ||||||||
10,000 | Host Hotels & Resorts LP | 4.00 | 6/15/2025 | 10,189 | ||||||||
168,330 | ||||||||||||
SOFTWARE - 0.3% | ||||||||||||
50,000 | Fidelity National Information Services, Inc. | 2.85 | 10/15/2018 | 51,313 | ||||||||
SOVERIGN - 1.0% | ||||||||||||
200,000 | Development Bank of Japan, Inc. (a) | 1.63 | 9/1/2021 | 199,384 | ||||||||
TELECOMMUNICATIONS - 1.0% | ||||||||||||
30,000 | AT&T, Inc. | 2.80 | 2/17/2021 | 30,868 | ||||||||
50,000 | Telecom Italia SpA | 6.38 | 6/24/2019 | 72,092 | ||||||||
100,000 | Vodafone Group, PLC | 5.63 | 2/27/2017 | 101,663 | ||||||||
204,623 | ||||||||||||
WATER - 0.2% | ||||||||||||
20,000 | Severn Trent Utilities Finance PLC | 6.25 | 6/7/2029 | 39,068 | ||||||||
TOTAL CORPORATE BONDS (Cost - $4,450,083) | 4,543,331 | |||||||||||
MORTGAGE BACKED SECURITIES - 21.3% | ||||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 21.3% | ||||||||||||
300,000 | Fannie Mae TBA + | 3.00 | 11/1/2042 | 311,508 | ||||||||
2,600,000 | Fannie Mae TBA + | 3.50 | 11/1/2042 | 2,743,000 | ||||||||
800,000 | Fannie Mae TBA + | 4.00 | 11/1/2044 | 858,687 | ||||||||
200,000 | Fannie Mae TBA + | 4.50 | 11/1/2044 | 218,875 | ||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost - $4,116,969) | 4,132,070 | |||||||||||
COLLATERALIZED MORTGAGE OBLIGATIONS - 5.0% | ||||||||||||
AGENCY COLLATERAL - 2.4% | ||||||||||||
76,937 | Government National Mortgage Association (b) | 0.99 | 3/20/2065 | 76,891 | ||||||||
96,926 | Government National Mortgage Association (b) | 1.09 | 5/20/2065 | 95,972 | ||||||||
98,528 | Government National Mortgage Association (b) | 1.11 | 8/20/2065 | 97,632 | ||||||||
83,339 | Government National Mortgage Association (b) | 1.19 | 10/20/2065 | 83,376 | ||||||||
98,139 | Government National Mortgage Association (b) | 1.49 | 12/20/2065 | 99,357 | ||||||||
453,228 | ||||||||||||
WHOLE LOAN COLLATERAL - 2.6% | ||||||||||||
32,269 | Alternative Loan Trust 2005-J12 (b) | 0.80 | 8/25/2035 | 23,505 | ||||||||
25,056 | Alternative Loan Trust 2006-OA9 (b) | 0.74 | 7/20/2046 | 14,599 | ||||||||
41,633 | American Home Mortgage Assets Trust 2006-2 (b) | 0.72 | 9/25/2046 | 29,928 | ||||||||
20,936 | Bear Stearns ALT-A Trust 2005-8 (b) | 2.99 | 10/25/2035 | 18,844 | ||||||||
20,504 | Bear Stearns ARM Trust 2005-5 (b) | 2.58 | 8/25/2035 | 20,052 | ||||||||
26,150 | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3 (a,b) | 0.78 | 8/25/2035 | 23,782 | ||||||||
24,345 | Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4 (a,b) | 0.76 | 10/25/2035 | 21,958 | ||||||||
38,420 | Credit Suisse First Boston Mortgage Securities Corp. | 4.50 | 7/25/2020 | 38,283 | ||||||||
22,345 | First Horizon Mortgage Pass-Through Trust 2005-AR2 (b) | 3.04 | 6/25/2035 | 21,178 | ||||||||
44,871 | Great Hall Mortgages No. 1 PLC (a,b) | 0.99 | 6/18/2039 | 42,552 | ||||||||
33,941 | GreenPoint Mortgage Funding Trust 2006-AR2 (b) | 2.51 | 3/25/2036 | 29,876 | ||||||||
26,930 | GSR Mortgage Loan Trust 2005-AR6 (b) | 2.92 | 9/25/2035 | 27,070 | ||||||||
16,609 | Impac CMB Trust Series 2005-8 (b) | 1.23 | 2/25/2036 | 15,517 | ||||||||
24,251 | IndyMac INDX Mortgage Loan Trust 2006-AR4 (b) | 0.74 | 5/25/2046 | 19,902 | ||||||||
6,162 | JP Morgan Mortgage Trust 2006-S2 | 5.88 | 6/25/2021 | 5,786 | ||||||||
5,838 | JP Morgan Resecuritization Trust Series 2009-7 (a,b) | 3.12 | 8/27/2037 | 5,808 | ||||||||
13,013 | Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 (b) | 0.78 | 11/25/2035 | 12,271 | ||||||||
23,631 | MortgageIT Trust 2005-4 (b) | 0.81 | 10/25/2035 | 21,166 | ||||||||
26,358 | RALI Series 2005-QR1 Trust | 6.00 | 10/25/2034 | 27,456 | ||||||||
19,458 | Reperforming Loan REMIC Trust 2006-R1 (a,b) | 0.87 | 1/25/2036 | 16,552 | ||||||||
25,190 | Structured Adjustable Rate Mortgage Loan Trust (b) | 0.83 | 10/25/2035 | 22,959 | ||||||||
13,164 | Structured Adjustable Rate Mortgage Loan Trust (b) | 2.96 | 9/25/2034 | 12,971 | ||||||||
13,483 | Structured Adjustable Rate Mortgage Loan Trust (b) | 3.05 | 2/25/2034 | 13,262 | ||||||||
27,021 | WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust (b) | 2.30 | 4/25/2037 | 23,258 | ||||||||
508,535 | ||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $967,863) | 961,763 |
COMMERCIAL MORTGAGE BACKED SECURITIES - 1.7% | ||||||||||||
186,900 | FHLMC Multifamily Structured Pass Through Certificates (b) | 1.22 | 9/25/2022 | 187,955 | ||||||||
50,499 | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC18 | 5.44 | 6/12/2047 | 50,753 | ||||||||
100,000 | RFTI 2015-FL1 Issuer Ltd. (a,b) | 2.27 | 8/15/2030 | 99,671 | ||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $337,342) | 338,379 | |||||||||||
U.S. TREASURY SECURITIES - 20.6% | ||||||||||||
300,000 | United States Treasury Inflation Indexed Note | 0.13 | 4/15/2018 | 303,268 | ||||||||
200,000 | United States Treasury Inflation Indexed Note | 0.13 | 7/15/2022 | 214,284 | ||||||||
100,000 | United States Treasury Inflation Indexed Note | 0.38 | 7/15/2025 | 104,799 | ||||||||
150,000 | United States Treasury Inflation Indexed Note | 0.63 | 1/15/2026 | 159,773 | ||||||||
50,000 | United States Treasury Inflation Indexed Bond | 0.75 | 2/15/2045 | 52,667 | ||||||||
175,000 | United States Treasury Inflation Indexed Bond | 1.75 | 1/15/2028 | 235,291 | ||||||||
100,000 | United States Treasury Inflation Indexed Bond | 2.38 | 1/15/2025 | 152,132 | ||||||||
100,000 | United States Treasury Inflation Indexed Bond | 2.38 | 1/15/2027 | 146,343 | ||||||||
100,000 | United States Treasury Inflation Indexed Bond | 2.50 | 1/15/2029 | 142,287 | ||||||||
100,000 | United States Treasury Inflation Indexed Bond | 3.63 | 4/15/2028 | 205,438 | ||||||||
100,000 | United States Treasury Bond | 2.50 | 2/15/2046 | 103,359 | ||||||||
100,000 | United States Treasury Bond | 2.50 | 5/15/2046 | 103,500 | ||||||||
200,000 | United States Treasury Bond | 2.88 | 8/15/2045 | 222,766 | ||||||||
500,000 | United States Treasury Bond | 3.00 | 5/15/2045 | 570,078 | ||||||||
50,000 | United States Treasury Bond | 4.38 | 11/15/2039 | 69,719 | ||||||||
700,000 | United States Treasury Note | 1.13 | 8/31/2021 | 699,289 | ||||||||
200,000 | United States Treasury Note | 1.50 | 8/15/2026 | 198,055 | ||||||||
100,000 | United States Treasury Note | 1.63 | 5/15/2026 | 100,133 | ||||||||
200,000 | United States Treasury Note | 2.50 | 8/15/2023 | 214,258 | ||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $3,865,145) | 3,997,439 | |||||||||||
Contracts | ||||||||||||
PURCHASED OPTIONS ON INDICES- 0.9% | ||||||||||||
24 | S&P 500 Index, June 2017, Put @ $1,450 | 24,720 | ||||||||||
24 | S&P 500 Index, June 2017, Put @ $1,650 | 51,360 | ||||||||||
24 | S&P 500 Index, June 2017, Put @ $1,850 | 98,400 | ||||||||||
TOTAL PURCHASED OPTIONS ON INDICES (Cost - $318,843) | 174,480 | |||||||||||
Principal | ||||||||||||
Amount | Coupon Rate (%) | Maturity | ||||||||||
SHORT-TERM INVESTMENTS - 14.3% | ||||||||||||
FEDERAL HOME LOAN BANK - 3.6% | ||||||||||||
$ | 100,000 | Federal Home Loan Bank Discount Notes | 0.06 | 10/17/2016 | 99,985 | |||||||
200,000 | Federal Home Loan Bank Discount Notes | 0.03 | 10/21/2016 | 199,967 | ||||||||
300,000 | Federal Home Loan Bank Discount Notes | 0.02 | 10/28/2016 | 299,932 | ||||||||
100,000 | Federal Home Loan Bank Discount Notes | 0.02 | 11/2/2016 | 99,974 | ||||||||
699,858 |
Shares | ||||||||||||
MONEY MARKET FUND - 2.4% | ||||||||||||
463,602 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (c) | 463,602 | ||||||||||
Principal | ||||||||||||
Amount | Coupon Rate (%) | Maturity | ||||||||||
U.S. TREASURY BILLS - 8.3% | ||||||||||||
$ | 600,000 | United States Treasury Bill | 0.36 | 3/2/2017 | 598,865 | |||||||
1,000,000 | United States Treasury Bill | 0.02 | 3/9/2017 | 997,829 | ||||||||
1,596,694 | ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $2,760,154) | 2,760,154 | |||||||||||
TOTAL INVESTMENTS - 120.1% (Cost - $22,794,342)(d) | $ | 23,275,754 | ||||||||||
OTHER ASSETS LESS LIABILITIES - NET - (20.1)% | (3,892,858 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 19,382,896 |
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, 2016, these securities amounted to $812,963 or 4.2% of net assets. |
(b) | Variable Rate Security - interest rate subject to periodic change. |
(c) | Money market rate shown represents the rate at September 30, 2016. |
(d) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $22,957,183 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 662,927 | ||
Unrealized Depreciation: | (344,356 | ) | ||
Net Unrealized Appreciation: | $ | 318,571 |
^ | Formerly FVIT PIMCO Tactical Allocation Portfolio. |
Unrealized Appreciation/ | ||||||||
Contracts | (Depreciation) | |||||||
SHORT FUTURES CONTRACTS | ||||||||
13 | 90 Day Euro Future December 2017 | |||||||
(Underlying Face Amount at Value $3,215,388) | $ | (462 | ) | |||||
4 | 90 Day Euro Future March 2018 | |||||||
(Underlying Face Amount at Value $989,150) | (1,352 | ) | ||||||
2 | 90 Day Euro Future June 2018 | |||||||
(Underlying Face Amount at Value $494,425) | (1,862 | ) | ||||||
1 | Euro-Bund Future December 2016 | |||||||
(Underlying Face Amount at Value $465,285) | (1,180 | ) | ||||||
(4,856 | ) | |||||||
LONG FUTURES CONTRACTS | ||||||||
10 | 90 Day Euro Future December 2016 | |||||||
(Underlying Face Amount at Value $2,477,000) | 375 | |||||||
80 | S&P 500 E-Mini December 2016 | |||||||
(Underlying Face Amount at Value $8,642,000) | 295 | |||||||
3 | US 10 Year Future December 2016 | |||||||
(Underlying Face Amount at Value $393,375) | (355 | ) | ||||||
12 | US 5Year Note (CBT) December 2016 | |||||||
(Underlying Face Amount at Value $1,458,192) | 350 | |||||||
665 | ||||||||
TOTAL UNREALIZED DEPRECIATION OF FUTURES CONTRACTS | $ | (4,191 | ) |
Notional | Fixed Received | Unrealized Appreciation/ | ||||||||||
Amount $ | Rate (%) | Expiration | (Depreciation) | |||||||||
Interest Rate Swaps | ||||||||||||
(100,000 | ) | Goldman Sachs | 1.02 | 12/16/2020 | $ | (3,550 | ) | |||||
(100,000 | ) | Goldman Sachs | 1.02 | 6/15/2046 | (16,835 | ) | ||||||
(100,000 | ) | Goldman Sachs | 1.02 | 6/15/2021 | (3,830 | ) | ||||||
(300,000 | ) | Goldman Sachs | 1.02 | 6/15/2018 | (1,288 | ) | ||||||
(200,000 | ) | Goldman Sachs | 1.02 | 12/21/2046 | (21,617 | ) | ||||||
(300,000 | ) | Goldman Sachs | 2.00 | 6/15/2021 | 491 | |||||||
$ | (46,629 | ) | ||||||||||
Notional | Fixed Received | Unrealized Appreciation/ | ||||||||||
Amount $ | Rate (%) | Expiration | (Depreciation) | |||||||||
Credit Default Swaps | ||||||||||||
500,000 | North American Investment High Yield CDX Index | 5.00 | 6/20/2019 | $ | 25,370 | |||||||
100,000 | North American Investment Grade CDX Index | 1.00 | 6/20/2021 | 1,437 | ||||||||
2,000,000 | North American Investment Grade CDX Index | 1.00 | 6/20/2021 | 28,741 | ||||||||
$ | 55,548 |
