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Forethought Variable Insurance Trust – ‘N-Q’ for 9/30/17

On:  Wednesday, 11/29/17, at 2:19pm ET   ·   Effective:  11/29/17   ·   For:  9/30/17   ·   Accession #:  1580642-17-6300   ·   File #:  811-22865

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

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

11/29/17  Forethought Variable Ins Trust    N-Q         9/30/17    2:1.6M                                   Blu Giant, LLC/FAGlobal Atlantic American Funds Managed Risk PortfolioGlobal Atlantic Balanced Managed Risk PortfolioGlobal Atlantic BlackRock Global Allocation Managed Risk PortfolioGlobal Atlantic Franklin Dividend and Income Managed Risk Portfolio Global Atlantic Franklin Dividend and Income Managed Risk Portfolio Class II SharesGlobal Atlantic Goldman Sachs Dynamic Trends Allocation PortfolioGlobal Atlantic Growth Managed Risk Portfolio Global Atlantic Growth Managed Risk Portfolio Class II sharesGlobal Atlantic Moderate Growth Managed Risk Portfolio Global Atlantic Moderate Growth Managed Risk Portfolio Class II sharesGlobal Atlantic Motif Aging of America Portfolio Class II SharesGlobal Atlantic Motif Real Estate Trends Portfolio Class II SharesGlobal Atlantic Motif Technological Innovations Portfolio Class II SharesGlobal Atlantic PIMCO Tactical Allocation PortfolioGlobal Atlantic Select Advisor Managed Risk PortfolioGlobal Atlantic Wellington Research Managed Risk PortfolioGlobal Atlantic Wilshire Dynamic Conservative Allocation Portfolio Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Global Allocation Portfolio Global Atlantic Wilshire Dynamic Global Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Growth Allocation Portfolio Global Atlantic Wilshire Dynamic Growth Allocation Portfolio Class II sharesGlobal Atlantic Wilshire Dynamic Moderate Allocation Portfolio Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio Class II shares

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

Document/Exhibit                   Description                      Pages   Size 

 1: N-Q         Quarterly Schedule of Portfolio Holdings of a       HTML    853K 
                          Management Investment Company                          
 2: EX-99.CERT  Miscellaneous Exhibit                               HTML     14K 


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


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

form n-Q

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number 811-22865

 

Forethought Variable Insurance Trust

(Exact name of registrant as specified in charter)

 

80 Arkay Drive Suite 110, Hauppauge, NY 11788

(Address of principal executive offices) (Zip code)

 

The Corporation Trust Company

1209 Orange Street Wilmington, DE 19801

(Name and address of agent for service)

 

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

 

Date of fiscal year end: 12/31

 

Date of reporting period: 9/30/2017

 

 

Item 1. Schedule of Investments.

 

Global Atlantic American Funds® Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     VARIABLE INSURANCE TRUSTS - 95.1%     
     DEBT FUND - 33.2%     
 1,251,655   American Funds Insurance - Mortgage Fund - Class I  $13,355,159 
 4,264,990   American Funds Insurance Series - Bond Fund - Class 1   46,786,944 
 415,664   American Funds Insurance Series - High Income Bond Fund - Class 1   4,464,228 
 1,085,918   American Funds Insurance Series - U.S. Government/AAA-Rated Securities Fund - Class I   13,356,790 
         77,963,121 
     EQUITY FUNDS - 61.9%     
 2,209,058   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1   31,368,617 
 1,880,737   American Funds Insurance Series - Global Growth and Income Fund - Class 1   29,132,612 
 277,915   American Funds Insurance Series - Global Small Capitalization Fund- Class 1   6,719,980 
 335,208   American Funds Insurance Series - Growth Fund - Class 1   24,711,538 
 837,752   American Funds Insurance Series - Growth-Income Fund - Class 1   40,304,238 
 429,272   American Funds Insurance Series - International Fund - Class 1   8,980,380 
 184,740   American Funds Insurance Series - New World Fund - Class 1   4,491,031 
         145,708,396 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $208,644,963)   223,671,517 
           
     SHORT-TERM INVESTMENTS - 5.0%     
     MONEY MARKET FUND - 5.0%     
           
 11,750,694   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a)(Cost - $11,750,694)   11,750,694 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $220,395,657)(b)  $235,422,211 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (136,058)
     TOTAL NET ASSETS - 100.0%  $235,286,153 

 

(a)Money market rate shown represents the rate at September 30, 2017.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $224,143,536 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $11,300,307 
Unrealized Depreciation:   (21,632)
Net Unrealized Appreciation:  $11,278,675 

 

 

Global Atlantic Balanced Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.3%     
     DEBT FUNDS - 45.0%     
 40,275   iShares 1-3 Year Credit Bond ETF  $4,242,971 
 38,928   iShares 1-3 Year Treasury Bond ETF   3,287,470 
 236,795   iShares Core U.S. Aggregate Bond ETF   25,950,364 
 13,757   iShares iBoxx $ High Yield Corporate Bond ETF   1,221,071 
 5,954   iShares JP Morgan USD Emerging Markets Bond ETF   693,165 
 37,855   iShares US Credit Bond ETF   4,248,467 
 129,873   iShares US Treasury Bond ETF   3,277,995 
         42,921,503 
     EQUITY FUNDS - 50.3%     
 73,187   iShares Core MSCI EAFE ETF   4,696,410 
 19,141   iShares Core MSCI Emerging Markets ETF   1,033,997 
 107,019   iShares Core S&P 500 ETF   27,068,316 
 19,993   iShares Core S&P Mid-Cap ETF   3,576,748 
 23,638   iShares Core S&P Small-Cap ETF   1,754,412 
 61,126   iShares MSCI Eurozone ETF   2,647,978 
 43,123   iShares MSCI Japan ETF   2,402,382 
 34,220   iShares Russell 1000 ETF   4,786,693 
         47,966,936 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $81,760,573)   90,888,439 
           
     SHORT-TERM INVESTMENT - 4.8%     
     MONEY MARKET FUND - 4.8%     
           
 4,551,379   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a)(Cost - $4,551,379)   4,551,379 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $86,311,952)(b)  $95,439,818 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (29,532)
     TOTAL NET ASSETS - 100.0%  $95,410,286 

 

*Represents less than 0.05%.

 

(a)Money market rate shown represents the rate at September 30, 2017.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $82,022,007 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $8,902,821 
Unrealized Depreciation:   (28,573)
Net Unrealized Appreciation:  $8,874,248 

 

 

Global Atlantic BlackRock Global Allocation Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     VARIABLE INSURANCE TRUST - 95.5%     
     ASSET ALLOCATION FUND - 95.5%     
 15,713,028   BlackRock Global Allocation V.I. Fund - Class 1 (Cost - $263,709,505)  $269,792,689 
           
     SHORT-TERM INVESTMENTS - 4.5%     
     MONEY MARKET FUND - 4.5%     
 12,643,700   Fidelity Institutional Money Market Funds - Government Portfolio Institutional Class to yield 0.91% (a)(Cost - $12,643,700)   12,643,700 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $276,353,205)(b)  $282,436,389 
     OTHER ASSETS LESS LIABILITIES -NET - (0.0)% *   (96,073)
     TOTAL NET ASSETS - 100.0%  $282,340,316 

 

*Represents less than 0.05%.

 

(a)Money market rate shown represents the rate at September 30, 2017.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $277,724,217 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $4,712,172 
Unrealized Depreciation:    
Net Unrealized Appreciation:  $4,712,172 

 

 

Global Atlantic Franklin Dividend & Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     COMMON STOCKS - 69.3%     
     AEROSPACE/DEFENSE - 3.5%     
 26,070   General Dynamics Corp.  $5,359,471 
 40,500   United Technologies Corp.   4,701,240 
         10,060,711 
     AGRICULTURE - 2.0%     
 61,260   Archer-Daniels-Midland Co.   2,604,163 
 46,700   Bunge Ltd.   3,243,782 
         5,847,945 
     APPAREL - 1.1%     
 58,940   NIKE, Inc.   3,056,039 
           
     BEVERAGES - 1.2%     
 32,200   PepsiCo, Inc.   3,588,046 
           
     BUILDING MATERIALS - 1.1%     
 80,775   Johnson Controls International PLC   3,254,425 
           
     CHEMICALS - 8.1%     
 38,500   Air Products & Chemicals, Inc.   5,821,970 
 78,200   Albemarle Corp.   10,659,442 
 45,650   Praxair, Inc.   6,379,131 
 15,350   Versum Materials, Inc.   595,887 
         23,456,430 
     COMMERCIAL SERVICES - 2.2%     
 21,600   Cintas Corp.   3,116,448 
 15,700   Ecolab, Inc.   2,019,177 
 20,400   Matthews International Corp.   1,269,900 
         6,405,525 
     COMPUTERS - 2.2%     
 47,500   Accenture PLC - Cl. A   6,415,825 
           
     COSMETICS/PERSONAL CARE - 2.4%     
 45,966   Colgate-Palmolive Co.   3,348,623 
 39,300   Procter & Gamble Co. (The)   3,575,514 
         6,924,137 
     DISTRIBUTION/WHOLESALE - 0.5%     
 8,100   WW Grainger, Inc.   1,455,975 
           
     DIVERSIFIED FINANCIAL SERVICES - 0.8%     
 21,690   Visa, Inc. - Cl. A   2,282,656 
           
     ELECTRONICS - 2.4%     
 49,860   Honeywell International, Inc.   7,067,156 
           
     FOOD - 0.9%     
 23,860   McCormick & Co., Inc. (The)   2,448,990 
           
     HEALTHCARE-PRODUCTS - 9.1%     
 65,800   Abbott Laboratories   3,511,088 
 33,300   Becton Dickinson and Co.   6,525,135 
 28,700   Dentsply Sirona, Inc.   1,716,547 
 70,800   Medtronic PLC   5,506,116 
 47,300   Stryker Corp.   6,717,546 
 25,000   West Pharmaceutical Services, Inc.   2,406,500 
         26,382,932 

 

 

     HOME FURNISHINGS - 0.4%     
 24,600   Leggett & Platt, Inc.   1,174,158 
           
     INSURANCE - 1.4%     
 21,600   Aflac, Inc.   1,758,024 
 15,093   Chubb Ltd.   2,151,507 
 3,200   RLI Corp.   183,552 
         4,093,083 
     IRON/STEEL - 0.6%     
 30,210   Nucor Corp.   1,692,968 
           
     MACHINERY-DIVERSIFIED - 2.4%     
 28,340   Roper Technologies, Inc.   6,897,956 
           
     MEDIA - 1.4%     
 57,400   Comcast Corp.   2,208,752 
 36,740   John Wiley & Sons, Inc.   1,965,590 
         4,174,342 
     MISCELLANEOUS MANUFACTURING - 4.8%     
 22,180   Carlisle Cos, Inc.   2,224,432 
 41,900   Donaldson Co., Inc.   1,924,886 
 55,700   Dover Corp.   5,090,423 
 66,470   Pentair PLC   4,517,301 
         13,757,042 
     OIL & GAS - 1.9%     
 9,900   Chevron Corp.   1,163,250 
 17,100   EOG Resources, Inc.   1,654,254 
 22,300   Exxon Mobil Corp.   1,828,154 
 13,500   Occidental Petroleum Corp.   866,835 
         5,512,493 
     OIL & GAS SERVICES - 0.9%     
 38,000   Schlumberger Ltd.   2,650,880 
           
     PHARMACEUTICALS - 3.3%     
 22,560   AbbVie, Inc.   2,004,682 
 40,400   Johnson & Johnson   5,252,404 
 16,800   Perrigo Co. PLC   1,422,120 
 26,900   Roche Holding AG - ADR   860,800 
         9,540,006 
     RETAIL - 7.4%     
 24,490   CVS Health Corp.   1,991,527 
 52,690   Gap, Inc. (The)   1,555,936 
 20,570   McDonald’s Corp.   3,222,907 
 57,100   Ross Stores, Inc.   3,686,947 
 33,300   Target Corp.   1,965,033 
 23,900   Tiffany & Co.   2,193,542 
 35,870   Walgreens Boots Alliance, Inc.   2,769,881 
 28,900   Wal-Mart Stores, Inc.   2,258,246 
 23,000   Yum! Brands, Inc.   1,693,030 
         21,337,049 
     SEMICONDUCTORS - 3.9%     
 63,071   Analog Devices, Inc.   5,434,828 
 66,300   Texas Instruments, Inc.   5,943,132 
         11,377,960 
     SOFTWARE - 2.3%     
 89,410   Microsoft Corp.   6,660,151 
           
     TRANSPORTATION - 1.1%     
 25,610   United Parcel Service, Inc.   3,075,505 
     TOTAL COMMON STOCKS (Cost - $165,609,180)   200,590,385 

 

 

Principal Amount      Coupon Rate (%)  Maturity    
     ASSET BACKED SECURITIES - 4.4%           
$300,000   AMMC CLO 21 Ltd. 3 Month LIBOR + 2.10 (a)^  0.000  11/2/2030   300,000 
 200,000   BlueMountain Fuji CLO 2017-2A B 3 Month LIBOR + 2.15 (a) ^  3.480  10/20/2030   200,000 
 1,000,000   Carlyle Global Market Strategies CLO 2015-2A A1 3 Month LIBOR + 1.47 (a) ^  2.770  4/27/2027   1,004,498 
 1,300,000   Catamaran CLO Ltd. 3 Month LIBOR + 1.15 (a) ^  2.320  1/27/2025   1,298,892 
 250,000   CD 2016-CD2 A4 ^  3.410  11/10/2049   258,507 
 352,941   Colony American Homes 1 Month LIBOR + 1.15 (a) ^  2.380  5/17/2031   353,488 
 335,703   Colony American Homes 1 Month LIBOR + 1.20 (a) ^  2.430  7/17/2032   336,207 
 300,000   Dryden Senior Loan Fund 3 Month LIBOR + 2.25 (a) ^  3.490  7/15/2030   301,568 
 300,000   Emerson Park CLO Ltd. 3 Month LIBOR + 0.98 (a) ^  2.280  7/15/2025   299,998 
 300,000   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 2.60^  3.710  5/25/2024   310,575 
 300,000   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 2.90 ^  3.960  7/25/2024   313,311 
 300,000   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 3.00^  4.030  7/25/2024   315,851 
 257,359   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 4.00^  4.940  5/25/2025   273,195 
 286,626   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 4.90 ^  5.420  11/25/2024   324,656 
 130,000   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR + 5.75^  5.620  7/25/2029   144,368 
 272,842   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR +5.00^  5.640  7/25/2025   301,688 
 241,665   Fannie Mae Connecticut Avenue Securities 1 Month LIBOR +5.00^  5.710  7/25/2025   264,219 
 1,400,000   Flagship CLO 3 Month LIBOR + 1.25 (a) ^  2.540  1/16/2026   1,405,417 
 250,000   Flagship CLO 3 Month LIBOR + 3.70 (a) ^  5.000  1/16/2026   250,324 
 300,000   Freddie Mac - STACR 1 Month LIBOR + 3.80^  4.700  3/25/2025   321,439 
 300,000   Freddie Mac - STACR 1 Month LIBOR + 3.90^  4.690  12/25/2027   328,697 
 293,838   Freddie Mac - STACR 1 Month LIBOR + 4.00^  4.920  8/25/2024   312,890 
 300,000   Freddie Mac - STACR 1 Month LIBOR + 4.15^  5.010  1/25/2025   322,410 
 250,000   Freddie Mac - STACR 1 Month LIBOR + 5.55^  5.320  7/25/2028   293,260 
 200,000   Gilbert Park CLO Ltd. ^  0.000  10/15/2030   200,000 
 334,152   Invitation Homes Trust (a) ^  2.520  8/17/2017   336,508 
 308,719   Invitation Homes Trust 1 Month LIBOR + 1.45 (a) ^  2.670  3/17/2032   310,028 
 500,000   LCM Ltd. 3 Month LIBOR + 2.30 (a) ^  3.590  7/20/2030   502,982 
 250,000   MAD 2015-11MD A (a) ^  3.540  9/10/2035   259,234 
 306,273   Mill City Mortgage Loan Trust (a) ^  2.500  4/25/2057   306,606 
 194,584   Towd Point Mortgage Trust 2017-3 (a) ^  2.750  7/25/2057   194,584 
 301,178   Towd Point Mortgage Trust 2017-2 (a) ^  2.750  4/25/2057   301,066 
 313,843   Towd Point Mortgage Trust 2017-2 (a) ^  2.290  7/25/2056   308,105 
 312,437   Towd Point Mortgage Trust 2017-4 (a) ^  2.740  11/25/2060   313,343 
     TOTAL ASSET BACKED SECURITIES (Cost - $12,890,224)      12,867,914 
                 
     CORPORATE BONDS - 8.9%           
     AEROSPACE/DEFENSE - 0.3%           
 300,000   Lockheed Martin Corp.  4.700  5/15/2046   335,560 
 200,000   Transdigm, Inc.  6.500  7/15/2024   206,500 
 300,000   United Technologies Corp.  1.125  12/15/2021   366,563 
               908,623 
     AGRICULTURE - 0.1%           
 300,000   Reynolds American, Inc.  5.700  8/15/2035   351,812 
                 
     AUTO MANUFACTURERS - 0.2%           
 200,000   Delphi Corp.  4.150  3/15/2024   212,182 
 200,000   Ford Motor Credit Co. LLC  3.120  5/4/2023   198,239 
               410,421 
     BANKS - 2.0%           
 300,000   Banca Monte Dei Paschi  2.125  11/26/2025   371,617 
 700,000   Bank of America Corp.  3.500  4/19/2026   711,672 
 300,000   Barclays PLC  4.375  9/11/2024   308,337 
 700,000   Capital One Financial Corp.  3.200  2/5/2025   699,591 
 600,000   Citigroup, Inc.  3.400  5/1/2026   601,296 
 500,000   Goldman Sachs Group, Inc. (The)  3.750  2/25/2026   511,864 
 400,000   HSBC Holdings PLC  4.300  3/8/2026   429,787 
 300,000   JPMorgan Chase & Co.  3.250  9/23/2022   310,146 
 500,000   JPMorgan Chase & Co.  3.200  6/15/2026   496,329 
 500,000   Morgan Stanley  3.875  1/27/2026   519,095 
 400,000   Wells Fargo & Co.  2.500  3/4/2021   402,743 
 500,000   Wells Fargo & Co.  3.000  4/22/2026   491,122 
               5,853,599 

 

 