Global Atlantic PIMCO Tactical Allocation Portfolio |
PORTFOLIO OF INVESTMENTS (Continued) |
September 30, 2016 (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 Sell: | |||||||||||||||||||||
10/4/2016 | Goldman Sachs | 104,000 | EUR | 116,103 | USD | 116,837 | $ | (734 | ) | ||||||||||||
11/10/2016 | Goldman Sachs | 150,000 | SGD | 111,472 | USD | 110,051 | 1,421 | ||||||||||||||
11/10/2016 | Goldman Sachs | 239,176,520 | SOU | 218,000 | USD | 216,949 | 1,051 | ||||||||||||||
11/10/2016 | Goldman Sachs | 1,083,555 | TWD | 33,843 | USD | 34,658 | (815 | ) | |||||||||||||
11/14/2016 | Goldman Sachs | 31,000 | GBP | 40,545 | USD | 40,331 | 214 | ||||||||||||||
11/14/2016 | Goldman Sachs | 66,000 | GBP | 85,801 | USD | 85,865 | (64 | ) | |||||||||||||
11/15/2016 | Goldman Sachs | 161,304 | MAL | 39,720 | USD | 39,001 | 719 | ||||||||||||||
1/3/2017 | Goldman Sachs | 2,022,000 | DKK | 293,771 | USD | 306,477 | (12,706 | ) | |||||||||||||
1/3/2017 | Goldman Sachs | 2,756,940 | DKK | 411,655 | USD | 417,873 | (6,218 | ) | |||||||||||||
Net unrealized depreciation on forward foreign currency contracts | $ | (17,132 | ) |
Global Atlantic Select Advisor Managed Risk Portfolio^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 14.7% | ||||||||
EQUITY FUNDS - 14.7% | ||||||||
65,721 | iShares Core S&P 500 ETF | $ | 14,298,261 | |||||
21,952 | iShares Russell 2000 ETF | 2,726,658 | ||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $15,453,138) | 17,024,919 | |||||||
VARIABLE INSURANCE TRUSTS - 74.1% | ||||||||
DEBT FUND - 21.5% | ||||||||
1,854,003 | MFS Research Bond Series | 24,880,723 | ||||||
EQUITY FUNDS - 52.6% | ||||||||
381,830 | American Century VP Mid Cap Value - Class 1 | 7,541,149 | ||||||
1,173,454 | American Century VP Value Fund - Investor Class | 11,499,848 | ||||||
85,296 | Invesco VI International Growth Fund - Class 1 | 2,907,754 | ||||||
406,935 | MFS Growth Series | 16,057,668 | ||||||
262,424 | MFS VIT II International Value Portfolio | 6,277,189 | ||||||
737,324 | Putnam VT Equity Income - Class 1A | 16,619,286 | ||||||
60,902,894 | ||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $83,472,690) | 85,783,617 | |||||||
SHORT-TERM INVESTMENTS -11.3% | ||||||||
MONEY MARKET FUND - 11.3% | ||||||||
13,084,529 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $13,084,529) | 13,084,529 | ||||||
TOTAL INVESTMENTS - 100.0% (Cost - $112,010,357)(b) | $ | 115,893,065 | ||||||
OTHER ASSETS LESS LIABILITIES -NET - (0.0)% | (16,505) | |||||||
TOTAL NET ASSETS - 100.0% | $ | 115,876,560 |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $112,271,185 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 3,964,809 | ||
Unrealized Depreciation: | (342,929 | ) | ||
Net Unrealized Appreciation: | $ | 3,621,880 |
^ | Formerly FVIT Select Advisor Managed Risk Portfolio. |
Global Atlantic Wellington Research Managed Risk Portfolio ^ |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
COMMON STOCKS - 60.4% | ||||||||
ADVERTISING - 0.1% | ||||||||
16,789 | The Interpublic Group of Cos., Inc. | $ | 375,234 | |||||
AEROSPACE/DEFENSE - 1.4% | ||||||||
11,387 | General Dynamics Corp. | 1,766,807 | ||||||
6,726 | Lockheed Martin Corp. | 1,612,357 | ||||||
5,558 | Northrop Grumman Corp. | 1,189,134 | ||||||
9,770 | The Boeing Co. | 1,287,100 | ||||||
5,855,398 | ||||||||
AGRICULTURE - 0.7% | ||||||||
47,325 | Altria Group, Inc. | 2,992,360 | ||||||
AIRLINES - 0.1% | ||||||||
11,530 | American Airlines Group, Inc. | 422,113 | ||||||
APPAREL - 0.8% | ||||||||
44,942 | NIKE, Inc. | 2,366,196 | ||||||
12,037 | Under Armour, Inc. * | 407,573 | ||||||
6,304 | VF Corp. | 353,339 | ||||||
3,127,108 | ||||||||
BANKS - 3.0% | ||||||||
249,512 | Bank of America Corp. | 3,904,863 | ||||||
40,609 | Capital One Financial Corp. | 2,916,944 | ||||||
8,419 | Northern Trust Corp. | 572,408 | ||||||
24,902 | The PNC Financial Services Group, Inc. | 2,243,421 | ||||||
58,983 | Wells Fargo & Co. | 2,611,767 | ||||||
12,249,403 | ||||||||
BEVERAGES - 2.6% | ||||||||
5,390 | Anheuser-Busch InBev - ADR | 708,300 | ||||||
5,650 | Constellation Brands, Inc. | 940,668 | ||||||
12,197 | Dr. Pepper Snapple Group, Inc. | 1,113,708 | ||||||
12,245 | Molson Coors Brewing Co. | 1,344,501 | ||||||
13,820 | Monster Beverage Corp. * | 2,028,914 | ||||||
33,217 | PepsiCo, Inc. | 3,613,013 | ||||||
16,494 | The Coca-Cola Co. | 698,026 | ||||||
10,447,130 | ||||||||
BIOTECHNOLOGY - 0.7% | ||||||||
4,620 | Aduro Biotech, Inc. * | 57,427 | ||||||
1,621 | Alnylam Pharmaceuticals, Inc. * | 109,871 | ||||||
16,235 | ARIAD Pharmaceuticals, Inc. * | 222,257 | ||||||
2,160 | BlueBird Bio, Inc. * | 146,405 | ||||||
6,720 | Celgene Corp. * | 702,442 | ||||||
9,720 | GlycoMimetics, Inc. * | 69,498 | ||||||
5,320 | Incyte Corp. * | 501,623 | ||||||
10,265 | Karyopharm Therapeutics, Inc. * | 99,878 | ||||||
8,270 | Nivalis Therapeutics, Inc. * | 67,235 | ||||||
22,261 | Novavax, Inc. * | 46,303 | ||||||
4,862 | Otonomy, Inc. * | 88,440 | ||||||
8,936 | PTC Therapeutics, Inc. * | 125,193 | ||||||
1,495 | Regeneron Pharmaceuticals, Inc. * | 601,020 | ||||||
10,080 | Syndax Pharmaceuticals, Inc. * | 152,813 | ||||||
2,990,405 | ||||||||
BUILDING MATERIALS - 0.7% | ||||||||
26,021 | Boise Cascade Co. * | 660,933 | ||||||
14,480 | CRH PLC - ADR | 481,750 | ||||||
4,580 | Fortune Brands Home & Security, Inc. | 266,098 | ||||||
2,610 | Martin Marietta Materials, Inc. | 467,477 | ||||||
13,836 | Summit Materials, Inc. * | 256,658 | ||||||
4,840 | Vulcan Materials Co. | 550,453 | ||||||
2,683,369 |
CHEMICALS - 1.0% | ||||||||
8,158 | Cabot Corp. | 427,561 | ||||||
13,832 | Celanese Corp. | 920,658 | ||||||
5,010 | Monsanto Co. | 512,022 | ||||||
7,021 | PPG Industries, Inc. | 725,691 | ||||||
21,662 | The Dow Chemical Co. | 1,122,741 | ||||||
8,242 | The Mosaic Co. | 201,599 | ||||||
1,067 | The Sherwin-Williams Co. | 295,196 | ||||||
4,205,468 | ||||||||
COMMERCIAL SERVICES - 1.9% | ||||||||
11,887 | Automatic Data Processing, Inc. | 1,048,433 | ||||||
6,915 | Equifax, Inc. | 930,621 | ||||||
3,203 | FleetCor Technologies, Inc. * | 556,457 | ||||||
21,891 | Global Payments, Inc. | 1,680,353 | ||||||
7,564 | IHS Markit Ltd. * | 284,028 | ||||||
14,956 | Nielsen Holdings PLC | 801,193 | ||||||
5,610 | S&P Global, Inc. | 710,002 | ||||||
36,219 | TransUnion * | 1,249,555 | ||||||
6,358 | WEX, Inc. * | 687,236 | ||||||
7,947,878 | ||||||||
COMPUTERS - 3.9% | ||||||||
8,440 | Accenture PLC - Cl. A | 1,031,115 | ||||||
77,029 | Apple, Inc. | 8,708,128 | ||||||
11,348 | Cognizant Technology Solutions Corp. - Cl. A * | 541,413 | ||||||
35,786 | Genpact Ltd. * | 857,075 | ||||||
82,910 | Pure Storage, Inc. * | 1,123,430 | ||||||
99,521 | Seagate Technology PLC | 3,836,535 | ||||||
16,097,696 | ||||||||
COSMETICS/PERSONAL CARE - 1.4% | ||||||||
31,116 | Colgate-Palmolive Co. | 2,306,940 | ||||||
60,962 | Coty, Inc. * | 1,414,319 | ||||||
22,674 | The Estee Lauder Cos., Inc. | 2,008,009 | ||||||
5,729,268 | ||||||||
DIVERSIFIED FINANCIAL SERVICES - 2.7% | ||||||||
3,786 | Alliance Data Systems Corp. * | 812,211 | ||||||
34,306 | American Express Co. | 2,196,956 | ||||||
1,641 | BlackRock, Inc. - Cl. A | 594,797 | ||||||
4,132 | Evercore Partners, Inc. | 212,839 | ||||||
2,626 | Intercontinental Exchange, Inc. | 707,339 | ||||||
16,053 | Invesco Ltd. | 501,977 | ||||||
13,153 | Legg Mason, Inc. | 440,362 | ||||||
150,404 | Santander Consumer USA Holdings, Inc. * | 1,828,913 | ||||||
43,641 | Visa, Inc. - Cl. A | 3,609,111 | ||||||
16,354 | WisdomTree Investments, Inc. | 168,283 | ||||||
11,072,788 | ||||||||
ELECTRIC - 2.3% | ||||||||
10,954 | Ameren Corp. | 538,718 | ||||||
23,970 | Avangrid, Inc. | 1,001,467 | ||||||
18,368 | Dominion Resources, Inc. | 1,364,191 | ||||||
4,930 | Duke Energy Corp. | 394,597 | ||||||
12,343 | Edison International | 891,782 | ||||||
7,628 | Eversource Energy | 413,285 | ||||||
22,828 | Exelon Corp. | 759,944 | ||||||
19,584 | NextEra Energy, Inc. | 2,395,515 | ||||||
19,423 | PG&E Corp. | 1,188,105 | ||||||
5,662 | Pinnacle West Capital Corp. | 430,255 | ||||||
9,377,859 | ||||||||
ELECTRICAL COMPONENTS & EQUIPMENT - 0.2% | ||||||||
15,050 | AMETEK, Inc. | 719,089 | ||||||
1,880 | SunPower Corp. * | 16,770 | ||||||
735,859 |
ELECTRONICS - 0.8% | ||||||||
16,308 | Fortive Corp. | 830,077 | ||||||
20,852 | Honeywell International, Inc. | 2,431,135 | ||||||
3,261,212 | ||||||||
ENERGY - ALTERNATE SOURCES - 0.0% ** | ||||||||
1,799 | First Solar, Inc. * | 71,043 | ||||||
FOOD - 1.1% | ||||||||
72,083 | Mondelez International, Inc. - Cl. A | 3,164,444 | ||||||
15,654 | Post Holdings, Inc. * | 1,208,019 | ||||||
4,372,463 | ||||||||
FOREST PRODUCTS & PAPER - 0.3% | ||||||||
23,054 | International Paper Co. | 1,106,131 | ||||||
GAS - 0.5% | ||||||||
11,770 | Sempra Energy | 1,261,626 | ||||||
13,320 | UGI Corp. | 602,597 | ||||||
1,864,223 | ||||||||
HEALTHCARE-PRODUCTS - 4.0% | ||||||||
10,124 | Abbott Laboratories | 428,144 | ||||||
23,285 | Baxter International, Inc. | 1,108,366 | ||||||
6,888 | Becton Dickinson and Co. | 1,237,980 | ||||||
67,960 | Boston Scientific Corp. * | 1,617,448 | ||||||
12,290 | ConforMIS, Inc. * | 121,917 | ||||||
32,617 | Danaher Corp. | 2,556,847 | ||||||
56,848 | Medtronic, PLC | 4,911,667 | ||||||
16,921 | St. Jude Medical, Inc. | 1,349,619 | ||||||
13,373 | Stryker Corp. | 1,556,751 | ||||||
7,432 | Thermo Fisher Scientific, Inc. | 1,182,134 | ||||||
16,070,873 | ||||||||
HEALTHCARE-SERVICES - 1.4% | ||||||||
9,630 | Cigna Corp. | 1,254,982 | ||||||
18,054 | HCA Holdings, Inc. * | 1,365,424 | ||||||
22,742 | UnitedHealth Group, Inc. | 3,183,880 | ||||||
5,804,286 | ||||||||
HOLDING COMPANY - 0.1% | ||||||||
48,290 | Conyers Park Acquisition Corp. * | 519,117 | ||||||
INSURANCE - 3.1% | ||||||||
44,897 | American International Group, Inc. | 2,664,188 | ||||||
45,909 | Assured Guaranty Ltd. | 1,273,975 | ||||||
5,610 | Chubb Ltd. | 704,896 | ||||||
33,645 | Marsh & McLennan Cos., Inc. | 2,262,626 | ||||||
11,745 | MetLife, Inc. | 521,830 | ||||||
12,063 | Principal Financial Group, Inc. | 621,365 | ||||||
13,926 | Prudential Financial, Inc. | 1,137,058 | ||||||
10,710 | The Allstate Corp. | 740,918 | ||||||
31,305 | The Hartford Financial Services Group, Inc. | 1,340,480 | ||||||
42,055 | XL Group Ltd. | 1,414,310 | ||||||
12,681,646 | ||||||||
INTERNET - 5.2% | ||||||||
8,149 | Alphabet, Inc. - Cl. A * | 6,552,285 | ||||||
8,083 | Amazon.com, Inc. * | 6,767,977 | ||||||
6,700 | Blucora, Inc. * | 75,040 | ||||||
18,091 | Expedia, Inc. | 2,111,582 | ||||||
29,116 | Facebook, Inc. - Cl. A * | 3,734,709 | ||||||
11,062 | Netflix, Inc. * | 1,090,160 | ||||||
20,840 | Wayfair, Inc. * | 820,471 | ||||||
21,152,224 |
IRON/STEEL - 0.1% | ||||||||
2,130 | Reliance Steel & Aluminum Co. | 153,424 | ||||||