     BEVERAGES - 0.2%           
 500,000   Anheuser-Busch InBev Finance, Inc.  3.650  2/1/2026   517,256 
                 
     BIOTECHNOLOGY - 0.2%           
 200,000   Baxalta, Inc.  3.600  6/23/2022   207,236 
 200,000   Biogen, Inc.  5.200  9/15/1945   231,128 
               438,364 
     CHEMICALS - 0.2%           
 100,000   Chemours Co.  5.375  5/15/2027   103,750 
 300,000   LYB International Finance BV  4.000  7/15/2023   316,469 
               420,219 
     DIVERSIFIED FINANCIAL SERVICES - 0.1%           
 200,000   Navient Corp.  6.750  6/25/2025   208,000 
 200,000   Tempo Acquisition LLC (a)  6.750  6/1/2025   202,000 
               410,000 
     ELECTRIC - 0.9%           
 600,000   Calpine Corp.  5.375  1/15/2023   584,340 
 400,000   Dominion Energy, Inc.  3.900  10/1/2025   416,926 
 200,000   Dynegy, Inc. (a)  8.125  1/30/2026   206,000 
 400,000   Electricite De France SA 10 Year Swap Rate + 3.709 (a) ^  5.250  1/29/2049   415,124 
 500,000   Southern Co. (The)  3.250  7/1/2026   494,268 
 300,000   State Grid Overseas Investment (a)  3.500  5/4/2027   305,035 
 300,000   Three Gorges Finance Ltd. (a)  3.700  6/10/2025   309,873 
               2,731,566 
     ELECTRONICS - 0.0% **           
 100,000   Tech Data Corp.  4.950  2/15/2027   103,145 
                 
     FOOD - 0.3%           
 400,000   Kraft Heinz Foods Co.  3.500  7/15/2022   413,966 
 300,000   Kroger Co. (The)  4.000  2/1/2024   311,085 
 100,000   Lamb Weston HLD (a)  4.875  11/1/2026   105,000 
               830,051 
     HEALTHCARE-PRODUCTS - 0.1%           
 100,000   Avantor, Inc. (a)  6.000  10/1/2024   102,500 
 300,000   Stryker Corp.  3.500  3/15/2026   308,036 
               410,536 
     HOME BUILDERS - 0.0% **           
 100,000   Pultegroup, Inc.  5.000  1/15/2027   104,000 
                 
     HOUSEHOLD PRODUCTS/WARES - 0.1%           
 200,000   Clorox Co. (The)  3.100  10/1/2027   199,038 
                 
     INSURANCE - 0.4%           
 300,000   Liberty Mutual Group, Inc. (a)  4.950  5/1/2022   327,595 
 100,000   MetLife, Inc.  3.000  3/1/2025   100,242 
 300,000   Prudential Financial, Inc.  3.500  5/15/2024   312,073 
 400,000   Teachers Insurance & Annuity Association of America (a)  4.900  9/15/2044   451,754 
               1,191,664 
     INTERNET - 0.0% **           
 100,000   Amazon.com, Inc. (a)  2.800  8/22/2024   100,384 
                 
     LODGING - 0.2%           
 300,000   Marriott International, Inc.  3.750  10/1/2025   309,478 
 200,000   Wynn Las Vegas Capital Corp. LLC (a)  5.250  5/15/2027   203,748 
               513,226 

 

 

     MACHINERY - CONSTRUCTION AND MINING - 0.1%           
 200,000   Vertiv Group Corp. (a)  9.250  10/15/2024   225,000 
                 
     MACHINERY - DIVERSIFIED - 0.0% **           
 100,000   Tennant Co. (a)  5.625  5/1/2025   103,750 
                 
     MEDIA - 0.4%           
 200,000   Altice U.S. Finance Corp. (a)  5.500  5/15/2026   210,938 
 200,000   CCO Holdings LLC (a)  5.125  5/1/2027   202,750 
 300,000   NBCUniversal Media, LLC  4.450  1/15/2043   319,144 
 100,000   Nexstar Broadcasting, Inc. (a)  5.625  8/1/2024   103,500 
 300,000   Time Warner, Inc.  5.375  10/15/2041   323,350 
               1,159,682 
     MINING - 0.2%           
 100,000   First Quantum Minerals Ltd. (a)  7.250  4/1/2023   103,000 
 300,000   Glencore Finance Canada (a)  4.950  11/15/2021   323,973 
               426,973 
     OIL & GAS - 0.4%           
 300,000   Anadarko Petroleum Corp.  6.450  9/15/2036   354,899 
 400,000   Exxon Mobil Corp.  2.709  3/6/2025   401,621 
 400,000   Sinopec Group Overseas Development 2015 Ltd. (a)  3.250  4/28/2025   400,695 
               1,157,215 
     OIL & GAS SERVICES - 0.1%           
 200,000   Weatherford International Ltd.  8.250  6/15/2023   206,000 
                 
     PACKAGING & CONTAINERS - 0.2%           
 200,000   Ardagh Packaging Finance PLC (a)  6.000  2/15/2025   211,750 
 100,000   Bway Holding Co. (a)  7.250  4/15/2025   103,000 
 100,000   Multi-Color Corp. (a)  4.875  11/1/2025   101,095 
 150,000   Reynolds Group Issuer, Inc. (a)  7.000  7/15/2024   159,750 
               575,595 
     PHARMACEUTICALS - 0.2%           
 300,000   Actavis Funding SCS  4.550  3/15/2035   320,074 
 200,000   Endo DAC/Endo Finance Ltd. (a)  6.000  2/1/2025   162,000 
 200,000   Valeant Pharmaceuticals International, Inc. (a)  7.500  7/15/2021   199,500 
               681,574 
     PIPELINES - 0.5%           
 200,000   Cheniere Corpus Christi Holdings Ltd.  7.000  6/30/2024   228,000 
 100,000   Cheniere Energy Partners LP (a)  5.250  10/1/2025   102,250 
 400,000   Enterprise Products Operating LLC  4.450  2/15/2043   404,645 
 100,000   Kinder Morgan Energy Partners LP  6.500  9/1/2039   113,966 
 400,000   Sabine Pass Liquefacation LLC  5.000  3/15/2027   426,632 
               1,275,493 
     REAL ESTATE INVESTMENT TRUSTS - 0.3%           
 300,000   American Tower Corp.  4.400  2/15/2026   317,263 
 100,000   MPT Operating Partnership LP  5.000  10/15/2027   102,500 
 100,000   Realty Income Corp.  3.125  10/15/2022   102,366 
 400,000   Realty Income Corp.  4.125  10/15/2026   414,258 
               936,387 
     RETAIL - 0.3%           
 200,000   Argos Merger Sub, Inc. (a)  7.125  3/15/2023   155,960 
 300,000   Dollar General Corp.  4.150  11/1/2025   318,446 
 300,000   Home Depot, Inc. (The)  2.125  9/15/2026   281,719 
 100,000   New Red Finance, Inc. (a)  5.000  10/15/2025   101,240 
 100,000   Walgreen Co.  3.100  9/15/2022   101,876 
               959,241 
     SOFTWARE - 0.2%           
 100,000   Alpine Finance Merger (a)  6.875  8/1/2025   105,500 
 500,000   Microsoft Corp.  2.400  8/8/2026   483,280 
               588,780 

 

 

     TELECOMMUNICATIONS - 0.4%           
 200,000   Juniper Networks, Inc.  4.350  6/15/2025   209,364 
 250,000   Sprint Corp.  7.125  6/15/2024   281,250 
 300,000   Telefonica Emisiones, S.A.U.  4.570  4/27/2023   327,736 
 300,000   Verizon Communications, Inc.  4.812  3/15/2039   309,692 
               1,128,042 
     TRANSPORTATION - 0.2%           
 500,000   FedEx Corp.  3.250  4/1/2026   506,621 
                 
     TRUCKING & LEASING - 0.1%           
 200,000   DAE Funding LLC (a)  5.000  8/1/2024   205,000 
 100,000   Park Aerospace Holdings (a)  5.250  8/15/2022   104,000 
               309,000 
                 
     TOTAL CORPORATE BONDS (Cost $25,604,159)         25,733,257 
                 
     TERM LOANS - 0.9%           
 149,624   AMC Entertainment Holdings, Inc.  3.550  12/15/2023   148,876 
 81,000   Aristocrat International Pty Ltd.  0.000  9/19/2024   81,081 
 98,591   Ascena Retail Group, Inc.  0.000  8/21/2022   80,023 
 225,000   Avis Budget Car Rental LLC  0.000  3/15/2022   223,594 
 200,000   CIBT Global, Inc.  0.000  6/1/2024   200,500 
 199,500   CSC Holdings LLC  3.800  7/17/2025   198,217 
 150,000   Eldorado Resorts, Inc.  5.260  3/16/2024   149,813 
 100,000   Fieldwood Energy LLC  0.000  9/28/2018   91,500 
 100,000   Foresight Energy LLC  0.000  3/28/2022   93,313 
 150,000   General Nutrition Centers, Inc.  3.990  3/4/2019   142,938 
 100,000   Hertz Corp. (The)  0.000  6/30/2023   99,286 
 250,000   JBS USA Lux SA  5.570  10/30/2022   246,875 
 150,000   Mallinckrodt International Finance SA  3.750  9/24/2024   149,854 
 150,000   Mueller Water Products, Inc.  3.710  11/25/2021   150,657 
 99,745   PetSmart, Inc.  4.740  3/10/2022   84,118 
 114,328   Quintiles IMS, Inc.  0.000  1/13/2025   114,859 
 300,000   U.S. Renal Care, Inc.  5.430  11/16/2022   290,100 
 100,000   Valeant Pharmaceuticals International, Inc.  5.470  3/11/2022   101,760 
     TOTAL TERM LOANS (Cost - $2,671,063)         2,647,364 
                 
     MORTGAGE BACKED SECURITIES - 5.8%           
     FEDERAL HOME LOAN MORTGAGE CORP. - 2.7%           
 300,000   Freddie Mac Gold Pool +  3.00  5/15/2047   300,891 
 1,693,187   Freddie Mac Gold Pool  3.00  9/1/2047   1,699,472 
 700,000   Freddie Mac Gold Pool +  3.50  10/15/2046   721,656 
 1,495,909   Freddie Mac Gold Pool  3.50  9/1/2047   1,542,762 
 3,490,653   Freddie Mac Gold Pool  4.00  9/1/2047   3,679,140 
               7,943,921 
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 2.2%        
 400,000   Fannie Mae Pool +  3.00  5/25/2047   401,125 
 1,395,772   Fannie Mae Pool  3.00  9/1/2047   1,471,140 
 700,000   Fannie Mae Pool +  3.50  12/25/2046   721,547 
 1,793,421   Fannie Mae Pool  3.50  9/1/2047   1,849,848 
 780,000   Fannie Mae Pool +  4.00  10/1/2044   821,255 
 995,273   Fannie Mae Pool  4.00  9/1/2047   1,048,267 
               6,313,182 
     GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.9%        
 997,672   Ginnie Mae II Pool  3.00  8/20/2047   1,012,708 
 300,000   Ginnie Mae II Pool +  3.50  3/20/2047   311,813 
 1,197,554   Ginnie Mae II Pool  3.50  8/20/2047   1,246,344 
               2,570,865 
                 
     TOTAL MORTGAGE BACKED SECURITIES (Cost - $16,805,629)   16,827,968 

 

 

     SOVEREIGN DEBT - 0.1%           
 300,000   Export-Import Bank of Korea (Cost - $300,273)  2.250  1/21/2020   298,922 
                 
     U.S. TREASURY SECURITIES - 4.6%           
 675,000   United States Treasury Bond  2.250  8/15/2046   593,499 
 345,000   United States Treasury Bond  2.375  1/15/2025   511,285 
 600,000   United States Treasury Bond  2.500  2/15/2045   559,594 
 825,000   United States Treasury Bond  2.500  2/15/2046   767,218 
 840,000   United States Treasury Bond  2.500  5/15/2046   780,544 
 300,000   United States Treasury Bond  2.875  5/15/2043   302,391 
 600,000   United States Treasury Bond  4.250  11/15/2040   752,859 
 700,000   United States Treasury Bond  4.375  2/15/2038   889,547 
 550,000   United States Treasury Inflation Index Note  0.125  7/15/2024   560,694 
 665,000   United States Treasury Note  0.125  7/15/2022   710,499 
 1,400,000   United States Treasury Note  2.000  11/30/2020   1,414,164 
 1,400,000   United States Treasury Note  2.125  6/30/2022   1,413,453 
 1,400,000   United States Treasury Note  2.625  11/15/2020   1,441,180 
 1,400,000   United States Treasury Note  3.500  5/15/2020   1,469,562 
 900,000   United States Treasury Note  3.625  2/15/2020   943,664 
     TOTAL U.S. TREASURY SECURITIES (Cost - $13,043,361)         13,110,153 
                 
Shares               
     SHORT-TERM INVESTMENTS - 7.2%           
     MONEY MARKET FUND - 7.2%           
 20,912,987   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.91% (b)         20,912,987 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $20,912,987)           
                 
     TOTAL INVESTMENTS - 101.2% (Cost - $257,836,876)(c)        $292,988,950 
     OTHER ASSETS LESS LIABILITIES - NET - (1.2)%         (3,396,548)
     TOTAL NET ASSETS - 100.0%        $289,592,402 
                 
Principal Amount      Coupon Rate (%)  Maturity  Value 
     SECURITIES SOLD SHORT - (0.3)%           
     MORTGAGE BACKED SECURITIES - (0.3)%           
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - (0.3)%           
 780,000   Fannie Mae + (Cost - $823,997)  4.00  10/1/2044  $821,255 

 

+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.

 

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, 2017, these securities amounted to $31,535,260 or 6.8% of net assets.

 

(b)Money market rate shown represents the rate at September 30, 2017.

 

(c)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $258,023,538 and differs from fair value by net unrealized appreciation/(depreciation) of securities as follows:

 

Unrealized Appreciation:  $39,463,983 
Unrealized Depreciation:   (4,498,571)
Net Unrealized Appreciation:  $34,965,412 

 

 

Global Atlantic Franklin Dividend & Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

                Unrealized 
                Appreciation/ 
   Counterparty  Contracts  Expiration Date  Notional Value   (Depreciation) 
SHORT FUTURES CONTRACTS                   
Euro Bund Future     1  Dec-17   190,346   $104 
U.S. 10 Year Ultra Bond Future     6  Dec-17   805,969    11,719 
                 $11,823 
                    
LONG FUTURES CONTRACT                   
Australian 10 Year Bond Future     9  Dec-17   897,151    (12,594)
Canadian 10 Year Bond Future     3  Dec-17   324,551    (6,861)
U.S. 5 Year Note Future     35  Dec-17   4,112,500    (32,516)
U.S. Long Bond Future     6  Dec-17   916,875    (25,125)
                 $(77,096)
NET UNREALIZED DEPRECIATION OF FUTURES CONTRACTS       $(65,273)

 

 

Global Atlantic Franklin Dividend & Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
September 30, 2017

 

INTEREST RATE SWAPS

 

                   Unrealized 
      Pay/Receive     Expiration  Notional   Appreciation/ 
Counterparty  Floating Rate Index  Floating Rate  Fixed Rate  Date  Amount   (Depreciation) 
JP Morgan Chase  IIS Inflation Index  Receive  1.96%  8/31/2024  $1,800,000   $9,461 
                    $9,461 

 

CREDIT DEFAULT SWAPS

 

                   Premiums   Unrealized 
      Fixed Rate  Fixed Rate  Expiration  Notional   Paid/   Appreciation/ 
Counterparty  Index  Received  Paid  Date  Amount   (Received)   (Depreciation) 
Citibank NA  AES Corp.  0.00%  5.00%  6/20/2022  $400,000   $   $(4,734)
Citibank NA  Best Buy Co., Inc.  0.00%  5.00%  6/20/2022   250,000        (2,405)
Citibank NA  Bombardier, Inc.  0.00%  5.00%  6/20/2022   200,000        11,981 
BNP Paribas  CDX.NA.IG.29  1.00%  0.00%  12/20/2022   2,000,000        1,780 
Citibank NA  Gap, Inc.  0.00%  1.00%  6/20/2022   110,000        (4,237)
BNP Paribas  ITRX.EUR.28  0.00%  1.00%  12/20/2022   1,750,000        170 
Citibank NA  Kohl’s Corp.  0.00%  1.00%  6/20/2022   120,000        (3,302)
Citibank NA  L Brands, Inc.  0.00%  1.00%  6/20/2022   110,000        (1,660)
Citibank NA  Macy’s Retail Holdings, Inc.  0.00%  1.00%  6/20/2022   105,000        (1,223)
Citibank NA  MCDX.NA.29  1.00%  0.00%  6/20/2022   1,050,000        3,969 
Citibank NA  Nabors Inds, Inc.  0.00%  1.00%  6/20/2020   170,000        (2,968)
Citibank NA  Nabors Inds, Inc.  1.00%  0.00%  6/20/2022   170,000        5,732 
Citibank NA  Republic of Brazil  1.00%  0.00%  12/20/2022   320,000        1,430 
Citibank NA  Simon Property Group LP  1.00%  0.00%  6/20/2022   480,000        2,492 
Citibank NA  Target Corp.  0.00%  1.00%  6/20/2022   250,000        (1,618)
                         $5,407 
                            
TOTAL RETURN SWAPS
                            
                   Premiums   Unrealized 
      Floating Rate  Floating Rate  Expiration  Notional   Paid/   Appreciation/ 
Counterparty  Index  Received  Paid  Date  Amount   (Received)   (Depreciation) 
Citibank NA  iBoxx $ Liquid  0.00%  1.27%  6/20/2018  $1,050,000   $   $14,620 
                         $14,620 

 

 

Global Atlantic Franklin Dividend & Income Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
September 30, 2017

 

Schedule of Forward Foreign Currency Contracts

 

Settlement     Currency Units to             Unrealized Appreciation 
Date  Counterparty  Receive/Deliver     In Exchange For   U.S. $ Value   (Depreciation) 
To Buy:                         
10/26/2017  Barclays Bank PLC  $430,000  AUD  $341,398   $337,290   $(4,108)
10/26/2017  Barclays Bank PLC   630,000  BRL   187,746    198,462    10,716 
10/26/2017  Barclays Bank PLC   440,000  EUR   518,540    520,913    2,373 
10/26/2017  Barclays Bank PLC   2,000,000,000  IDR   147,005    148,150    1,145 
10/26/2017  Barclays Bank PLC   13,000,000  INR   198,990    198,324    (666)
10/26/2017  Barclays Bank PLC   18,100,000  MXN   981,344    992,242    10,898 
                        20,358 
                          