5,860 | Steel Dynamics, Inc. | 146,441 | ||||||
299,865 | ||||||||
LODGING - 0.0% ** | ||||||||
2,040 | Las Vegas Sands Corp. | 117,382 | ||||||
MEDIA - 2.3% | ||||||||
14,309 | Charter Communications, Inc. * | 3,863,001 | ||||||
62,836 | Comcast Corp. | 4,168,540 | ||||||
55,884 | Twenty-First Century Fox, Inc. | 1,353,510 | ||||||
9,385,051 | ||||||||
METAL FABRICATE/HARDWARE - 0.1% | ||||||||
7,110 | Tenaris SA - ADR | 201,924 | ||||||
MISCELLANEOUS MANUFACTURING - 1.3% | ||||||||
17,439 | Eaton Corp. PLC | 1,145,917 | ||||||
27,800 | General Electric Co. | 823,436 | ||||||
17,676 | Illinois Tool Works, Inc. | 2,118,292 | ||||||
19,087 | Pentair - PLC | 1,226,149 | ||||||
5,313,794 | ||||||||
OIL & GAS - 2.6% | ||||||||
15,781 | Anadarko Petroleum Corp. | 999,884 | ||||||
15,729 | Chevron Corp. | 1,618,829 | ||||||
147,781 | Cobalt International Energy, Inc. * | 183,248 | ||||||
14,773 | ConocoPhillips | 642,182 | ||||||
6,284 | Ensco PLC | 53,414 | ||||||
5,153 | Exxon Mobil Corp. | 449,754 | ||||||
1,968 | Hess Corp. | 105,524 | ||||||
34,877 | Newfield Exploration Co. * | 1,515,754 | ||||||
17,430 | Patterson-UTI Energy, Inc. | 389,909 | ||||||
26,509 | PBF Energy, Inc. | 600,164 | ||||||
8,951 | PDC Energy, Inc. * | 600,254 | ||||||
9,640 | Pioneer Natural Resources Co. | 1,789,666 | ||||||
35,228 | QEP Resources, Inc. | 688,003 | ||||||
3,814 | Tesoro Corp. | 303,442 | ||||||
9,654 | Valero Energy Corp. | 511,662 | ||||||
10,451,689 | ||||||||
OIL & GAS SERVICES - 0.3% | ||||||||
12,680 | Baker Hughes, Inc. | 639,960 | ||||||
2,732 | Halliburton Co. | 122,612 | ||||||
2,350 | Oceaneering International, Inc. | 64,648 | ||||||
19,850 | Tesco Corp. | 161,976 | ||||||
43,480 | Weatherford International PLC * | 244,358 | ||||||
1,233,554 | ||||||||
PACKAGING & CONTAINERS - 0.4% | ||||||||
15,989 | Ball Corp. | 1,310,299 | ||||||
14,152 | Owens-Illinois, Inc. * | 260,255 | ||||||
1,570,554 | ||||||||
PHARMACEUTICALS - 4.0% | ||||||||
4,933 | Aerie Pharmaceuticals, Inc. * | 186,171 | ||||||
9,751 | Alkermes PLC * | 458,590 | ||||||
8,922 | Allergan PLC * | 2,054,826 | ||||||
35,739 | AstraZeneca PLC - ADR | 1,174,384 | ||||||
46,905 | Bristol-Myers Squibb Co. | 2,529,118 | ||||||
9,093 | Cardinal Health, Inc. | 706,526 | ||||||
6,020 | Chiasma, Inc. * | 17,699 | ||||||
15,040 | Eli Lilly & Co | 1,207,110 | ||||||
14,966 | Ironwood Pharmaceuticals, Inc. - Cl. A * | 237,660 | ||||||
16,060 | Johnson & Johnson | 1,897,168 | ||||||
15,171 | McKesson Corp. | 2,529,764 | ||||||
32,335 | Merck & Co., Inc. | 2,018,027 | ||||||
19,189 | Mylan NV * | 731,485 | ||||||
7,080 | MyoKardia, Inc. * | 115,687 | ||||||
3,055 | Regulus Therapeutics, Inc. * | 10,082 | ||||||
3,164 | TESARO, Inc. * | 317,159 | ||||||
15,851 | Trevena, Inc. * | 106,994 | ||||||
16,298,450 |
PIPELINES - 0.6% | ||||||||
34,693 | Kinder Morgan, Inc. | 802,449 | ||||||
5,786 | ONEOK, Inc. | 297,343 | ||||||
15,119 | Spectra Energy Corp. | 646,337 | ||||||
12,060 | TransCanada Corp. | 573,574 | ||||||
2,319,703 | ||||||||
REAL ESTATE INVESTMENT TRUSTS - 2.1% | ||||||||
23,722 | American Tower Corp. | 2,688,414 | ||||||
10,972 | Apartment Investment & Management Co. | 503,725 | ||||||
6,223 | Boston Properties, Inc. | 848,133 | ||||||
2,090 | Equinix, Inc. | 752,922 | ||||||
18,945 | Host Hotels & Resorts, Inc. | 294,974 | ||||||
31,246 | Outfront Media Inc | 738,968 | ||||||
14,217 | Prologis, Inc. | 761,178 | ||||||
7,900 | Regency Centers Corp. | 612,171 | ||||||
7,182 | Simon Property Group, Inc. | 1,486,746 | ||||||
8,687,231 | ||||||||
RETAIL - 1.9% | ||||||||
14,798 | Advance Auto Parts, Inc. | 2,206,678 | ||||||
11,250 | Costco Wholesale Corp. | 1,715,737 | ||||||
6,724 | L Brands, Inc. | 475,857 | ||||||
3,105 | O’Reilly Automotive, Inc. * | 869,742 | ||||||
24,696 | Starbucks Corp. | 1,337,041 | ||||||
15,103 | Walgreens Boots Alliance, Inc. | 1,217,604 | ||||||
300 | Wingstop, Inc. | 8,790 | ||||||
7,831,449 | ||||||||
SEMICONDUCTORS - 1.6% | ||||||||
5,464 | Broadcom Ltd. | 942,649 | ||||||
72,800 | Intel Corp. | 2,748,200 | ||||||
1,350 | MACOM Technology Solutions Holdings, Inc. * | 57,159 | ||||||
9,312 | Microchip Technology, Inc. | 578,648 | ||||||
15,553 | Micron Technology, Inc. * | 276,532 | ||||||
3,542 | NXP Semiconductors NV * | 361,319 | ||||||
20,995 | QUALCOMM, Inc. | 1,438,157 | ||||||
6,402,664 | ||||||||
SOFTWARE - 1.8% | ||||||||
18,299 | Electronic Arts, Inc. * | 1,562,735 | ||||||
6,310 | Envestnet, Inc. * | 230,000 | ||||||
53,881 | Microsoft Corp. | 3,103,546 | ||||||
3,625 | Salesforce.com, Inc. * | 258,571 | ||||||
11,700 | ServiceNow, Inc. * | 926,055 | ||||||
11,516 | SS&C Technologies Holdings, Inc. | 370,239 | ||||||
9,822 | Workday, Inc. * | 900,579 | ||||||
7,351,725 | ||||||||
TELECOMMUNICATIONS - 0.1% | ||||||||
6,629 | Arista Networks, Inc. * | 563,995 | ||||||
TEXTILES - 0.5% | ||||||||
10,208 | Mohawk Industries, Inc. * | 2,045,071 | ||||||
TRANSPORTATION - 0.7% | ||||||||
9,060 | CSX Corp. | 276,330 | ||||||
4,731 | FedEx Corp. | 826,411 | ||||||
4,465 | Genesee & Wyoming, Inc. * | 307,862 | ||||||
2,000 | JB Hunt Transport Services, Inc. | 162,280 | ||||||
1,160 | Kansas City Southern | 108,251 | ||||||
780 | Kirby Corp. * | 48,485 | ||||||
12,878 | Knight Transportation, Inc. | 369,470 | ||||||
17,720 | XPO Logistics, Inc. * | 649,792 | ||||||
2,748,881 | ||||||||
TOTAL COMMON STOCKS (Cost - $221,444,967) | 246,035,536 | |||||||
PREFERRED STOCK - 0.0% ** | ||||||||
TELECOMMUNICATIONS - 0.0% ** | ||||||||
3,000 | Verizon Communications, Inc. (Cost $75,000) | 83,820 | ||||||
EXCHANGE TRADED FUND - 1.7% | ||||||||
EQUITY FUND - 1.7% | ||||||||
32,656 | SPDR S&P 500 ETF Trust (Cost - $6,216,079) | 7,063,493 |
Principal Amount | Coupon Rate (%) | Maturity | ||||||||||
ASSET BACKED SECURITIES - 3.5% | ||||||||||||
$ | 101,000 | Ally Master Owner Trust | 1.33 | 3/15/2019 | 101,207 | |||||||
100,000 | Ally Master Owner Trust | 1.60 | 10/15/2019 | 100,501 | ||||||||
116,000 | AmeriCredit Automobile Receivables Trust 2013-5 | 1.52 | 1/8/2019 | 116,147 | ||||||||
14,247 | AmeriCredit Automobile Receivables Trust 2014-1 | 0.90 | 2/8/2019 | 14,252 | ||||||||
95,000 | AmeriCredit Automobile Receivables Trust 2014-1 | 1.68 | 7/8/2019 | 95,266 | ||||||||
120,000 | AmeriCredit Automobile Receivables Trust 2014-1 | 2.15 | 3/9/2020 | 120,847 | ||||||||
145,000 | AmeriCredit Automobile Receivables Trust 2014-2 | 1.60 | 7/8/2019 | 145,307 | ||||||||
250,000 | Apidos CLO XXI (a)++ | 2.11 | 7/18/2027 | 250,152 | ||||||||
350,000 | Apidos CLO XXII (a)++ | 2.75 | 10/20/2027 | 351,399 | ||||||||
300,000 | Atrium XII (a)++ | 2.95 | 10/22/2026 | 301,406 | ||||||||
300,000 | Babson CLO Ltd. 2013-I (a)++ | 1.80 | 4/20/2025 | 298,929 | ||||||||
270,000 | Babson CLO Ltd. 2015-I (a)++ | 2.13 | 4/20/2027 | 270,099 | ||||||||
300,000 | Ballyrock CLO 2016-1 Ltd. (a)++ | 2.41 | 10/15/2028 | 300,433 | ||||||||
325,000 | BlueMountain CLO 2015-3 Ltd. (a)++ | 2.18 | 10/20/2027 | 325,285 | ||||||||
225,000 | Capital Auto Receivables Asset Trust 2015-3 | 1.72 | 1/22/2019 | 226,004 | ||||||||
385,000 | CARDS II Trust (a)++ | 1.22 | 7/15/2021 | 385,739 | ||||||||
225,000 | CarMax Auto Owner Trust 2013-4 | 1.71 | 7/15/2019 | 226,336 | ||||||||
100,000 | CarMax Auto Owner Trust 2013-4 | 1.95 | 9/16/2019 | 100,144 | ||||||||
150,000 | Cent CLO 20 Ltd. (a)++ | 2.19 | 1/25/2026 | 150,010 | ||||||||
250,000 | Cent CLO 21 Ltd. (a)++ | 2.22 | 7/27/2026 | 250,001 | ||||||||
250,000 | Cent CLO 23 Ltd. (a)++ | 2.17 | 4/17/2026 | 253,771 | ||||||||
429,976 | Chesapeake Funding II LLC (a)++ | 1.45 | 6/15/2028 | 432,254 | ||||||||
100,000 | Chrysler Capital Auto Receivables Trust 2013-A (a) | 1.83 | 3/15/2019 | 100,034 | ||||||||
80,000 | Chrysler Capital Auto Receivables Trust 2013-B (a) | 1.78 | 6/17/2019 | 80,107 | ||||||||
90,000 | Chrysler Capital Auto Receivables Trust 2015-A (a) | 1.55 | 2/18/2020 | 89,195 | ||||||||
350,000 | CIFC Funding 2014-II Ltd. (a)++ | 2.31 | 5/24/2026 | 350,039 | ||||||||
250,000 | CNH Equipment Trust 2015-C | 1.66 | 11/16/2020 | 250,612 | ||||||||
73,875 | DB Master Finance LLC 2015-1 (a) | 3.26 | 2/20/2045 | 74,372 | ||||||||
67,384 | Drive Auto Receivables Trust 2015-B (a) | 2.12 | 6/17/2019 | 67,498 | ||||||||
265,000 | Dryden 41 Senior Loan Fund (a)++ | 2.83 | 1/15/2028 | 266,008 | ||||||||
450,000 | Evergreen Credit Card Trust Series 2016-1 (a)++ | 1.24 | 4/15/2020 | 451,638 | ||||||||
40,216 | Exeter Automobile Receivables Trust 2015-2 (a) | 1.54 | 11/15/2019 | 40,078 | ||||||||
114,581 | First Investors Auto Owner Trust 2014-1 (a) | 1.49 | 1/15/2020 | 114,512 | ||||||||
135,000 | First Investors Auto Owner Trust 2014-1 (a) | 2.26 | 1/15/2020 | 135,328 | ||||||||
89,209 | First Investors Auto Owner Trust 2014-3 (a) | 1.67 | 11/16/2020 | 89,218 | ||||||||
55,000 | First Investors Auto Owner Trust 2014-3 (a) | 2.39 | 11/16/2020 | 55,096 | ||||||||
10,000 | Ford Credit Auto Owner Trust 2013-A | 1.36 | 10/15/2018 | 10,009 | ||||||||
100,000 | Ford Credit Auto Owner Trust 2014-A | 1.90 | 9/15/2019 | 100,496 | ||||||||
145,000 | Ford Credit Floorplan Master Owner Trust A | 1.77 | 8/15/2020 | 146,248 | ||||||||
100,000 | Ford Credit Floorplan Master Owner Trust A (a) | 2.09 | 3/15/2022 | 101,828 | ||||||||
100,000 | Ford Credit Floorplan Master Owner Trust A | 2.31 | 2/15/2021 | 101,457 | ||||||||
275,000 | Galaxy XIX CLO Ltd. (a)++ | 2.26 | 1/24/2027 | 275,799 | ||||||||
190,000 | Green Tree Agency Advance Funding Trust I Series 2015-T1 (a) | 2.30 | 10/15/2046 | 190,130 | ||||||||
300,000 | Highbridge Loan Management 6-2015 Ltd. (a)++ | 2.23 | 5/5/2027 | 300,067 | ||||||||
100,000 | Hyundai Auto Receivables Trust 2013-A | 1.13 | 9/17/2018 | 99,983 | ||||||||
60,000 | Hyundai Auto Receivables Trust 2013-B | 1.45 | 2/15/2019 | 60,145 | ||||||||
91,000 | Hyundai Auto Receivables Trust 2013-B | 1.71 | 2/15/2019 | 91,430 | ||||||||
167,000 | Hyundai Auto Receivables Trust 2014-B | 2.10 | 11/15/2019 | 167,756 | ||||||||
300,000 | Madison Park Funding XI Ltd. (a)++ | 1.99 | 10/23/2025 | 298,897 | ||||||||
250,000 | Madison Park Funding XV Ltd. (a)++ | 3.13 | 1/27/2026 | 250,469 | ||||||||
250,000 | Magnetite XII Ltd. (a)++ | 2.18 | 4/15/2027 | 250,060 | ||||||||
190,000 | MMAF Equipment Finance LLC 2016-A (a) | 1.39 | 12/17/2018 | 189,947 | ||||||||
140,000 | MMAF Equipment Finance LLC 2016-A (a) | 2.21 | 12/15/2032 | 140,553 | ||||||||
200,000 | NYCTL 2016-A Trust (a) | 1.47 | 11/10/2029 | 199,974 | ||||||||
300,000 | Octagon Investment Partners XVI Ltd. (a)++ | 1.80 | 7/17/2025 | 297,702 | ||||||||
100,000 | OneMain Financial Issuance Trusts 2016-1A (a) | 3.66 | 2/20/2029 | 102,667 | ||||||||
170,000 | OneMain Financial Issuance Trusts 2016-2 (a) | 4.10 | 3/20/2028 | 175,156 | ||||||||
275,000 | OZLM Funding V Ltd. (a)++ | 2.18 | 1/17/2026 | 275,017 | ||||||||