To Sell:                         
10/26/2017  Barclays Bank PLC   1,200,000  AUD   910,440    941,275    (30,835)
10/26/2017  Barclays Bank PLC   340,000  CAD   263,913    271,910    (7,997)
10/26/2017  Barclays Bank PLC   1,200,000  EUR   1,374,360    1,420,672    (46,312)
10/26/2017  Barclays Bank PLC   230,000  GBP   297,114    308,851    (11,737)
10/26/2017  Barclays Bank PLC   100,000,000  JPY   882,145    889,548    (7,403)
10/26/2017  Barclays Bank PLC   165,000,000  KRW   142,857    144,110    (1,253)
10/26/2017  Barclays Bank PLC   200,000  SGD   144,833    147,325    (2,492)
10/26/2017  Barclays Bank PLC   380,000  EUR   435,267    449,879    (14,612)
10/26/2017  Barclays Bank PLC   2,300,000  MXN   129,402    126,086    3,316 
10/26/2017  Barclays Bank PLC   430,000  CAD   342,085    343,887    (1,802)
9/13/2018  Barclays Bank PLC   300,000  EUR   367,050    362,253    4,797 
                        (116,330)
                          
Net unrealized depreciation on forward foreign currency contracts   $(95,972)

 

 

Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 33.5%     
     DEBT FUNDS - 9.4%    
 26,657   iShares Short Maturity Bond ETF        $1,340,581 
 9,100   iShares Short Treasury Bond ETF         1,004,594 
 18,300   SPDR Bloomberg Barclays 1-3 Month T-Bill ETF   837,225 
               3,182,400 
     EQUITY FUNDS - 24.1%           
 8,036   iShares Core S&P 500 ETF         2,032,545 
 16,163   SPDR S&P 500 ETF Trust         4,060,631 
 8,837   Vanguard S&P 500 ETF         2,039,226 
               8,132,402 
     TOTAL EXCHANGE TRADED FUNDS (Cost $10,244,210)   11,314,802 
                 
Principal Amount      Coupon Rate (%)  Maturity     
     U.S. TREASURY NOTE - 34.9%           
$11,790,000   United States Treasury Note (Cost $12,009,841)  2.25  11/15/2025   11,789,539 
                 
Contracts      Counterparty  Notional Value     
     PURCHASED OPTIONS - 0.4%           
 41   Euro Stoxx 50 Index, December 2017, Put @ $3,200  Morgan Stanley  1,312,000   6,447 
 41   Euro Stoxx 50 Index, March 2018, Put @ $3,050  Morgan Stanley  1,250,500   13,814 
 6   FTSE 100 Index, December 2017, Put @ $6,750  Morgan Stanley  405,000   1,912 
 6   FTSE 100 Index, March 2018, Put @ $6,600  Morgan Stanley  396,000   5,514 
 3   Nikkei 225 Index, December 2017, Put @ $17,500  Morgan Stanley  52,500,000   1,732 
 4   Nikkei 225 Index, March 2018, Put @ $17,500  Morgan Stanley  70,000,000   6,752 
 34   S&P 500 Index, December 2017, Put @ $2,150  Morgan Stanley  7,310,000   13,090 
 34   S&P 500 Index, March 2018, Put @ $2,200  Morgan Stanley  7,480,000   68,000 
     TOTAL PURCHASED OPTIONS (Cost - $216,079)   117,261 
                 
Shares               
     SHORT-TERM INVESTMENTS - 23.2%     
     MONEY MARKET FUND - 23.2%           
 7,821,851   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.55% (a) (Cost - $7,821,851)   7,821,851 
                 
     TOTAL INVESTMENTS - 92.0% (Cost - $30,291,981)(b)  $31,043,453 
     OTHER ASSETS LESS LIABILITIES - NET - 8.0%   2,716,403 
     TOTAL NET ASSETS - 100.0%        $33,759,856 

 

(a)Money market rate shown represents the rate at September 30, 2017.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes, including options written, is $30,351,185 and differs from fair value by net unrealized appreciation/(depreciation) of securities as follows:

 

Unrealized Appreciation:  $1,070,620 
Unrealized Depreciation:   (397,237)
Net Unrealized Appreciation:  $673,383 

 

Contracts   Options Written  Counterparty  Notional Value  Value 
 83   Euro Stoxx 50 Index, October 2017, Call @ $3,675  Morgan Stanley  3,050,250  $(3,091)
 13   FTSE 100 Index, October 2017, Call @ $7,600  Morgan Stanley  988,000   (392)
 7   Nikkei 225 Index, October 2017, Call @ $20,250  Morgan Stanley  141,750,000   (14,614)
 15   S&P 500 Index, October 2017, Call @ $2,600  Morgan Stanley  3,900,000   (788)
     TOTAL OPTIONS WRITTEN (Premiums received - $4,773)  $(18,885)

 

 

Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)(Continued)
September 30, 2017

 

               Unrealized Appreciation/ 
   Counterparty  Contracts  Expiration Date  Notional Value  (Depreciation) 
LONG FUTURES CONTRACTS                 
E-Mini Russell 2000 Index Future December 2017  Credit Suisse  12  12/31/2017  895,740  $47,940 
Euro Stoxx 50 Index Future December 2017  Credit Suisse  60  12/31/2017  2,536,530   50,579 
Nikkei 225 Index Future December 2017  Credit Suisse  7  12/31/2017  1,266,113   69,999 
S&P 500 E-Mini Future December 2017  Credit Suisse  43  12/31/2017  5,409,400   64,930 
S&P Midcap 400 E-Mini Future December 2017  Credit Suisse  7  12/31/2017  1,256,990   (750)
TOTAL UNREALIZED APPRECIATION OF FUTURES CONTRACTS  $232,698 

 

 

Global Atlantic Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.1%     
     DEBT FUNDS - 15.2%     
 67,879   iShares 1-3 Year Credit Bond ETF  $7,151,053 
 65,510   iShares 1-3 Year Treasury Bond ETF   5,532,319 
 397,778   iShares Core U.S. Aggregate Bond ETF   43,592,491 
 23,427   iShares iBoxx $ High Yield Corporate Bond ETF   2,079,381 
 10,016   iShares JP Morgan USD Emerging Markets Bond ETF   1,166,063 
 63,794   iShares US Credit Bond ETF   7,159,601 
 218,411   iShares US Treasury Bond ETF   5,512,694 
         72,193,602 
     EQUITY FUNDS - 79.9%     
 578,596   iShares Core MSCI EAFE ETF   37,128,505 
 150,969   iShares Core MSCI Emerging Markets ETF   8,155,345 
 845,926   iShares Core S&P 500 ETF   213,960,063 
 158,460   iShares Core S&P Mid-Cap ETF   28,348,494 
 186,733   iShares Core S&P Small-Cap ETF   13,859,323 
 482,645   iShares MSCI Eurozone ETF   20,908,181 
 342,120   iShares MSCI Japan ETF   19,059,505 
 270,385   iShares Russell 1000 ETF   37,821,454 
         379,240,870 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $385,388,295)   451,434,472 
           
     SHORT-TERM INVESTMENT - 5.0%     
     MONEY MARKET FUND - 5.0%     
 23,367,810   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a) (Cost - $23,367,810)   23,367,810 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $408,756,105)(b)  $474,802,282 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (323,736)
     TOTAL NET ASSETS - 100.0%  $474,478,546 

 

(a) Money market rate shown represents the rate at September 30, 2017.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $409,678,870 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $65,161,603 
Unrealized Depreciation:   (38,191)
Net Unrealized Appreciation:  $65,123,412 

 

 

Global Atlantic Moderate Growth Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 95.2%     
     DEBT FUNDS - 30.8%     
 42,918   iShares 1-3 Year Credit Bond ETF  $4,521,411 
 41,491   iShares 1-3 Year Treasury Bond ETF   3,503,915 
 252,674   iShares Core U.S. Aggregate Bond ETF   27,690,544 
 14,670   iShares iBoxx $ High Yield Corporate Bond ETF   1,302,109 
 6,333   iShares JP Morgan USD Emerging Markets Bond ETF   737,288 
 40,333   iShares US Credit Bond ETF   4,526,573 
 138,748   iShares US Treasury Bond ETF   3,501,999 
         45,783,839 
     EQUITY FUNDS - 64.4%     
 146,371   iShares Core MSCI EAFE ETF   9,392,627 
 39,447   iShares Core MSCI Emerging Markets ETF   2,130,927 
 214,563   iShares Core S&P 500 ETF   54,269,420 
 39,441   iShares Core S&P Mid-Cap ETF   7,055,995 
 45,458   iShares Core S&P Small-Cap ETF   3,373,893 
 122,545   iShares MSCI Eurozone ETF   5,308,649 
 85,757   iShares MSCI Japan ETF   4,777,522 
 68,527   iShares Russell 1000 ETF   9,585,557 
         95,894,590 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $124,736,277)   141,678,429 
           
     SHORT-TERM INVESTMENT - 5.1%     
     MONEY MARKET FUND - 5.1%     
 7,600,537   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a) (Cost - $7,600,537)   7,600,537 
           
     TOTAL INVESTMENTS - 100.3% (Cost - $132,336,814)(b)  $149,278,966 
     OTHER ASSETS LESS LIABILITIES - NET - (0.3)%   (431,810)
     TOTAL NET ASSETS - 100.0%  $148,847,156 

 

(a) Money market rate shown represents the rate at September 30, 2017.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $133,078,790 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $16,227,568 
Unrealized Depreciation:   (27,392)
Net Unrealized Appreciation:  $16,200,176 

 

 

Global Atlantic Motif Aging of America Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     COMMON STOCKS - 99.5%     
     BIOTECHNOLOGY - 25.3%     
 61   Aduro Biotech, Inc. *  $650 
 158   Amarin Corp PLC (ADR) *   553 
 17   Amgen, Inc.   3,170 
 27   Celgene Corp. *   3,937 
 17   Cellectis SA * (ADR)   484 
 44   CytomX Therapeutics, Inc. *   799 
 56   Epizyme, Inc. *   1,067 
 37   Exact Sciences Corp. *   1,743 
 65   Exelixis, Inc. *   1,575 
 28   FibroGen, Inc. *   1,506 
 16   Five Prime Therapeutics, Inc. *   655 
 26   Foundation Medicine, Inc. *   1,045 
 27   Halozyme Therapeutics, Inc. *   469 
 73   ImmunoGen, Inc. *   558 
 17   Incyte Corp. *   1,985 
 31   Innoviva, Inc. *   438 
 46   Juno Therapeutics, Inc. *   2,064 
 13   Medicines Co. (The) *   482 
 29   Myriad Genetics, Inc. *   1,049 
 95   NeoGenomics, Inc. *   1,057 
 32   Seattle Genetics, Inc. *   1,741 
 102   Spectrum Pharmaceuticals, Inc. *   1,435 
 9   United Therapeutics Corp. *   1,055 
         29,517 
     HEALTHCARE PRODUCTS - 18.4%     
 9   ABIOMED, Inc. *   1,517 
 125   Accuray, Inc. *   500 
 18   Advanced Accelerator Applications SA * (ADR)   1,217 
 27   AtriCure, Inc. *   604 
 5   Baxter International, Inc.   314 
 20   BioTelemetry, Inc. *   660 
 45   Boston Scientific Corp. *   1,313 
 17   Edwards Lifesciences Corp. *   1,858 
 112   Endologix, Inc. *   500 
 28   Genomic Health, Inc. *   899 
 21   Globus Medical, Inc. *   624 
 10   Hologic, Inc. *   367 
 15   Insulet Corp. *   826 
 16   iRhythm Technologies, Inc. *   830 
 12   K2M Group Holdings, Inc. *   255 
 20   Lantheus Holdings, Inc. *   356 
 18   LeMaitre Vascular, Inc.   674 
 6   Medtronic PLC   467 
 20   Merit Medical Systems, Inc. *   847 
 53   Novocure Ltd. *   1,052 
 8   NuVasive, Inc. *   444 
 36   NxStage Medical, Inc. *   994 
 9   Orthofix International NV *   425 
 71   Rockwell Medical, Inc. *   608 
 3   Stryker Corp.   426 
 4   Varex Imaging Corp. *   135 
 18   Varian Medical Systems, Inc. *   1,801 
 21   Wright Medical Group NV *   543 
 4   Zimmer Biomet Holdings, Inc.   468 
         21,524 

 

 

     HEALTHCARE - SERVICES - 20.6%     
 36   Addus HomeCare Corp. *   1,271 
 2   Aetna, Inc.   318 
 28   Almost Family, Inc. *   1,504 
 40   Amedisys, Inc. *   2,238 
 36   American Renal Associates Holdings, Inc. *   539 
 192   Brookdale Senior Living, Inc. *   2,035 
 99   Capital Senior Living Corp. *   1,242 
 10   Chemed Corp.   2,021 
 13   DaVita, Inc. *   772 
 86   Ensign Group, Inc. (The)   1,943 
 30   Fresenius Medical Care AG & Co. KGaA (ADR)   1,467 
 13   Humana, Inc.   3,167 
 48   Kindred Healthcare, Inc.   326 
 27   LHC Group, Inc. *   1,915 
 34   National HealthCare Corp.   2,127 
 4   UnitedHealth Group, Inc.   783 
 2   WellCare Health Plans, Inc. *   343 
         24,011 
     PHARMACEUTICALS - 15.9%     
 15   AbbVie, Inc.   1,333 
 22   Agios Pharmaceuticals, Inc. *   1,469 
 89   Array BioPharma, Inc. *   1,095 
 42   AstraZeneca PLC (ADR)   1,423 
 432   BioScrip, Inc. *   1,188 
 27   Bristol-Myers Squibb Co.   1,721 
 21   Coherus Biosciences, Inc. *   280 
 48   Corcept Therapeutics, Inc. *   926 
 15   DexCom, Inc. *   734 
 9   Eli Lilly & Co.   770 
 71   Insys Therapeutics, Inc. *   630 
 4   Johnson & Johnson   520 
 56   Jounce Therapeutics, Inc. *   872 
 79   Keryx Biopharmaceuticals, Inc. *   561 
 40   MyoKardia, Inc. *   1,714 
 8   Novartis AG (ADR)   687 
 41   Novo Nordisk A/S (ADR)   1,974 
 61   SciClone Pharmaceuticals, Inc. *   683 
         18,580 

 

 

     REAL ESTATE INVESTMENT TRUSTS - 19.3%     
 95   CareTrust REIT, Inc.   1,809 
 66   HCP, Inc.   1,837 
 25   LTC Properties, Inc.   1,175 
 12   National Health Investors, Inc.   927 
 140   New Senior Investment Group, Inc.   1,281 
 110   Omega Healthcare Investors, Inc.   3,510 
 102   Quality Care Properties, Inc. *   1,581 
 80   Sabra Health Care REIT, Inc.   1,755 
 66   Senior Housing Properties Trust   1,290 
 41   Ventas, Inc.   2,670 
 67   Welltower, Inc.   4,709 
         22,544 
     TOTAL COMMON STOCKS (Cost - $101,585)   116,176 
           
     SHORT-TERM INVESTMENT - 0.5%     
     MONEY MARKET FUND - 0.5%     
 564   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a)(Cost - $564)   564 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $102,149)(b)  $116,740 
     OTHER ASSETS LESS LIABILITIES - NET - 0.0% ^   (27)
     TOTAL NET ASSETS - 100.0%  $116,713 

 

 ADR - American Depository Receipt

 

 REIT - Real Estate Investment Trust

 

* Non-income producing security.

 

^ Represents less than 0.05%.

 

(a) Money market rate shown represents the rate at September 30, 2017.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $102,438 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $20,670 
Unrealized Depreciation:   (6,368)
Net Unrealized Appreciation:  $14,302 

 

 

Global Atlantic Motif Real EstateTrends Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     COMMON STOCKS - 97.7%     
     HEALTHCARE SERVICES - 6.9%     
 16   Addus HomeCare Corp. *  $565 
 12   Almost Family, Inc. *   644 
 18   Amedisys, Inc. *   1,007 
 87   Brookdale Senior Living, Inc. *   922 
 42   Capital Senior Living Corp. *   527 
 4   Chemed Corp.   808 
 38   Ensign Group, Inc. (The)   858 
 12   LHC Group, Inc. *   851 
 11   National HealthCare Corp.   688 
         6,870 
     REAL ESTATE INVESTMENT TRUSTS - 90.8%     
 39   American Campus Communities, Inc.   1,722 
 21   American Tower Corp.   2,870 
 41   Apartment Investment & Management Co.   1,798 
 16   AvalonBay Communities, Inc.   2,855 
 53   Bluerock Residential Growth REIT, Inc.   586 
 18   Boston Properties, Inc.   2,212 
 63   CBL & Associates Properties, Inc.   529 
 23   Camden Property Trust   2,103 
 49   CareTrust REIT, Inc.   933 
 26   Columbia Property Trust, Inc.   566 
 15   CoreSite Realty Corp.   1,679 
 33   Crown Castle International Corp.   3,299 
 69   CubeSmart   1,791 
 31   CyrusOne, Inc.   1,827 
 15   DCT Industrial Trust, Inc.   869 
 26   Digital Realty Trust, Inc.   3,077 
 11   Douglas Emmett, Inc.   434 
 40   Duke Realty Corp.   1,153 
 37   Education Realty Trust, Inc.   1,330 
 26   Empire State Realty Trust, Inc.   534 
 8   Equinix, Inc.   3,571 
 45   Equity Residential   2,967 

 

 