100,000 | Prestige Auto Receivables Trust 2014-1 (a) | 1.91 | 4/15/2020 | 100,201 | ||||||||
250,000 | Race Point VIII CLO Ltd. (a)++ | 2.06 | 2/20/2025 | 250,217 | ||||||||
200,000 | Santander Drive Auto Receivables Trust 2012-5 | 3.30 | 9/17/2018 | 201,806 | ||||||||
1,780 | Santander Drive Auto Receivables Trust 2012-6 | 1.94 | 3/15/2018 | 1,781 | ||||||||
45,000 | Santander Drive Auto Receivables Trust 2013-2 | 2.57 | 3/15/2019 | 45,519 | ||||||||
34,807 | Santander Drive Auto Receivables Trust 2013-5 | 2.25 | 6/17/2019 | 35,015 | ||||||||
100,000 | Santander Drive Auto Receivables Trust 2014-1 | 2.36 | 4/15/2020 | 100,774 | ||||||||
33,272 | Santander Drive Auto Receivables Trust 2014-2 | 1.62 | 2/15/2019 | 33,312 | ||||||||
33,777 | Santander Drive Auto Receivables Trust 2014-4 | 1.82 | 5/15/2019 | 33,862 | ||||||||
80,000 | Santander Drive Auto Receivables Trust 2015-1 | 1.97 | 11/15/2019 | 80,325 | ||||||||
33,543 | Santander Drive Auto Receivables Trust 2015-4 | 1.20 | 12/17/2018 | 33,572 | ||||||||
325,000 | Shackleton 2015-VIII CLO Ltd. (a)++ | 2.21 | 10/20/2027 | 325,285 | ||||||||
325,000 | Sound Point Clo XII Ltd. (a)++ | 2.14 | 10/20/2028 | 325,875 | ||||||||
165,000 | Springleaf Funding Trust 2015-A (a) | 3.16 | 11/15/2024 | 167,162 | ||||||||
190,000 | SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2015-T3 (a) | 2.92 | 7/15/2047 | 189,428 | ||||||||
620,000 | Trillium Credit Card Trust II (a)++ | 1.24 | 5/26/2021 | 621,735 | ||||||||
250,000 | Voya CLO 2014-2 Ltd. (a)++ | 2.13 | 7/17/2026 | 250,004 | ||||||||
300,000 | Webster Park CLO Ltd. A-2 (a)++ | 2.95 | 1/20/2027 | 301,930 | ||||||||
105,000 | Westlake Automobile Receivables Trust 2015-2 (a) | 1.83 | 1/15/2021 | 105,161 | ||||||||
145,000 | Westlake Automobile Receivables Trust 2016-2 (a) | 1.57 | 6/17/2019 | 144,875 | ||||||||
TOTAL ASSET BACKED SECURITIES (Cost - $14,076,900) | 14,152,853 |
CORPORATE BONDS - 10.8% | ||||||||||||
ADVERTISING - 0.0% ** | ||||||||||||
140,000 | Omnicom Group, Inc. | 3.60 | 4/15/2026 | 148,012 | ||||||||
AEROSPACE/DEFENSE - 0.2% | ||||||||||||
100,000 | BAE Systems Holdings, Inc. (a) | 3.85 | 12/15/2025 | 106,337 | ||||||||
50,000 | Lockheed Martin Corp. | 2.50 | 11/23/2020 | 51,614 | ||||||||
147,000 | Lockheed Martin Corp. | 4.07 | 12/15/2042 | 157,471 | ||||||||
30,000 | Lockheed Martin Corp. | 4.50 | 5/15/2036 | 34,138 | ||||||||
75,000 | Lockheed Martin Corp. | 4.70 | 5/15/2046 | 89,109 | ||||||||
50,000 | Lockheed Martin Corp. | 4.85 | 9/15/2041 | 58,991 | ||||||||
125,000 | Lockheed Martin Corp. | 6.15 | 9/1/2036 | 168,207 | ||||||||
665,867 | ||||||||||||
AGRICULTURE - 0.2% | ||||||||||||
230,000 | BAT International Finance PLC (a) | 2.75 | 6/15/2020 | 238,165 | ||||||||
20,000 | BAT International Finance PLC (a) | 3.50 | 6/15/2022 | 21,474 | ||||||||
216,000 | Cargill, Inc. (a) | 4.76 | 11/23/2045 | 254,257 | ||||||||
475,000 | Imperial Brands Finance PLC (a) | 3.75 | 7/21/2022 | 504,032 | ||||||||
1,017,928 | ||||||||||||
AUTO MANUFACTURERS - 0.3% | ||||||||||||
450,000 | Ford Motor Credit Co. LLC | 3.16 | 8/4/2020 | 463,791 | ||||||||
100,000 | Ford Motor Credit Co. LLC | 6.63 | 8/15/2017 | 104,363 | ||||||||
275,000 | General Motors Financial Co., Inc. | 3.50 | 7/10/2019 | 283,305 | ||||||||
200,000 | General Motors Financial Co., Inc. | 3.70 | 5/9/2023 | 203,412 | ||||||||
125,000 | General Motors Financial Co., Inc. | 4.20 | 3/1/2021 | 131,545 | ||||||||
100,000 | Nissan Motor Acceptance Corp. (a) | 2.65 | 9/26/2018 | 102,100 | ||||||||
1,288,516 |
BANKS - 2.8% | ||||||||||||
135,000 | Bank of America Corp. | 2.25 | 4/21/2020 | 135,929 | ||||||||
640,000 | Bank of America Corp. | 2.63 | 10/19/2020 | 653,115 | ||||||||
160,000 | Bank of America Corp. | 4.20 | 8/26/2024 | 169,431 | ||||||||
300,000 | Banque Federative du Credit Mutuel SA (a) | 2.75 | 10/15/2020 | 310,280 | ||||||||
405,000 | Barclays Bank PLC | 3.20 | 8/10/2021 | 407,129 | ||||||||
100,000 | Barclays Bank PLC | 5.14 | 10/14/2020 | 108,283 | ||||||||
150,000 | BB&T Corp. | 2.45 | 1/15/2020 | 153,500 | ||||||||
50,000 | BNP Paribas SA | 2.38 | 9/14/2017 | 50,387 | ||||||||
400,000 | BPCE SA (a) | 5.15 | 7/21/2024 | 420,739 | ||||||||
300,000 | Capital One Financial Corp. | 3.20 | 2/5/2025 | 305,813 | ||||||||
105,000 | Capital One Financial Corp. | 4.20 | 10/29/2025 | 109,546 | ||||||||
70,000 | Citigroup, Inc. | 3.30 | 4/27/2025 | 72,003 | ||||||||
300,000 | Citigroup, Inc. | 3.50 | 5/15/2023 | 308,202 | ||||||||
50,000 | Citigroup, Inc. | 4.05 | 7/30/2022 | 53,136 | ||||||||
55,000 | Citigroup, Inc. | 5.50 | 9/13/2025 | 62,724 | ||||||||
185,000 | Citizens Financial Group, Inc. | 4.30 | 12/3/2025 | 194,115 | ||||||||
200,000 | Credit Agricole SA (a) | 4.38 | 3/17/2025 | 204,173 | ||||||||
50,000 | Credit Suisse AG | 5.40 | 1/14/2020 | 54,653 | ||||||||
250,000 | Credit Suisse Group Funding Guernsey Ltd. | 3.13 | 12/10/2020 | 253,274 | ||||||||
395,000 | Credit Suisse Group Funding Guernsey Ltd. | 3.80 | 9/15/2022 | 403,525 | ||||||||
525,000 | Discover Bank | 3.10 | 6/4/2020 | 540,089 | ||||||||
300,000 | Fifth Third Bank | 2.15 | 8/20/2018 | 303,868 | ||||||||
305,000 | HSBC Holdings PLC | 3.40 | 3/8/2021 | 315,450 | ||||||||
200,000 | HSBC Holdings PLC | 3.60 | 5/25/2023 | 206,559 | ||||||||
60,000 | HSBC Holdings PLC | 4.00 | 3/30/2022 | 63,926 | ||||||||
250,000 | Huntington Bancshares, Inc. | 3.15 | 3/14/2021 | 259,163 | ||||||||
400,000 | JPMorgan Chase & Co. | 2.95 | 10/1/2026 | 401,047 | ||||||||
200,000 | Lloyds Bank PLC | 3.50 | 5/14/2025 | 211,280 | ||||||||
70,000 | Morgan Stanley | 3.13 | 7/27/2026 | 70,419 | ||||||||
110,000 | Morgan Stanley | 3.88 | 4/29/2024 | 117,644 | ||||||||
455,000 | Morgan Stanley | 4.35 | 9/8/2026 | 485,759 | ||||||||
400,000 | PNC Bank NA | 2.60 | 7/21/2020 | 412,656 | ||||||||
120,000 | Santander Holdings USA, Inc. | 2.65 | 4/17/2020 | 120,721 | ||||||||
400,000 | Santander Holdings USA, Inc. | 2.70 | 5/24/2019 | 404,994 | ||||||||
200,000 | Santander Issuances SAU | 5.18 | 11/19/2025 | 203,770 | ||||||||
300,000 | Santander UK PLC | 2.00 | 8/24/2018 | 301,104 | ||||||||
300,000 | Santander UK PLC (a) | 5.00 | 11/7/2023 | 312,647 | ||||||||
200,000 | Skandinaviska Enskilda Banken AB (a) | 2.45 | 5/27/2020 | 204,473 | ||||||||
350,000 | State Street Corp. | 3.55 | 8/18/2025 | 379,476 | ||||||||
130,000 | The Goldman Sachs Group, Inc. | 2.63 | 4/25/2021 | 132,007 | ||||||||
200,000 | The Goldman Sachs Group, Inc. | 3.50 | 1/23/2025 | 206,837 | ||||||||
85,000 | The Goldman Sachs Group, Inc. | 4.75 | 10/21/2045 | 95,392 | ||||||||
55,000 | The Goldman Sachs Group, Inc. | 4.80 | 7/8/2044 | 61,859 | ||||||||
50,000 | The Goldman Sachs Group, Inc. | 6.75 | 10/1/2037 | 63,666 | ||||||||
250,000 | The Huntington National Bank | 2.40 | 4/1/2020 | 253,143 | ||||||||
50,000 | The PNC Financial Services Group, Inc. | 3.90 | 4/29/2024 | 53,596 | ||||||||
250,000 | UBS Group Funding Jersey Ltd. (a) | 2.95 | 9/24/2020 | 256,106 | ||||||||
225,000 | UBS Group Funding Jersey Ltd. (a) | 3.00 | 4/15/2021 | 231,090 | ||||||||
150,000 | Wells Fargo & Co. | 3.00 | 2/19/2025 | 152,325 | ||||||||
35,000 | Wells Fargo & Co. | 4.10 | 6/3/2026 | 37,133 | ||||||||
11,288,156 | ||||||||||||
BEVERAGES - 0.3% | ||||||||||||
400,000 | Anheuser-Busch InBev Finance, Inc. | 3.30 | 2/1/2023 | 422,203 | ||||||||
260,000 | Anheuser-Busch InBev Finance, Inc. | 3.65 | 2/1/2026 | 279,240 | ||||||||
300,000 | Anheuser-Busch InBev Finance, Inc. | 4.70 | 2/1/2036 | 344,932 | ||||||||
70,000 | Anheuser-Busch InBev Finance, Inc. | 4.90 | 2/1/2046 | 83,285 | ||||||||
55,000 | Anheuser-Busch InBev Worldwide, Inc. | 3.75 | 7/15/2042 | 55,050 | ||||||||
1,184,710 | ||||||||||||
BIOTECHNOLOGY - 0.1% | ||||||||||||
130,000 | Biogen, Inc. | 2.90 | 9/15/2020 | 135,012 | ||||||||
70,000 | Celgene Corp. | 3.55 | 8/15/2022 | 74,374 | ||||||||
50,000 | Celgene Corp. | 3.63 | 5/15/2024 | 52,626 | ||||||||
90,000 | Gilead Sciences, Inc. | 2.55 | 9/1/2020 | 92,961 | ||||||||
354,973 | ||||||||||||
CHEMICALS - 0.2% | ||||||||||||
300,000 | Agrium, Inc. | 3.15 | 10/1/2022 | 311,441 | ||||||||
55,000 | Agrium, Inc. | 7.13 | 5/23/2036 | 71,788 | ||||||||
375,000 | CF Industries, Inc. | 7.13 | 5/1/2020 | 431,744 | ||||||||
150,000 | LYB International Finance BV | 4.88 | 3/15/2044 | 162,043 | ||||||||
40,000 | Monsanto Co. | 3.38 | 7/15/2024 | 41,449 | ||||||||
1,018,465 |
COMMERCIAL SERVICES - 0.3% | ||||||||||||
100,000 | Catholic Health Initiatives | 2.95 | 11/1/2022 | 101,179 | ||||||||
120,000 | Catholic Health Initiatives | 4.35 | 11/1/2042 | 118,983 | ||||||||
500,000 | ERAC USA Finance, LLC (a) | 3.30 | 10/15/2022 | 523,786 | ||||||||
355,000 | Total System Services, Inc. | 3.80 | 4/1/2021 | 376,711 | ||||||||
1,120,659 | ||||||||||||
DIVERSIFIED FINANCIAL SERVICES - 0.3% | ||||||||||||
50,000 | American Express Co. | 1.55 | 5/22/2018 | 50,093 | ||||||||
285,000 | LeasePlan Corp NV (a) | 2.88 | 1/22/2019 | 287,700 | ||||||||
350,000 | Private Export Funding Corp. | 3.25 | 6/15/2025 | 384,155 | ||||||||
155,000 | Synchrony Financial | 2.60 | 1/15/2019 | 156,826 | ||||||||
15,000 | Synchrony Financial | 2.70 | 2/3/2020 | 15,188 | ||||||||
205,000 | Synchrony Financial | 3.75 | 8/15/2021 | 215,628 | ||||||||
1,109,590 | ||||||||||||
ELECTRIC - 0.9% | ||||||||||||
200,000 | Appalachian Power Co. | 3.40 | 6/1/2025 | 213,091 | ||||||||
150,000 | Berkshire Hathaway Energy Co. | 4.50 | 2/1/2045 | 167,590 | ||||||||
60,000 | Consolidated Edison Co. of New York, Inc. | 4.63 | 12/1/2054 | 68,735 | ||||||||
160,000 | Dominion Resources, Inc. # | 2.96 | 7/1/2019 | 164,225 | ||||||||
230,000 | Dominion Resources, Inc. # | 4.10 | 4/1/2021 | 246,331 | ||||||||
175,000 | Duke Energy Carolinas LLC | 6.10 | 6/1/2037 | 230,649 | ||||||||
70,000 | Duke Energy Corp. | 2.65 | 9/1/2026 | 68,689 | ||||||||
225,000 | Duke Energy Corp. | 3.75 | 4/15/2024 | 242,974 | ||||||||
55,000 | Emera US Finance LP (a) | 2.70 | 6/15/2021 | 56,285 | ||||||||
190,000 | Entergy Corp. | 2.95 | 9/1/2026 | 190,309 | ||||||||
10,000 | Eversource Energy | 3.15 | 1/15/2025 | 10,413 | ||||||||
190,000 | Fortis, Inc. (a) | 3.06 | 10/4/2026 | 189,193 | ||||||||
450,000 | NextEra Energy Capital Holdings, Inc. | 2.06 | 9/1/2017 | 452,442 | ||||||||
51,000 | Oncor Electric Delivery Co. LLC | 2.95 | 4/1/2025 | 52,995 | ||||||||
160,000 | Oncor Electric Delivery Co. LLC | 4.10 | 6/1/2022 | 176,888 | ||||||||
75,000 | Pacific Gas & Electric Co. | 3.40 | 8/15/2024 | 80,443 | ||||||||
50,000 | PPL Capital Funding, Inc. | 3.50 | 12/1/2022 | 53,051 | ||||||||
156,000 | SCANA Corp. | 4.13 | 2/1/2022 | 163,075 | ||||||||
45,000 | SCANA Corp. | 4.75 | 5/15/2021 | 48,470 | ||||||||
150,000 | South Carolina Electric & Gas Co. | 5.10 | 6/1/2065 | 175,799 | ||||||||