 10   Essex Property Trust, Inc.   2,540 
 28   Extra Space Storage, Inc.   2,238 
 109   GGP, Inc.   2,264 
 31   Gramercy Property Trust   938 
 81   Independence Realty Trust, Inc.   824 
 90   Investors Real Estate Trust   550 
 6   JBG Smith Properties *   205 
 15   Kilroy Realty Corp.   1,067 
 21   LTC Properties, Inc.   987 
 17   Liverty Property Trust   698 
 21   Life Storage, Inc.   1,718 
 20   Macerich Co. (The)   1,099 
 16   Mack-Cali Realty Corp.   379 
 23   Mid-America Apartment Communities, Inc.   2,458 
 28   Monmouth Real Estate Investment Corp.   453 
 15   National Health Investors, Inc.   1,159 
 44   National Storage Affiliates Trust   1,067 
 80   New Senior Investment Group, Inc.   732 
 81   New York REIT, Inc.   636 
 32   NexPoint Residential Trust, Inc.   759 
 44   Omega Healthcare Investors, Inc.   1,404 
 99   Paramount Group, Inc.   1,584 
 41   Pennsylvania Real Estate Investment Trust   430 
 23   Preferred Apartment Communities, Inc.   434 
 40   Prologis, Inc.   2,539 
 15   Public Storage   3,210 
 26   QTS Realty Trust, Inc.   1,361 
 53   Quality Care Properties, Inc. *   822 
 22   SBA Communications Corp. *   3,169 
 42   Sabra Health Care REIT, Inc.   921 
 31   Senior Housing Properties Trust   606 
 13   Simon Property Group, Inc.   2,093 
 14   SL Green Realty Corp.   1,418 
 31   STAG Industrial, Inc.   852 
 19   Taubman Centers, Inc.   944 
 58   UDR, Inc.   2,206 
 22   Ventas, Inc.   1,433 
 12   Vornado Realty Trust   923 
 7   Washington Real Estate Investment Trust   229 
 30   Welltower, Inc.   2,108 
         90,162 
     TOTAL COMMON STOCKS (Cost - $100,436)   97,032 

 

 

     SHORT-TERM INVESTMENT - 2.1%     
     MONEY MARKET FUND - 2.1%     
 2,029   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a)(Cost - $2,029)   2,029 
           
     TOTAL INVESTMENTS - 99.8% (Cost - $102,465)(b)  $99,061 
     OTHER ASSETS LESS LIABILITIES - NET - 0.2%   200 
     TOTAL NET ASSETS - 100.0%  $99,261 

 

 REIT - Real Estate Investment Trust

 

* Non-income producting security.

 

(a) Money market rate shown represents the rate at September 30, 2017.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $102,465 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $5,390 
Unrealized Depreciation:   (8,794)
Net Unrealized Depreciation:  $(3,404)

 

 

Global Atlantic Motif Technological Innovations Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     COMMON STOCKS - 99.8%     
     AUTO MANUFACTURERS - 0.9%     
 33   Tesla, Inc. *  $1,134 
           
     COMMERCIAL SERVICES - 8.4%     
 8   Cimpress NV *   781 
 9   FleetCor Technologies, Inc. *   1,393 
 14   Global Payments, Inc.   1,330 
 15   Paylocity Holding Corp. *   732 
 32   PayPal Holdings, Inc. *   2,049 
 44   Square, Inc. *   1,268 
 20   Total System Services, Inc.   1,310 
 21   Vantiv, Inc. *   1,480 
 8   WEX, Inc. *   898 
         11,241 
     COMPUTERS - 3.7%     
 13   Check Point Software Technologies Ltd. *   1,482 
 26   Fortinet, Inc. *   932 
 41   Nutanix, Inc. *   918 
 30   Teradata Corp. *   1,014 
 34   VeriFone Systems, Inc. *   690 
         5,036 
     DIVERSIFIED FINANCIAL SERVICES - 6.7%     
 18   American Express Co.   1,628 
 8   Ellie Mae, Inc. *   657 
 22   Mastercard, Inc.   3,106 
 34   Visa, Inc.   3,578 
         8,969 
     ELECTRONICS - 0.7%     
 50   Gentex Corp.   990 
           
     INTERNET - 39.5%     
 23   Alibaba Group Holding Ltd. * (ADR)   3,972 
 4   Alphabet, Inc. *   3,895 
 4   Amazon.com, Inc. *   3,845 
 10   Baidu, Inc. * (ADR)   2,477 
 15   Criteo SA * (ADR)   622 
 30   Ctrip.com International Ltd. * (ADR)   1,582 

 

 

 43   eBay, Inc. *   1,654 
 10   Expedia, Inc.   1,439 
 9   F5 Networks, Inc. *   1,085 
 26   Facebook, Inc. *   4,443 
 49   FireEye, Inc. *   822 
 168   Groupon, Inc. *   874 
 51   JD.com, Inc. * (ADR)   1,948 
 43   Match Group, Inc. *   997 
 13   Netflix, Inc. *   2,358 
 9   Palo Alto Networks, Inc. *   1,297 
 1   Priceline Group, Inc. (The) *   1,831 
 10   Proofpoint, Inc. *   872 
 11   Shopify, Inc. *   1,281 
 98   Snap, Inc. *   1,425 
 5   Stamps.com, Inc. *   1,013 
 48   Symantec, Corp.   1,575 
 25   TripAdvisor, Inc. *   1,013 
 67   Twitter, Inc. *   1,130 
 93   Vipshop Holdings Ltd. * (ADR)   817 
 14   Wayfair, Inc. *   944 
 19   Weibo Corp. * (ADR)   1,880 
 11   Wix.com Ltd. *   790 
 38   Yandex NV *   1,252 
 20   Yelp, Inc. *   866 
 13   YY, Inc. * (ADR)   1,128 
 28   Zendesk, Inc. *   815 
 25   Zillow Group, Inc. *   1,004 
         52,946 
     REAL ESTATE INVESTMENT TRUSTS - 4.4%     
 8   CoreSite Realty Corp.   895 
 17   CyrusOne, Inc.   1,002 
 12   Digital Realty Trust, Inc.   1,420 
 4   Equinix, Inc.   1,785 
 15   QTS Realty Trust, Inc.   785 
         5,887 
     RETAIL - 1.3%     
 5   Copart, Inc. *   1,706 
           
     SEMICONDUCTORS - 2.8%     
 38   QUALCOMM, Inc.   1,970 
 15   Silicon Motion Technology Corp. (ADR)   720 
 10   Skyworks Solutions, Inc.   1,019 
         3,709 

 

 

     SOFTWARE - 28.8%     
 15   2U, Inc. *   841 
 32   ACI Worldwide, Inc. *   729 
 31   Activision Blizzard, Inc.   2,000 
 11   Adobe Systems, Inc. *   1,641 
 22   Akamai Technologies, Inc. *   1,072 
 7   athenahealth, Inc. *   871 
 18   Blackline, Inc. *   614 
 39   Box, Inc. *   753 
 15   Citrix Systems, Inc. *   1,152 
 13   CommVault Systems, Inc. *   790 
 19   Cornerstone OnDemand, Inc. *   772 
 20   Cotiviti Holdings, Inc. *   720 
 13   CyberArk Software, Ltd. *   533 
 15   Electronic Arts, Inc. *   1,771 
 75   First Data Corp. *   1,353 
 10   HubSpot, Inc. *   841 
 18   InterXion Holding NV *   917 
 11   Medidata Solutions, Inc. *   859 
 4   MicroStrategy, Inc. *   511 
 32   Momo, Inc. * (ADR)   1,003 
 4   NetEase, Inc. (ADR)   1,055 
 15   New Relic, Inc. *   747 
 12   Paycom Software, Inc. *   900 
 21   RealPage, Inc. *   838 
 24   salesforce.com, Inc. *   2,242 
 13   ServiceNow, Inc. *   1,528 
 18   Splunk, Inc. *   1,196 
 15   Tableau Software, Inc. *   1,123 
 14   Take-Two Interactive Software, Inc. *   1,431 
 25   Twilio, Inc. *   746 
 5   Ultimate Software Group, Inc. (The) *   948 
 17   Veeva Systems, Inc. *   959 
 18   Verint Systems, Inc. *   753 
 20   VMware, Inc. *   2,184 
 14   Workday, Inc. *   1,475 
 218   Zynga, Inc. *   824 
         38,692 
     TELECOMMNUNICATIONS - 2.6%     
 8   Arista Networks, Inc. *   1,517 
 9   LogMeIn, Inc.   991 
 12   Nice Ltd. (ADR) *   976 
         3,484 
           
     TOTAL COMMON STOCKS (Cost - $102,868)   133,794 

 

 

     SHORT-TERM INVESTMENT - 0.3%     
     MONEY MARKET FUND - 0.3%     
 475   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a)(Cost - $475)   475 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $103,343)(b)  $134,269 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (90)
     TOTAL NET ASSETS - 100.0%  $134,179 

 

ADR - American Depositary Receipt

 

* Non-income producing security.