225,000 | The Southern Co. | 2.75 | 6/15/2020 | 232,082 | ||||||||
290,000 | The Southern Co. | 2.95 | 7/1/2023 | 299,630 | ||||||||
3,583,359 | ||||||||||||
ENGINEERING & CONSTRUCTION - 0.1% | ||||||||||||
50,000 | SBA Tower Trust (a) | 2.90 | 10/15/2019 | 50,711 | ||||||||
255,000 | SBA Tower Trust (a) | 3.16 | 10/15/2020 | 261,622 | ||||||||
312,333 | ||||||||||||
FOOD - 0.2% | ||||||||||||
165,000 | Kraft Heinz Foods Co. | 3.50 | 7/15/2022 | 175,342 | ||||||||
65,000 | Kraft Heinz Foods Co. | 4.38 | 6/1/2046 | 68,772 | ||||||||
240,000 | Sigma Alimentos SA de CV (a) | 4.13 | 5/2/2026 | 240,600 | ||||||||
375,000 | The Kroger Co. | 2.95 | 11/1/2021 | 390,963 | ||||||||
15,000 | Tyson Foods, Inc. | 2.65 | 8/15/2019 | 15,381 | ||||||||
891,058 | ||||||||||||
GAS - 0.1% | ||||||||||||
125,000 | Dominion Gas Holdings LLC | 3.60 | 12/15/2024 | 132,852 | ||||||||
275,000 | KeySpan Gas East Corp. (a) | 2.74 | 8/15/2026 | 278,350 | ||||||||
411,202 | ||||||||||||
HEALTHCARE-PRODUCTS - 0.2% | ||||||||||||
325,000 | Boston Scientific Corp. | 3.38 | 5/15/2022 | 341,771 | ||||||||
205,000 | Medtronic, Inc. | 3.50 | 3/15/2025 | 220,758 | ||||||||
75,000 | Medtronic, Inc. | 4.38 | 3/15/2035 | 84,989 | ||||||||
647,518 |
HEALTHCARE-SERVICES - 0.3% | ||||||||||||
135,000 | Aetna, Inc. | 2.80 | 6/15/2023 | 137,854 | ||||||||
105,000 | Aetna, Inc. | 4.25 | 6/15/2036 | 108,753 | ||||||||
75,000 | Anthem, Inc. | 3.50 | 8/15/2024 | 78,963 | ||||||||
150,000 | Anthem, Inc. | 4.65 | 8/15/2044 | 163,617 | ||||||||
25,000 | Dignity Health | 3.81 | 11/1/2024 | 26,703 | ||||||||
75,000 | Kaiser Foundation Hospitals | 3.50 | 4/1/2022 | 79,873 | ||||||||
30,000 | Memorial Sloan-Kettering Cancer Center | 4.20 | 7/1/2055 | 33,556 | ||||||||
50,000 | Memorial Sloan-Kettering Cancer Center | 5.00 | 7/1/2042 | 62,906 | ||||||||
50,000 | Providence St. Joseph Health Obligated Group | 3.74 | 10/1/2047 | 51,286 | ||||||||
100,000 | The City of Hope | 5.62 | 11/15/2043 | 129,271 | ||||||||
35,000 | The New York and Presbyterian Hospital | 4.02 | 8/1/2045 | 38,442 | ||||||||
300,000 | United Health Group, Inc. | 2.88 | 3/15/2023 | 312,936 | ||||||||
45,000 | United Health Group, Inc. | 3.35 | 7/15/2022 | 48,322 | ||||||||
75,000 | United Health Group, Inc. | 3.75 | 7/15/2025 | 82,362 | ||||||||
1,354,844 | ||||||||||||
INSURANCE - 0.3% | ||||||||||||
50,000 | American International Group, Inc. | 4.88 | 6/1/2022 | 56,257 | ||||||||
190,000 | Berkshire Hathaway, Inc. | 2.75 | 3/15/2023 | 197,445 | ||||||||
50,000 | Chubb INA Holdings, Inc. | 2.30 | 11/3/2020 | 51,339 | ||||||||
75,000 | Chubb INA Holdings, Inc. | 3.35 | 5/15/2024 | 79,799 | ||||||||
150,000 | Principal Financial Group, Inc. | 3.40 | 5/15/2025 | 153,982 | ||||||||
125,000 | Teachers Insurance & Annuity Association of America (a) | 4.90 | 9/15/2044 | 140,589 | ||||||||
250,000 | The Hartford Financial Services Group, Inc. | 5.50 | 3/30/2020 | 278,722 | ||||||||
290,000 | Trinity Acquisition PLC | 4.40 | 3/15/2026 | 303,718 | ||||||||
1,261,851 | ||||||||||||
INTERNET - 0.2% | ||||||||||||
400,000 | Alibaba Group Holding Ltd. | 2.50 | 11/28/2019 | 408,023 | ||||||||
265,000 | Amazon.com, Inc. | 4.80 | 12/5/2034 | 311,351 | ||||||||
245,000 | Expedia, Inc. (a) | 5.00 | 2/15/2026 | 257,863 | ||||||||
977,237 | ||||||||||||
LODGING - 0.1% | ||||||||||||
325,000 | Marriott International, Inc. | 2.30 | 1/15/2022 | 327,742 | ||||||||
225,000 | Marriott International, Inc. | 2.88 | 3/1/2021 | 233,408 | ||||||||
561,150 | ||||||||||||
MACHINERY - CONSTRUCTION AND MINING - 0.0% ** | ||||||||||||
45,000 | Caterpillar, Inc. | 4.30 | 5/15/2044 | 50,107 | ||||||||
MEDIA - 0.3% | ||||||||||||
50,000 | 21st Century Fox America, Inc. | 3.70 | 9/15/2024 | 54,006 | ||||||||
60,000 | Charter Communications Operating LLC (a) | 6.48 | 10/23/2045 | 72,559 | ||||||||
100,000 | Comcast Corp. | 6.40 | 3/1/2040 | 140,202 | ||||||||
275,000 | Cox Communications, Inc. (a) | 4.80 | 2/1/2035 | 272,506 | ||||||||
100,000 | NBCUniversal Media, LLC | 2.88 | 1/15/2023 | 104,142 | ||||||||
250,000 | Sky PLC (a) | 3.75 | 9/16/2024 | 264,323 | ||||||||
275,000 | Time Warner, Inc. | 4.88 | 3/15/2020 | 303,731 | ||||||||
50,000 | Viacom, Inc. | 4.25 | 9/1/2023 | 53,132 | ||||||||
1,264,601 | ||||||||||||
MISCELLANEOUS MANUFACTURING - 0.2% | ||||||||||||
180,000 | General Electric Co. | 6.88 | 1/10/2039 | 271,129 | ||||||||
10,000 | Parker-Hannifin Corp. | 4.45 | 11/21/2044 | 11,822 | ||||||||
225,000 | Pentair Finance SA | 2.90 | 9/15/2018 | 228,151 | ||||||||
50,000 | Pentair Finance SA | 3.15 | 9/15/2022 | 49,970 | ||||||||
250,000 | Siemens Financieringsmaatschappij NV (a) | 2.90 | 5/27/2022 | 261,755 | ||||||||
822,827 |
OIL & GAS - 0.7% | ||||||||||||
240,000 | Anadarko Petroleum Corp. | 4.85 | 3/15/2021 | 257,644 | ||||||||
23,000 | Anadarko Petroleum Corp. | 6.38 | 9/15/2017 | 23,978 | ||||||||
200,000 | BG Energy Capital PLC (a) | 4.00 | 10/15/2021 | 218,766 | ||||||||
105,000 | BP Capital Markets PLC | 2.32 | 2/13/2020 | 107,028 | ||||||||
105,000 | ConocoPhillips Co. | 2.88 | 11/15/2021 | 107,876 | ||||||||
105,000 | ConocoPhillips Co. | 3.35 | 5/15/2025 | 107,646 | ||||||||
20,000 | ConocoPhillips Co. | 4.95 | 3/15/2026 | 22,543 | ||||||||
30,000 | ConocoPhillips Co. | 5.75 | 2/1/2019 | 32,680 | ||||||||
15,000 | ConocoPhillips Co. | 6.00 | 1/15/2020 | 16,915 | ||||||||
325,000 | Devon Energy Corp. | 3.25 | 5/15/2022 | 322,677 | ||||||||
100,000 | Devon Energy Corp. | 5.00 | 6/15/2045 | 97,284 | ||||||||
45,000 | Devon Energy Corp. | 5.60 | 7/15/2041 | 45,405 | ||||||||
130,000 | Marathon Oil Corp. | 2.70 | 6/1/2020 | 127,417 | ||||||||
50,000 | Marathon Oil Corp. | 5.90 | 3/15/2018 | 52,258 | ||||||||
170,000 | Noble Energy, Inc. | 4.15 | 12/15/2021 | 180,762 | ||||||||
200,000 | Petroleos Mexicanos (a) | 5.50 | 2/4/2019 | 210,900 | ||||||||
170,000 | Phillips 66 | 4.88 | 11/15/2044 | 188,851 | ||||||||
225,000 | Pioneer Natural Resources Co. | 7.50 | 1/15/2020 | 260,302 | ||||||||
225,000 | Shell International Finance BV | 4.13 | 5/11/2035 | 241,335 | ||||||||
230,000 | Sinopec Group Overseas Development 2015 Ltd. (a) | 2.50 | 4/28/2020 | 234,044 | ||||||||
125,000 | Suncor Energy, Inc. | 6.10 | 6/1/2018 | 134,266 | ||||||||
2,990,577 | ||||||||||||
OIL & GAS SERVICES - 0.0% ** | ||||||||||||
110,000 | Schlumberger Holdings Corp. (a) | 3.00 | 12/21/2020 | 114,701 | ||||||||
PHARMACEUTICALS - 0.6% | ||||||||||||
375,000 | AbbVie, Inc. | 1.80 | 5/14/2018 | 376,532 | ||||||||
50,000 | AbbVie, Inc. | 3.20 | 11/6/2022 | 52,055 | ||||||||
85,000 | Actavis Funding SCS | 3.00 | 3/12/2020 | 87,764 | ||||||||
20,000 | Actavis Funding SCS | 3.45 | 3/15/2022 | 20,997 | ||||||||
55,000 | Actavis Funding SCS | 3.80 | 3/15/2025 | 58,209 | ||||||||
50,000 | Actavis Funding SCS | 3.85 | 6/15/2024 | 53,145 | ||||||||
175,000 | Actavis Funding SCS | 4.55 | 3/15/2035 | 185,885 | ||||||||
275,000 | Bayer US Finance LLC (a) | 2.38 | 10/8/2019 | 279,036 | ||||||||
170,000 | Cardinal Health, Inc. | 3.20 | 3/15/2023 | 178,395 | ||||||||
35,000 | Cardinal Health, Inc. | 4.50 | 11/15/2044 | 38,499 | ||||||||
95,000 | EMD Finance LLC (a) | 2.95 | 3/19/2022 | 97,934 | ||||||||
135,000 | EMD Finance LLC (a) | 3.25 | 3/19/2025 | 139,292 | ||||||||
100,000 | Forest Laboratories LLC (a) | 5.00 | 12/15/2021 | 111,917 | ||||||||
150,000 | Merck & Co., Inc. | 2.75 | 2/10/2025 | 155,439 | ||||||||
220,000 | Mylan NV (a) | 3.00 | 12/15/2018 | 224,850 | ||||||||
325,000 | Teva Pharmaceutical Finance Netherlands III BV | 2.80 | 7/21/2023 | 325,834 | ||||||||
30,000 | Teva Pharmaceutical Finance Netherlands III BV | 4.10 | 10/1/2046 | 29,858 | ||||||||
2,415,641 | ||||||||||||
PIPELINES - 0.4% | ||||||||||||
65,000 | Columbia Pipeline Group, Inc. | 2.45 | 6/1/2018 | 65,387 | ||||||||
175,000 | Columbia Pipeline Group, Inc. | 4.50 | 6/1/2025 | 190,078 | ||||||||
95,000 | Enterprise Products Operating LLC | 3.95 | 2/15/2027 | 99,547 | ||||||||
130,000 | Enterprise Products Operating LLC | 5.10 | 2/15/2045 | 139,810 | ||||||||
100,000 | Phillips 66 Partners LP | 3.61 | 2/15/2025 | 100,573 | ||||||||
250,000 | Regency Energy Partners LP / Regency Energy Finance Corp. | 5.88 | 3/1/2022 | 275,669 | ||||||||
275,000 | Sunoco Logistics Partners Operations LP | 4.40 | 4/1/2021 | 295,003 | ||||||||
131,000 | TransCanada PipeLines Ltd. | 4.88 | 1/15/2026 | 151,552 | ||||||||
200,000 | Western Gas Partners LP | 4.00 | 7/1/2022 | 204,500 | ||||||||
1,522,119 | ||||||||||||
REAL ESTATE INVESTMENT TRUSTS - 0.4% | ||||||||||||
300,000 | American Tower Corp. | 3.45 | 9/15/2021 | 315,737 | ||||||||
50,000 | AvalonBay Communities, Inc. | 2.95 | 9/15/2022 | 51,305 | ||||||||
140,000 | Crown Castle International Corp. | 3.70 | 6/15/2026 | 146,076 | ||||||||
150,000 | DDR Corp. | 4.63 | 7/15/2022 | 162,758 | ||||||||
75,000 | HCP, Inc. | 3.88 | 8/15/2024 | 76,770 | ||||||||
200,000 | HCP, Inc. | 4.00 | 6/1/2025 | 205,363 | ||||||||
260,000 | Scentre Group Trust 1/Scentre Group Trust 2 (a) | 2.38 | 11/5/2019 | 263,778 | ||||||||
275,000 | WEA Finance LLC / Westfield UK & Europe Finance PLC (a) | 3.25 | 10/5/2020 | 286,510 | ||||||||
1,508,297 | ||||||||||||
RETAIL - 0.3% | ||||||||||||
50,000 | AutoZone, Inc. | 2.88 | 1/15/2023 | 51,035 | ||||||||
300,000 | Auto Zone, Inc. | 3.13 | 7/15/2023 | 310,840 | ||||||||
250,000 | CVS Health Corp. | 4.00 | 12/5/2023 | 275,361 | ||||||||
55,000 | CVS Health Corp. | 4.88 | 7/20/2035 | 64,453 | ||||||||
130,000 | CVS Health Corp. | 5.13 | 7/20/2045 | 159,074 | ||||||||
200,000 | O’Reilly Automotive, Inc. | 3.80 | 9/1/2022 | 212,589 | ||||||||
100,000 | The Home Depot, Inc. | 2.00 | 6/15/2019 | 102,081 | ||||||||
1,175,433 |
SOFTWARE - 0.2% | ||||||||||||
235,000 | Microsoft Corp. | 2.40 | 8/8/2026 | 235,199 | ||||||||
180,000 | Microsoft Corp. | 3.70 | 8/8/2046 | 182,193 | ||||||||
225,000 | Oracle Corp. | 2.80 | 7/8/2021 | 235,032 | ||||||||
652,424 | ||||||||||||
TELECOMMUNICATIONS - 0.3% | ||||||||||||
30,000 | AT&T, Inc. | 3.95 | 1/15/2025 | 31,845 | ||||||||
20,000 | AT&T, Inc. | 4.50 | 5/15/2035 | 21,014 | ||||||||
110,000 | AT&T, Inc. | 4.75 | 5/15/2046 | 115,110 | ||||||||
150,000 | Crown Castle Towers LLC (a) | 3.22 | 5/15/2022 | 155,536 | ||||||||
120,000 | GTP Acquisition Partners I LLC (a) | 2.35 | 6/15/2020 | 119,532 | ||||||||
225,000 | Orange SA | 9.00 | 3/1/2031 | 358,987 | ||||||||
334,000 | Verizon Communications, Inc. | 4.52 | 9/15/2048 | 353,149 | ||||||||
4,000 | Verizon Communications, Inc. | 6.40 | 9/15/2033 | 5,183 | ||||||||
1,160,356 | ||||||||||||
TOYS/GAMES/HOBBIES - 0.0% ** | ||||||||||||
50,000 | Mattel, Inc. | 2.35 | 5/6/2019 | 50,846 | ||||||||
TRANSPORTATION - 0.1% | ||||||||||||
85,000 | FedEx Corp. | 4.55 | 4/1/2046 | 94,416 | ||||||||
225,000 | FedEx Corp. | 8.00 | 1/15/2019 | 257,958 | ||||||||
89,000 | Kansas City Southern | 4.95 | 8/15/2045 | 101,033 | ||||||||
453,407 | ||||||||||||
TRUCKING & LEASING - 0.1% | ||||||||||||
150,000 | Penske Truck Leasing Co LP / PTL Finance Corp. (a) | 3.20 | 7/15/2020 | 155,220 | ||||||||
200,000 | Penske Truck Leasing Co LP / PTL Finance Corp. (a) | 3.38 | 2/1/2022 | 207,984 | ||||||||
50,000 | Penske Truck Leasing Co LP / PTL Finance Corp. (a) | 4.88 | 7/11/2022 | 55,795 | ||||||||
418,999 | ||||||||||||
WHOLE LOAN COLLATERAL - 0.1% | ||||||||||||
98,447 | Mill City Mortgage Loan Trust 2016-1 (a)++ | 2.50 | 4/25/2057 | 98,997 | ||||||||
210,881 | Towd Point Mortgage Trust 2016-3 (a)++ | 2.25 | 8/25/2055 | 210,785 | ||||||||
309,782 | ||||||||||||
TOTAL CORPORATE BONDS (Cost $42,198,790) | 44,107,545 | |||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES - 1.1% | ||||||||||||
155,000 | Banc of America Commercial Mortgage Trust 2015-UBS7 | 3.71 | 9/15/2048 | 172,007 | ||||||||
525,000 | Citigroup Commercial Mortgage Trust 2015-GC35 | 3.82 | 11/10/2048 | 581,829 | ||||||||
130,000 | COMM 2013-CCRE8 Mortgage Trust | 3.33 | 6/10/2046 | 139,602 | ||||||||
225,000 | CSAIL 2015-C1 Commercial Mortgage Trust | 3.51 | 4/15/2050 | 244,277 | ||||||||
420,000 | CSAIL 2015-C2 Commercial Mortgage Trust | 3.50 | 6/15/2057 | 456,021 | ||||||||
405,000 | CSAIL 2015-C3 Commercial Mortgage Trust | 3.72 | 8/15/2048 | 447,332 | ||||||||
465,000 | Fannie Mae Multifamily Remic Trust 2015-M12 ++ | 2.88 | 5/25/2025 | 489,559 | ||||||||
300,000 | GS Mortgage Securities Trust 2015-GS1 | 3.73 | 11/10/2048 | 332,824 | ||||||||
75,106 | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC19++ | 5.88 | 2/12/2049 | 76,105 | ||||||||
101,619 | JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20++ | 5.79 | 2/12/2051 | 104,442 | ||||||||
100,000 | JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1 | 3.91 | 1/15/2049 | 111,706 | ||||||||
19,596 | LB-UBS Commercial Mortgage Trust 2008-C1++ | 6.29 | 4/15/2041 | 20,532 | ||||||||
73,232 | ML-CFC Commercial Mortgage Trust 2007-7++ | 5.81 | 6/12/2050 | 74,912 | ||||||||
104,866 | ML-CFC Commercial Mortgage Trust 2007-9 | 5.70 | 9/12/2049 | 108,213 | ||||||||
490,000 | Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22 | 3.31 | 4/15/2048 | 523,435 | ||||||||
100,000 | SFAVE Commerical Mortgage Securities Trust 2015-5AVE (a)++ | 4.14 | 1/5/2043 | 106,493 | ||||||||
260,000 | SG Commercial Mortgage Securities Trust 2016-C5 | 3.06 | 10/10/2048 | 270,092 | ||||||||
5,739 | Wachovia Bank Commercial Mortgage Trust Series 2006-C29 | 5.31 | 11/15/2048 | 5,744 | ||||||||
125,000 | Wells Fargo Commercial Mortgage Trust 2015-LC22 | 3.84 | 9/15/2058 | 139,268 | ||||||||
250,000 | Wells Fargo Commercial Mortgage Trust 2015-NXS1 | 3.15 | 5/15/2048 | 264,976 | ||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $4,465,698) | 4,669,369 |
MORTGAGE BACKED SECURITIES - 8.6% | ||||||||||||
FEDERAL HOME LOAN MORTGAGE CORP. - 2.2% | ||||||||||||
100,000 | Freddie Mac + | 2.50 | 10/1/2030 | 103,656 | ||||||||
200,000 | Freddie Mac + | 3.00 | 10/1/2030 | 210,094 | ||||||||
525,000 | Freddie Mac + | 4.00 | 11/15/2044 | 562,857 | ||||||||
175,000 | Freddie Mac + | 4.50 | 10/1/2044 | 191,585 | ||||||||
50,000 | Freddie Mac + | 5.00 | 10/1/2044 | 55,444 | ||||||||
50,000 | Freddie Mac + | 5.50 | 10/1/2038 | 56,242 | ||||||||
27,503 | Freddie Mac Gold Pool | 2.50 | 10/1/2028 | 28,665 | ||||||||
15,092 | Freddie Mac Gold Pool | 3.00 | 9/1/2028 | 15,941 | ||||||||
52,364 | Freddie Mac Gold Pool | 3.00 | 2/1/2043 | 54,745 | ||||||||
4,158,053 | Freddie Mac Gold Pool | 3.00 | 9/1/2046 | 4,324,700 | ||||||||
148,902 | Freddie Mac Gold Pool | 3.50 | 11/1/2034 | 158,667 | ||||||||
42,706 | Freddie Mac Gold Pool | 3.50 | 10/1/2043 | 45,143 | ||||||||
2,811,182 | Freddie Mac Gold Pool | 3.50 | 6/1/2046 | 2,977,719 | ||||||||
33,025 | Freddie Mac Gold Pool | 4.00 | 8/1/2044 | 35,499 | ||||||||
8,820,957 | ||||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - 5.9% | ||||||||||||
1,375,000 | Fannie Mae + | 2.50 | 10/1/2030 | 1,424,844 | ||||||||
700,000 | Fannie Mae + | 3.00 | 11/1/2026 | 733,879 | ||||||||
775,000 | Fannie Mae + | 3.00 | 10/1/2030 | 813,871 | ||||||||
3,300,000 | Fannie Mae + | 3.00 | 10/14/2045 | 3,433,805 | ||||||||
200,000 | Fannie Mae + | 3.50 | 10/15/2029 | 210,844 | ||||||||
100,000 | Fannie Mae + | 4.00 | 10/15/2030 | 103,359 | ||||||||
1,625,000 | Fannie Mae + | 4.00 | 10/1/2044 | 1,745,986 | ||||||||
675,000 | Fannie Mae + | 4.50 | 10/1/2038 | 739,441 | ||||||||
375,000 | Fannie Mae + | 5.00 | 10/1/2033 | 416,426 | ||||||||
300,000 | Fannie Mae + | 5.50 | 10/1/2033 | 337,922 | ||||||||
75,000 | Fannie Mae + | 6.00 | 10/25/2035 | 86,062 | ||||||||
155,889 | Fannie Mae Pool | 2.47 | 5/1/2025 | 160,990 | ||||||||
37,162 | Fannie Mae Pool | 2.50 | 4/1/2028 | 38,597 | ||||||||
310,000 | Fannie Mae Pool | 2.68 | 5/1/2025 | 324,290 | ||||||||
400,000 | Fannie Mae Pool | 2.81 | 7/1/2025 | 423,041 | ||||||||
110,000 | Fannie Mae Pool | 2.99 | 10/1/2025 | 118,044 | ||||||||
25,241 | Fannie Mae Pool | 3.00 | 10/1/2028 | 26,563 | ||||||||
102,541 | Fannie Mae Pool | 3.00 | 7/1/2043 | 107,012 | ||||||||
1,205,961 | Fannie Mae Pool | 3.00 | 9/1/2045 | 1,255,544 | ||||||||
2,212,296 | Fannie Mae Pool | 3.00 | 1/1/2046 | 2,307,057 | ||||||||
54,242 | Fannie Mae Pool | 3.09 | 10/1/2025 | 58,544 | ||||||||
3,844,328 | Fannie Mae Pool | 3.50 | 2/1/2046 | 4,064,635 | ||||||||
2,755,051 | Fannie Mae Pool | 3.50 | 3/1/2046 | 2,909,054 | ||||||||
52,769 | Fannie Mae Pool | 4.00 | 11/1/2043 | 56,883 | ||||||||
928,092 | Fannie Mae Pool | 4.00 | 1/1/2046 | 999,382 | ||||||||
1,026,281 | Fannie Mae Pool | 4.00 | 2/1/2046 | 1,104,979 | ||||||||
24,001,054 | ||||||||||||
GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.5% | ||||||||||||
315,000 | Ginnie Mae + | 3.00 | 5/20/2046 | 330,332 | ||||||||
425,000 | Ginnie Mae + | 4.00 | 10/15/2045 | 455,580 | ||||||||
350,000 | Ginnie Mae + | 4.50 | 10/1/2044 | 377,727 | ||||||||
50,000 | Ginnie Mae + | 5.00 | 10/1/2044 | 55,617 | ||||||||
100,000 | Ginnie Mae + | 5.00 | 10/15/2045 | 108,047 | ||||||||
59,030 | Ginnie Mae II Pool | 3.00 | 12/20/2042 | 62,186 | ||||||||
66,912 | Ginnie Mae II Pool | 3.50 | 7/20/2043 | 71,357 | ||||||||
614,651 | Ginnie Mae II Pool | 3.50 | 2/20/2046 | 654,525 | ||||||||
28,556 | Ginnie Mae II Pool | 4.00 | 12/20/2044 | 30,698 | ||||||||
2,146,069 | ||||||||||||
TOTAL MORTGAGE BACKED SECURITIES (Cost - $34,579,553) | 34,968,080 | |||||||||||
MUNICIPAL SECURITIES - 0.7% | ||||||||||||
115,000 | Bay Area Toll Authority | 7.04 | 4/1/2050 | 183,921 | ||||||||
90,000 | Chicago O’Hare International Airport | 6.40 | 1/1/2040 | 126,689 | ||||||||
25,000 | Chicago Transit Authority | 6.90 | 12/1/2040 | 33,317 | ||||||||
55,000 | Chicago Transit Authority | 6.90 | 12/1/2040 | 72,255 | ||||||||
315,000 | County of Sacramento CA | 5.73 | 8/15/2023 | 350,072 | ||||||||
165,000 | Kansas Development Finance Authority | 4.93 | 4/15/2045 | 188,156 | ||||||||
120,000 | Long Island Power Authority | 3.88 | 9/1/2024 | 128,286 | ||||||||
60,000 | Los Angeles Community College District | 6.60 | 8/1/2042 | 92,408 | ||||||||
100,000 | Metropolitan Transportation Authority | 6.81 | 11/15/2040 | 144,979 | ||||||||
145,000 | Municipal Electric Authority of Georgia | 6.64 | 4/1/2057 | 195,740 | ||||||||
230,000 | New Jersey Economic Development Authority | 3.80 | 6/15/2018 | 235,272 | ||||||||
70,000 | Port Authority of New York & New Jersey | 4.81 | 10/15/2065 | 85,313 | ||||||||
100,000 | Port Authority of New York & New Jersey | 5.65 | 11/1/2040 | 131,813 | ||||||||
40,000 | Regents of the University of California Medical Center Pooled Revenue | 6.55 | 5/15/2048 | 57,780 | ||||||||
115,000 | Regents of the University of California Medical Center Pooled Revenue | 6.58 | 5/15/2049 | 164,802 | ||||||||
50,000 | State of California | 7.55 | 4/1/2039 | 80,070 | ||||||||
35,000 | State of California | 7.60 | 11/1/2040 | 56,740 | ||||||||
370,000 | State of Illinois | 5.10 | 6/1/2033 | 356,680 | ||||||||
35,000 | University of California | 3.93 | 5/15/2045 | 36,684 | ||||||||
TOTAL MUNICIPAL SECURITIES (Cost - $2,530,430) | 2,720,977 |
SOVEREIGN DEBT - 0.2% | ||||||||||||
320,000 | Export-Import Bank of Korea | 1.75 | 5/26/2019 | 322,679 | ||||||||
330,000 | Qatar Government International Bond (a) | 4.63 | 6/2/2046 | 360,525 | ||||||||
TOTAL SOVEREIGN DEBT (Cost - $641,760) | 683,204 | |||||||||||
U.S. TREASURY SECURITIES - 8.8% | ||||||||||||
3,815,000 | United States Treasury Bond | 2.50 | 2/15/2045 | 3,942,566 | ||||||||
760,000 | United States Treasury Bond | 2.50 | 2/15/2046 | 785,531 | ||||||||
250,000 | United States Treasury Bond | 2.88 | 5/15/2043 | 278,360 | ||||||||
545,000 | United States Treasury Bond | 2.88 | 8/15/2045 | 607,036 | ||||||||
690,000 | United States Treasury Bond | 3.00 | 11/15/2044 | 786,735 | ||||||||
1,580,000 | United States Treasury Bond | 3.38 | 5/15/2044 | 1,927,785 | ||||||||
5,000 | United States Treasury Bond | 3.63 | 8/15/2043 | 6,365 | ||||||||
5,000 | United States Treasury Bond | 3.75 | 11/15/2043 | 6,507 | ||||||||
3,550,000 | United States Treasury Note | 0.63 | 11/30/2017 | 3,547,227 | ||||||||
2,080,000 | United States Treasury Note | 0.75 | 10/31/2017 | 2,081,462 | ||||||||
685,000 | United States Treasury Note | 0.75 | 12/31/2017 | 685,295 | ||||||||
700,000 | United States Treasury Note | 0.75 | 3/31/2018 | 700,191 | ||||||||
835,000 | United States Treasury Note | 1.25 | 3/31/2021 | 839,370 | ||||||||
2,640,000 | United States Treasury Note | 1.38 | 7/31/2018 | 2,668,565 | ||||||||
1,495,000 | United States Treasury Note | 1.38 | 12/31/2018 | 1,513,221 | ||||||||
1,470,000 | United States Treasury Note | 1.38 | 2/28/2019 | 1,488,719 | ||||||||
725,000 | United States Treasury Note | 1.38 | 9/30/2020 | 733,638 | ||||||||
1,465,000 | United States Treasury Note | 1.50 | 11/30/2019 | 1,490,695 | ||||||||
7,455,000 | United States Treasury Note | 1.50 | 3/31/2023 | 7,508,288 | ||||||||
345,000 | United States Treasury Note | 1.63 | 6/30/2020 | 352,520 | ||||||||
465,000 | United States Treasury Note | 1.63 | 2/15/2026 | 465,164 | ||||||||
235,000 | United States Treasury Note | 1.75 | 12/31/2020 | 241,279 | ||||||||
2,595,000 | United States Treasury Note | 2.00 | 11/30/2020 | 2,689,878 | ||||||||
400,000 | United States Treasury Note | 2.00 | 2/15/2025 | 414,219 | ||||||||
20,000 | United States Treasury Note | 2.25 | 11/15/2025 | 21,113 | ||||||||
2,400 | United States Treasury Note | 2.38 | 8/15/2024 | 2,557 | ||||||||
TOTAL U.S. TREASURY SECURITIES (Cost - $34,818,883) | 35,784,286 | |||||||||||
Shares | ||||||||||||
SHORT-TERM INVESTMENTS - 7.1% | ||||||||||||
MONEY MARKET FUND - 7.1% | ||||||||||||
28,970,188 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (b) | |||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost - $28,970,188) | 28,970,188 | |||||||||||
TOTAL INVESTMENTS - 102.9% (Cost - $390,018,248)(c) | $ | 419,239,351 | ||||||||||
OTHER ASSETS LESS LIABILITIES - NET - (2.9)% | (11,967,380 | ) | ||||||||||
TOTAL NET ASSETS - 100.0% | $ | 407,271,971 |
+ | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
* | Non-income producing security. |
** | Represents less than 0.01% |
++ | Variable rate security. |
# | Step coupon. |
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, 2016, these securities amounted to $21,289,049 or 5.2% of net assets. |
(b) | Money market rate shown represents the rate at September 30, 2016. |
(c) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes, including securities sold short, is $388,414,463 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 36,159,570 | ||
Unrealized Depreciation: | (7,790,100 | ) | ||
Net Unrealized Appreciation: | $ | 28,369,470 |
^ | Formerly FVIT Wellington Research Managed Risk Portfolio. |
Principal Amount | Coupon Rate (%) | Maturity | Value | |||||||||
SECURITIES SOLD SHORT - (0.6)% | ||||||||||||
MORTGAGE BACKED SECURITIES - (0.6)% | ||||||||||||
FEDERAL NATIONAL MORTGAGE ASSOCIATION - (0.6)% | ||||||||||||
2,325,000 | Fannie Mae + (Cost - $2,445,105) | 3.50 | 10/1/2042 | $ | 2,455,418 |
+ | All or a portion of these To Be Announced Securities (TBAs) are subject to dollar-roll transactions. |
Contracts | Unrealized Appreciation | |||||||
SHORT FUTURES CONTRACT | ||||||||
4 | MSCI Emerging Market E-Mini Future December 2016 | |||||||
(Underlying Face Amount at Value $182,500) | $ | 2,900 | ||||||
LONG FUTURES CONTRACT | ||||||||
15 | US 10 Year Future December 2016 | |||||||
(Underlying Face Amount at Value $1,966,875) | $ | 4,922 | ||||||
NET UNREALIZED APPRECIATION OF SHORT FUTURES CONTRACTS | $ | 7,822 |
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 39.3% | ||||||||
DEBT FUNDS - 23.8% | ||||||||
48 | iShares Core U.S. Aggregate Bond ETF | $ | 5,396 | |||||
14 | iShares International Aggregate Bond Fund | 750 | ||||||
6,146 | ||||||||
EQUITY FUNDS - 15.5% | ||||||||
8 | iShares Core S&P 500 ETF | 1,740 | ||||||
22 | iShares MSCI EAFE Value ETF | 1,015 | ||||||
4 | iShares Russell 2000 ETF | 497 | ||||||
8 | iShares S&P 500 Value ETF | 760 | ||||||
4,012 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $9,922) | 10,158 | |||||||
VARIABLE INSURANCE TRUSTS - 59.5% | ||||||||
DEBT FUNDS - 40.6% | ||||||||
363 | American Funds Insurance Series - Bond Fund - Class I | 4,089 | ||||||
321 | BlackRock High Yield VI Fund - Class I | 2,314 | ||||||
305 | MFS Research Bond Series | 4,091 | ||||||
10,494 | ||||||||
EQUITY FUNDS - 18.9% | ||||||||
97 | American Funds Insurance Series - Blue Chip Income and Growth Fund - Class I | 1,282 | ||||||
25 | American Funds Insurance Series - New World Fund - Class I | 510 | ||||||
26 | MFS Growth Series | 1,021 | ||||||
65 | MFS VIT III Mid Cap Value Portfolio | 517 | ||||||
7 | Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares | 511 | ||||||
466 | Oppenheimer International Growth Fund - Non-Service Shares | 1,024 | ||||||
4,865 | ||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $15,298) | 15,359 | |||||||
SHORT-TERM INVESTMENT - 1.3% | ||||||||
MONEY MARKET FUND - 1.3% | ||||||||
329 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $329) | 329 | ||||||
TOTAL INVESTMENTS - 100.1% (Cost - $25,549)(b) | $ | 25,846 | ||||||
OTHER ASSETS LESS LIABILITIES -NET - (0.1)% | (15 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 25,831 |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,549 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 399 | ||
Unrealized Depreciation: | (102 | ) | ||
Net Unrealized Appreciation: | $ | 297 |
Global Atlantic Wilshire Dynamic Global Allocation Portfolio |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 48.1% | ||||||||
DEBT FUNDS - 22.6% | ||||||||
34 | iShares Core U.S. Aggregate Bond ETF | $ | 3,822 | |||||
38 | iShares International Aggregate Bond Fund | 2,035 | ||||||
5,857 | ||||||||
EQUITY FUNDS - 25.5% | ||||||||
9 | iShares Core MSCI EAFE ETF | 496 | ||||||
8 | iShares Core S&P 500 ETF | 1,740 | ||||||
19 | iShares Global REIT ETF | 517 | ||||||
50 | iShares MSCI EAFE Value ETF | 2,308 | ||||||
4 | iShares Russell 2000 ETF | 497 | ||||||
11 | iShares S&P 500 Value ETF | 1,045 | ||||||
6,603 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $12,161) | 12,460 | |||||||
VARIABLE INSURANCE TRUSTS - 50.6% | ||||||||
DEBT FUNDS - 22.8% | ||||||||
114 | American Funds Insurance Series - Bond Fund - Class I | 1,284 | ||||||
251 | BlackRock High Yield VI Fund - Class I | 1,808 | ||||||
57 | MFS Research Bond Series | 770 | ||||||
183 | PIMCO Variable Insurance Trust - Foreign Bond Portfolio U.S. Dollar Hedged Fund - Institutional Class | 2,057 | ||||||
5,919 | ||||||||
EQUITY FUNDS - 27.8% | ||||||||
98 | American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1 | 1,287 | ||||||
75 | American Funds Insurance Series - New World Fund - Class I | 1,536 | ||||||
26 | MFS Growth Series | 1,026 | ||||||
98 | MFS VIT III Mid Cap Value Portfolio | 779 | ||||||
7 | Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares | 513 | ||||||
935 | Oppenheimer International Growth Fund - Non-Service Shares | 2,058 | ||||||
7,199 | ||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $12,973) | 13,118 | |||||||
SHORT-TERM INVESTMENT - 1.3% | ||||||||
MONEY MARKET FUND - 1.3% | ||||||||
348 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $348) | 348 | ||||||
TOTAL INVESTMENTS - 100.0% (Cost - $25,482)(b) | $ | 25,926 | ||||||
OTHER ASSETS LESS LIABILITIES -NET - 0.0%* | 11 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 25,937 |
* | Represents less than 0.05%. |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,482 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 565 | ||
Unrealized Depreciation: | (121 | ) | ||
Net Unrealized Appreciation: | $ | 444 |
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 48.2% | ||||||||
DEBT FUND - 13.0% | ||||||||
30 | iShares Core U.S. Aggregate Bond ETF | $ | 3,373 | |||||
EQUITY FUNDS - 35.2% | ||||||||
14 | iShares Core MSCI EAFE ETF | 772 | ||||||
17 | iShares Core S&P 500 ETF | 3,699 | ||||||
19 | iShares Global REIT ETF | 517 | ||||||
45 | iShares MSCI EAFE Value ETF | 2,077 | ||||||
6 | iShares Russell 2000 ETF | 745 | ||||||
14 | iShares S&P 500 Value ETF | 1,329 | ||||||
9,139 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $12,146) | 12,512 | |||||||
VARIABLE INSURANCE TRUSTS - 51.6% | ||||||||
DEBT FUNDS - 14.9% | ||||||||
114 | American Funds Insurance Series - Bond Fund - Class I | 1,285 | ||||||
251 | BlackRock High Yield VI Fund - Class I | 1,809 | ||||||
58 | MFS Research Bond Series | 771 | ||||||
3,865 | ||||||||
EQUITY FUNDS - 36.7% | ||||||||
176 | American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1 | 2,320 | ||||||
75 | American Funds Insurance Series - New World Fund - Class I | 1,536 | ||||||
39 | MFS Growth Series | 1,541 | ||||||
164 | MFS VIT III Mid Cap Value Portfolio | 1,298 | ||||||
14 | Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares | 1,028 | ||||||
819 | Oppenheimer International Growth Fund - Non-Service Shares | 1,802 | ||||||
9,525 | ||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $13,387) | 13,390 | |||||||
SHORT-TERM INVESTMENT - 1.7% | ||||||||
MONEY MARKET FUND - 1.7% | ||||||||
458 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $458) | 458 | ||||||
TOTAL INVESTMENTS - 101.5% (Cost - $25,991)(b) | $ | 26,360 | ||||||
OTHER ASSETS LESS LIABILITIES -NET - (1.5)% | (400 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 25,960 |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,991 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 548 | ||
Unrealized Depreciation: | (179 | ) | ||
Net Unrealized Appreciation: | $ | 369 |
Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio |
PORTFOLIO OF INVESTMENTS |
September 30, 2016 (Unaudited) |
Shares | Value | |||||||
EXCHANGE TRADED FUNDS - 45.4% | ||||||||
DEBT FUNDS - 20.7% | ||||||||
43 | iShares Core U.S. Aggregate Bond ETF | $ | 4,834 | |||||
10 | iShares International Aggregate Bond Fund | 535 | ||||||
5,369 | ||||||||
EQUITY FUNDS - 24.7% | ||||||||
14 | iShares Core S&P 500 ETF | 3,046 | ||||||
39 | iShares MSCI EAFE Value ETF | 1,800 | ||||||
4 | iShares Russell 2000 ETF | 497 | ||||||
11 | iShares S&P 500 Value ETF | 1,045 | ||||||
6,388 | ||||||||
TOTAL EXCHANGE TRADED FUNDS (Cost - $11,443) | 11,757 | |||||||
VARIABLE INSURANCE TRUSTS - 53.5% | ||||||||
DEBT FUNDS - 24.8% | ||||||||
227 | American Funds Insurance Series - Bond Fund - Class I | 2,562 | ||||||
251 | BlackRock High Yield VI Fund - Class I | 1,804 | ||||||
153 | MFS Research Bond Series | 2,050 | ||||||
6,416 | ||||||||
EQUITY FUNDS - 28.7% | ||||||||
137 | American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1 | 1,799 | ||||||
50 | American Funds Insurance Series - New World Fund - Class I | 1,022 | ||||||
32 | MFS Growth Series | 1,280 | ||||||
131 | MFS VIT III Mid Cap Value Portfolio | 1,036 | ||||||
10 | Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares | 769 | ||||||
700 | Oppenheimer International Growth Fund - Non-Service Shares | 1,540 | ||||||
7,446 | ||||||||
TOTAL VARIABLE INSURANCE TRUSTS (Cost - $13,846) | 13,862 | |||||||
SHORT-TERM INVESTMENTS - 0.9% | ||||||||
MONEY MARKET FUND - 0.9% | ||||||||
226 | Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a)(Cost - $226) | 226 | ||||||
TOTAL INVESTMENTS - 99.8% (Cost - $25,515)(b) | $ | 25,845 | ||||||
OTHER ASSETS LESS LIABILITIES -NET - 0.2% | 51 | |||||||
TOTAL NET ASSETS - 100.0% | $ | 25,896 |
(a) | Money market rate shown represents the rate at September 30, 2016. |
(b) | Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $25,515 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows: |
Unrealized Appreciation: | $ | 471 | ||
Unrealized Depreciation: | (141 | ) | ||
Net Unrealized Appreciation: | $ | 330 |
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 accounting principles generally accepted in the United States of America (“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 follow the specialized accounting and reporting requirements under GAAP that are applicable to 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 (“NOCP”). 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 portfolios of open-end investment companies (the “underlying funds”). The underlying funds are valued at their respective net asset values as reported by such investment companies. The underlying funds value securities in their portfolios 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 the board(s) of trustees of the underlying funds.
Exchange Traded Funds – The Portfolios may invest in passive exchange traded funds (“ETFs”). ETFs are 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. The risks of owning an ETF generally reflect the risks of owning the underlying securities they are designed to track, although the lack of liquidity in an ETF could result in it being more volatile than the underlying securities. Additionally, ETFs have fees and expenses that increase their costs 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 “fair value” procedures approved by the Board of Trustees (the “Board”). The Board has delegated execution of these procedures to a fair value team composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Global Atlantic Investment Advisors, LLC (formerly Forethought Investment Advisors, LLC prior to March 30, 2016) (the “Adviser”) and/or Sub-Adviser. The team may also enlist third party consultants such as a valuation specialist at a public accounting firm, valuation consultant, or financial officer of a security issuer on an as-needed basis to assist in determining a security-specific fair value. The Board reviews and ratifies the execution of this process and the resultant fair value prices at least quarterly to assure the process produces reliable results.
C:
Fair Value Team and Valuation Process – As noted above, the fair valuation team 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 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; and (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, 2016 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 | $ | 196,361,198 | $ | — | $ | — | $ | 196,361,198 | ||||||||
Money Market Fund | 23,550,512 | — | — | 23,550,512 | ||||||||||||
Total | $ | 219,911,710 | $ | — | $ | — | $ | 219,911,710 | ||||||||
Global Atlantic Balanced Managed Risk Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 94,577,688 | $ | — | $ | — | $ | 94,577,688 | ||||||||
Money Market Fund | 8,243,368 | — | — | 8,243,368 | ||||||||||||
Total | $ | 102,821,056 | $ | — | $ | — | $ | 102,821,056 | ||||||||
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Variable Insurance Trusts | $ | 269,134,232 | $ | — | $ | — | $ | 269,134,232 | ||||||||
Money Market Fund | 13,858,591 | — | — | 13,858,591 | ||||||||||||
Total | $ | 282,992,823 | $ | — | $ | — | $ | 282,992,823 | ||||||||
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 145,941,954 | $ | — | $ | — | $ | 145,941,954 | ||||||||
Mutual Fund | 50,813,390 | — | — | 50,813,390 | ||||||||||||
Money Market Fund | 16,353,985 | — | — | 16,353,985 | ||||||||||||
Short Futures Contracts * | 9,705 | — | — | 9,705 | ||||||||||||
Total | $ | 213,109,329 | $ | — | $ | — | $ | 213,109,329 |
Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 8,744,685 | $ | — | $ | — | $ | 8,744,685 | ||||||||
U.S. Treasury Note | — | 12,800,735 | — | 12,800,735 | ||||||||||||
Purchased Options | 54,430 | — | — | 54,430 | ||||||||||||
Short Term Investments | 3,615,553 | 3,635,085 | — | 7,250,638 | ||||||||||||
Long Futures Contracts * | 19,918 | — | — | 19,918 | ||||||||||||
Total | $ | 12,434,586 | $ | 16,435,820 | $ | — | $ | 28,870,406 | ||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Written Options | $ | 2,488 | $ | — | $ | — | $ | 2,488 | ||||||||
Total | $ | 2,488 | $ | — | $ | — | 2,488 | |||||||||
Global Atlantic Growth Managed Risk Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 433,792,767 | $ | — | $ | — | $ | 433,792,767 | ||||||||
Money Market Fund | 45,713,848 | — | — | 45,713,848 | ||||||||||||
Total | $ | 479,506,615 | $ | — | $ | — | $ | 479,506,615 | ||||||||
Global Atlantic Moderate Growth Managed Risk Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 132,541,858 | $ | — | $ | — | $ | 132,541,858 | ||||||||
Money Market Fund | 13,433,416 | — | — | 13,433,416 | ||||||||||||
Total | $ | 145,975,274 | $ | — | $ | — | $ | 145,975,274 | ||||||||
Global Atlantic Motif Aging of America Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 95,777 | $ | — | $ | — | $ | 95,777 | ||||||||
Money Market Fund | 761 | — | — | 761 | ||||||||||||
Total | $ | 96,538 | $ | — | $ | — | $ | 96,538 | ||||||||
Global Atlantic Motif Real Estate Trends Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 93,877 | $ | — | $ | — | $ | 93,877 | ||||||||
Money Market Fund | 517 | — | — | 517 | ||||||||||||
Total | $ | 94,394 | $ | — | $ | — | $ | 94,394 |
Global Atlantic Motif Technological Innovations Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stocks | $ | 105,819 | $ | — | $ | — | $ | 105,819 | ||||||||
Money Market Fund | 139 | — | — | 139 | ||||||||||||
Total | $ | 105,958 | $ | — | $ | — | $ | 105,958 | ||||||||
Global Atlantic PIMCO Tactical Allocation Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 5,795,930 | $ | — | $ | — | $ | 5,795,930 | ||||||||
Asset Backed Securities | — | 572,208 | — | 572,208 | ||||||||||||
Corporate Bond | — | 4,543,331 | — | 4,543,331 | ||||||||||||
Mortgage Backed Securities | — | 4,132,070 | — | 4,132,070 | ||||||||||||
Collateralized Mortgage Obligations | — | 961,763 | — | 961,763 | ||||||||||||
Commercial Mortgage Backed Securities | — | 338,379 | — | 338,379 | ||||||||||||
U.S. Treasury Securities | — | 3,997,439 | — | 3,997,439 | ||||||||||||
Purchased Options | 174,480 | — | — | 174,480 | ||||||||||||
Short Term Investments | 463,602 | 2,296,552 | — | 2,760,154 | ||||||||||||
Swap Contracts | — | 8,919 | — | 8,919 | ||||||||||||
Long Futures Contracts* | 665 | — | — | 665 | ||||||||||||
Total | $ | 6,434,677 | $ | 16,850,661 | $ | — | $ | 23,285,338 | ||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Short Futures Contracts* | $ | 4,856 | $ | — | $ | — | $ | 4,856 | ||||||||
Total | $ | 4,856 | $ | — | $ | — | $ | 4,856 | ||||||||
Global Atlantic Select Advisor Managed Risk Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 17,024,919 | $ | — | $ | — | $ | 17,024,919 | ||||||||
Variable Insurance Trusts | 85,783,617 | — | — | 85,783,617 | ||||||||||||
Money Market Fund | 7,454,529 | — | — | 7,454,529 | ||||||||||||
Total | $ | 110,263,065 | $ | — | $ | — | $ | 110,263,065 |
Global Atlantic Wellington Research Managed Risk Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Common Stock | $ | 246,035,536 | $ | — | $ | — | $ | 246,035,536 | ||||||||
Exchange Traded Funds | 7,063,493 | — | — | 7,063,493 | ||||||||||||
Preferred Stock | 83,820 | — | — | 83,820 | ||||||||||||
Asset Backed Securities | — | 14,152,853 | — | 14,152,853 | ||||||||||||
Corporate Bonds | — | 4,107,545 | — | 44,107,545 | ||||||||||||
Commercial Mortgage Backed Securities | — | 4,669,369 | — | 4,669,369 | ||||||||||||
Mortgage Backed Securities | — | 34,968,080 | — | 34,968,080 | ||||||||||||
Municipal Securities | — | 2,720,977 | — | 2,720,977 | ||||||||||||
Sovereign Debt | — | 683,204 | — | 683,204 | ||||||||||||
U.S. Treasury Securities | — | 35,784,286 | — | 35,784,286 | ||||||||||||
Short Term Investments | 28,970,188 | — | — | 28,970,188 | ||||||||||||
Long & Short Futures Contracts * | 7,822 | — | — | 7,822 | ||||||||||||
Total | $ | 282,160,859 | $ | 137,086,314 | $ | — | $ | 419,247,173 | ||||||||
Liabilities | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Security Sold Short | $ | — | $ | 2,455,418 | $ | — | $ | 2,455,418 | ||||||||
Total | $ | — | $ | 2,455,418 | $ | — | $ | 2,455,418 | ||||||||
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 10,158 | $ | — | $ | — | $ | 10,158 | ||||||||
Variable Insurance Trusts | 15,359 | — | — | 15,359 | ||||||||||||
Money Market Fund | 329 | — | — | 329 | ||||||||||||
Total | $ | 25,846 | $ | — | $ | — | $ | 25,846 | ||||||||
Global Atlantic Wilshire Dynamic Global Allocation Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 12,460 | $ | — | $ | — | $ | 12,460 | ||||||||
Variable Insurance Trusts | 13,118 | — | — | 13,118 | ||||||||||||
Money Market Fund | 348 | — | — | 348 | ||||||||||||
Total | $ | 25,926 | $ | — | $ | — | $ | 25,926 |
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 12,512 | $ | — | $ | — | $ | 12,512 | ||||||||
Variable Insurance Trusts | 13,390 | — | — | 13,390 | ||||||||||||
Money Market Fund | 458 | — | — | 458 | ||||||||||||
Total | $ | 26,360 | $ | — | $ | — | $ | 26,360 | ||||||||
Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio | ||||||||||||||||
Assets | Level 1 | Level 2 | Level 3 | Total | ||||||||||||
Exchange Traded Funds | $ | 11,757 | $ | — | $ | — | $ | 11,757 | ||||||||
Variable Insurance Trusts | 13,862 | — | — | 13,862 | ||||||||||||
Money Market Fund | 226 | — | — | 226 | ||||||||||||
Total | $ | 25,845 | $ | — | $ | — | $ | 25,845 |
* | Cumulative appreciation (depreciation) on futures contracts is reported in the above table. |
The Portfolios did not hold any Level 3 securities during the period.
There were no transfers between levels for any Portfolio. It is the Portfolios’ policy to record transfers at the end of the reporting period.
Cash and Cash Equivalents – Cash and cash equivalents include cash and overnight investments in interest-bearing demand deposits with a financial institution with original maturities of three months or less. The Portfolios maintain deposits with a financial institution which are generally an amount that is in excess of federally insured limits.
Foreign Currency Translation – The accounting records of the Portfolios’ are maintained in U.S. dollars. Foreign currencies, as well as investment securities and other assets and liabilities denominated in foreign currencies, are translated into U.S. dollars using exchange rates deemed appropriate by the investment adviser. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars on the respective dates of such transactions.
Net realized gains and losses on foreign currency transactions represent net gains and losses from currency realized between the trade and settlement dates on securities transactions and the difference between income accrued versus income received. The effects of changes in foreign currency exchange rates on investments in securities are included with the net realized and unrealized gain or loss on investments.
Forward Foreign Currency Contracts – As foreign securities are purchased, a Portfolio may enter into forward currency exchange contracts in order to hedge against foreign currency exchange rate risks. A forward involves an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract agreed upon by the parties, at a price set at the time of the contract. The market value of the contract fluctuates with changes in currency exchange rates. The contract is marked-to-market daily and the change in market value is recorded by the Portfolio as an unrealized gain or loss. As foreign securities are sold, a portion of the contract is generally closed and the Portfolio records a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. Realized gains and losses from contract transactions are included as a component of net realized gains (losses) from forward foreign currency contracts in the statements of operations.
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.
C:
Dollar Roll Transactions – A mortgage dollar roll transaction involves a sale by the 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.
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, futures or stock indices, and may or may not be listed on a domestic or foreign securities exchange and may or may not be issued by the Options Clearing Corporation. Options trading is a highly specialized activity that entails greater than ordinary investment risk. Options may be more volatile than the underlying instruments, and therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. A call option for a particular security gives the purchaser of the option 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, 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 and the writer (seller) the obligation to buy the underlying security at the stated exercise price at any time prior to the expiration date of the option, regardless of the market price of the security.
Stock index options are put options and call options on various stock 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 stock 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 stock index and the exercise price of the option expressed in dollars times a specified multiple. A stock index fluctuates with changes in the market value of the stocks included in the index.
The Portfolios may purchase and sell options on the same types of futures in which it may invest. Options on futures are similar to options on underlying instruments except that options on futures give the purchaser the right, in return for the premium paid, to assume a position in a futures contract (a long position if the option is a call and a short position if the option is a put), rather than to purchase or sell the futures contract, at a specified exercise price at any time during the period of the option. Upon exercise of the option, the delivery of the futures position by the writer of the option to the holder of the option will be accompanied by the delivery of the accumulated balance in the writer’s futures margin account which represents the amount by which the market price of the futures contract, at exercise, exceeds (in the case of a call) or is less than (in the case of a put) the exercise price of the option on the futures contract. Purchasers of options who fail to exercise their options prior to the exercise date suffer a loss of the premium paid.
Futures Contracts – The Portfolios are subject to equity price risk in the normal course of pursuing their investment objectives. The Portfolios may sell futures contracts to hedge against market risk, foreign currency exchange rate risks, and to reduce return volatility. A futures contract provides 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 stock 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
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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. 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 Wellington Research 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.
The gross returns to be exchanged or “swapped” between the parties are calculated with respect to a notional amount, i.e., the return on or increase in value of a particular dollar amount invested at a particular interest rate, in a particular foreign currency, or in a “basket” of securities representing a particular index or market segment. 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 day. Payments received or paid at the beginning of the 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. Entering into these agreements involves, 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.
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 the Portfolio cover 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
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the box” to the extent the Portfolio contemporaneously owns, or has the right to obtain at no added cost, securities identical to those sold short.
The notional value and unrealized appreciation/(depreciation) of the derivative instruments outstanding as of September 30, 2016, as disclosed in the Portfolios of Investments, serve as indicators of the volume of derivative activity for the Portfolios.
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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., Principal Executive Officer
Date 03/29/2017
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., Principal Executive Officer
Date 03/29/2017
By (Signature and Title)
* /s/ Laura Szalyga
Laura Szalyga, Principal Financial Officer
Date 03/29/2017
This ‘N-Q’ Filing | Date | Other Filings | ||
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Filed on / Effective on: | 3/29/17 | |||
11/23/16 | N-Q | |||
9/30/16 | 497, 497K, N-Q | |||
For Period End: | 3/30/16 | |||
List all Filings |