 

(a) Money market rate shown represents the rate at September 30, 2017.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $103,343 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $32,913 
Unrealized Depreciation:   (1,987)
Net Unrealized Depreciation:  $30,926 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS
September 30, 2017 (Unaudited)

 

Shares            Value 
     EXCHANGE TRADED FUNDS - 30.1%           
     EQUITY FUNDS - 30.1%           
 53,674   iShares MSCI EAFE ETF        $3,675,595 
 14,616   SPDR S&P 500 ETF Trust         3,671,978 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $5,957,863)   7,347,573 
                 
Principal               
Amount      Coupon Rate (%)  Maturity     
     ASSET BACKED SECURITIES - 3.3%           
$15,959   ACE Securities Corp. Home Equity Loan Trust Series 2002-HE2 1 Month LIBOR + 1.275 (b)  2.51  8/25/2032   15,781 
 31,353   ACE Securities Corp. Home Equity Loan Trust Series 2006-OP1 1 Month LIBOR + 0.15 (b)  1.39  4/25/2036   30,748 
 250,000   Avery Point IV CLO Ltd. 3 Month LIBOR + 1.12 (a)(b)  2.42  1/18/2025   250,656 
 76,994   Bosphorus CLO II DAC 2A 3 Month Euribor + 0.70 (a)(b)  0.70  10/15/2025   91,055 
 31,780   Citigroup Mortgage Loan Trust 2007-AMC1 1 Month LIBOR + 0.16 (a)(b)  1.40  12/25/2036   20,930 
 18,071   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.13 (b)  1.37  12/25/2036   19,013 
 27,735   Countrywide Asset-Backed Certificates 1 Month LIBOR + 0.14 (b)  1.38  6/25/2047   21,769 
 13,862   CWABS Asset-Backed Certificates Trust 2006-17 1 Month LIBOR + 0.15 (b)  1.39  3/25/2047   12,781 
 36,442   FBR Securitization Trust 1 Month LIBOR + 0.68 (b)  1.92  10/25/2035   35,536 
 50,000   Ford Credit Floorplan Master Owner Trust A 1 Month LIBOR + 0.60 (b)  1.83  8/15/2020   50,187 
 369   Fremont Home Loan Trust 2005-E 1 Month LIBOR + 0.24 (b)  1.48  1/25/2036   369 
 25,505   GSAMP Trust 2006-HE4 1 Month LIBOR + 0.14 (b)  1.38  6/25/2036   24,726 
 9,353   Long Beach Mortgage Loan Trust 2004-2 1 Month LIBOR + 1.62 (b)  2.86  6/25/2034   9,036 
 32,231   Long Beach Mortgage Loan Trust 2005-3 1 Month LIBOR + 0.52 (b)  1.50  8/25/2045   29,546 
 33,454   Long Beach Mortgage Loan Trust 2006-7 1 Month LIBOR + 0.155 (b)  1.39  8/25/2036   19,693 
 18,722   RASC Series 2004-KS10 Trust 1 Month LIBOR + 1.725(b)  2.96  11/25/2034   18,412 
 72,817   SLC Student Loan Trust 2006-2 3 Month LIBOR + 0.10 (b)  1.42  9/15/2026   72,590 
 37,282   SLM Student Loan Trust 2005-3 3 Month LIBOR + 0.90 (b)  1.40  10/25/2024   37,254 
 17,932   Soundview Home Loan Trust 2007-WMC1 1 Month LIBOR + 0.11 (b)  1.35  2/25/2037   8,132 
 8,170   Structured Asset Investment Loan Trust 2004-7 1 Month LIBOR + 1.05 (b)  2.29  8/25/2034   7,883 
 24,633   Structured Asset Securities Corp. Mortgage Loan Trust 2006-BC2 1 Month LIBOR + 0.15 (b)  1.39  9/25/2036   22,181 
     TOTAL ASSET BACKED SECURUTIES (Cost - $773,360)      798,278 
                 
     CORPORATE BONDS - 10.4%           
     AEROSPACE/DEFENSE - 0.2%           
 50,000   Rockwell Collins, Inc.  3.50  3/15/2027   50,978 
                 
     AGRICULTURE - 0.1%           
 10,000   Reynolds American, Inc.  5.85  8/15/2045   12,236 
                 
     AIRLINES - 0.2%           
 46,488   Spirit Airlines Pass Through Trust 2015-1A  4.10  4/1/2028   48,813 
                 
     AUTO MANUFACTURERS - 0.9%           
 40,000   Ford Motor Credit Co. LLC  3.20  1/15/2021   40,805 
 20,000   General Motors Financial Co., Inc.  3.20  7/13/2020   20,482 
 50,000   General Motors Financial Co., Inc.  3.20  7/6/2021   50,879 
 100,000   Nissan Motor Acceptance Corp. 3 Month LIBOR + 0.89 (a)(b)  2.19  1/13/2022   100,489 
               212,655 

 

 

     BANKS - 4.4%           
 100,000   Bank of America Corp. 3 Month LIBOR + 1.09 (b)  3.09  10/1/2025   99,879 
 73,000   Bank of America Corp.  3.30  1/11/2023   74,785 
 25,000   Bank of America Corp.  4.00  4/1/2024   26,411 
 50,000   Bank of America Corp.  5.65  5/1/2018   51,142 
 100,000   Barclays Bank PLC 3 Month LIBOR + 0.46 (b)  1.78  316/18   100,095 
 50,000   Citigroup, Inc.  2.65  10/26/2020   50,514 
 50,000   Deutsche Bank AG 3 Month LIBOR + 1.91(b)  3.22  5/10/2019   51,066 
 200,000   Development Bank of Japan, Inc. (a)  1.63  9/1/2021   194,464 
 10,000   Goldman Sachs Group, Inc. (The)  3.75  5/22/2025   10,281 
 15,000   Goldman Sachs Group, Inc. (The)  6.00  6/15/2020   16,464 
 50,000   HSBC USA, Inc. 3 Month LIBOR + 0.77 (b)  2.08  8/7/2018   50,266 
 35,000   JPMorgan Chase & Co.  3.13  1/23/2025   35,256 
 25,000   JPMorgan Chase & Co.  3.88  2/1/2024   26,460 
 50,000   JPMorgan Chase & Co.  3.90  7/15/2025   52,644 
 26,000   Morgan Stanley  2.13  4/25/2018   26,074 
 200,000   UBS Group Funding Switzerland Ltd. (a)  2.65  2/1/2022   199,214 
               1,065,015 
     COMMERCIAL SERVICES - 0.1%           
 30,000   S&P Global, Inc.  2.50  8/15/2018   30,205 
                 
     COMPUTERS - 0.2%           
 50,000   Dell International LLC / EMC Corp. (a)  5.45  6/15/2023   54,720 
                 
     ELECTRIC - 0.1%           
 30,000   Duke Energy Corp.  3.05  8/15/2022   30,569 
                 
     ENVIRONMENTAL CONTROL - 0.1%           
 25,000   Republic Services, Inc.  3.55  6/1/2022   26,064 
                 
     MEDIA - 0.4%           
 100,000   Charter Communications Operating LLC / Charter Communications Operating Capital (a)  3.75  2/15/2028   97,855 
                 
     PHARMACEUTICALS - 1.0%           
 50,000   AbbVie, Inc.  2.85  5/14/2023   50,389 
 100,000   Shire Acquisitions Investments Ireland DAC  1.90  9/23/2019   99,802 
 100,000   Shire Acquisitions Investments Ireland DAC  2.40  9/23/2021   99,650 
               249,841 
     PIPELINES - 0.6%           
 23,000   Energy Transfer LP / Regency Energy Finance Corp.  4.50  11/1/2023   24,102 
 20,000   Kinder Morgan Finance Co. LLC (a)  6.00  1/15/2018   20,222 
 100,000   Sabine Pass Liquefaction LLC  5.75  5/15/2024   111,247 
               155,571 
     REGIONAL - 0.8%           
 200,000   Japan Finance Organization for Municipalities (a)  2.13  10/25/2023   194,154 
                 
     REAL ESTATE INVESTMENT TRUSTS - 0.7%           
 100,000   American Tower Corp.  2.25  1/15/2022   98,378 
 25,000   Digital Realty Trust LP  3.95  7/1/2022   26,360 
 30,000   Duke Realty LP  3.88  2/15/2021   31,285 
 10,000   Host Hotels & Resorts LP  4.00  6/15/2025   10,246 
               166,269 
     TELECOMMUNICATIONS - 0.6%           
 100,000   AT&T, Inc. 3 Month LIBOR + 0.65(b)  1.95  1/15/2020   100,480 
 30,000   AT&T, Inc.  2.80  2/17/2021   30,357 
               130,837 
                 
     TOTAL CORPORATE BONDS (Cost - $2,500,681)         2,525,782 
                 
     MUNICIPAL BOND - 0.1%           
 30,000   City of Chicago IL (Cost - $30,352)  7.75  1/1/2042   32,474 

 

 

     MORTGAGE BACKED SECURITIES - 23.7%           
     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 23.7%           
 300,000   Fannie Mae TBA +  3.00  5/25/2047   300,844 
 1,300,000   Fannie Mae TBA +  3.50  11/1/2046   1,335,547 
 3,000,000   Fannie Mae TBA +  3.50  12/25/2046   3,092,344 
 800,000   Fannie Mae TBA +  4.00  10/1/2044   842,312 
 200,000   Fannie Mae TBA +  4.50  12/25/2045   214,594 
     TOTAL MORTGAGE BACKED SECURITIES (Cost - $5,795,625)      5,785,641 
                 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 3.1%           
     AGENCY COLLATERAL - 1.5%           
 39,217   Government National Mortgage Association 1 Month LIBOR + 0.50 (b)  1.73  3/20/2065   39,182 
 86,948   Government National Mortgage Association 1 Month LIBOR + 0.60 (b)  1.83  5/20/2065   86,785 
 90,049   Government National Mortgage Association 1Month LIBOR + 0.62 (b)  1.85  8/20/2065   89,970 
 55,310   Government National Mortgage Association 1 Month LIBOR + 0.70(b)  1.93  10/20/2065   55,411 
 88,313   Government National Mortgage Association 1 Month LIBOR + 1.00 (b)  2.23  12/20/2065   89,976 
               361,324 
     WHOLE LOAN COLLATERAL - 1.6%           
 28,571   Alternative Loan Trust 2005-J12 1 Month LIBOR + 0.27 (b)  1.51  8/25/2035   17,827 
 20,558   Alternative Loan Trust 2006-OA9 1 Month LIBOR + 0.21 (b)  1.45  7/20/2046   15,613 
 35,215   American Home Mortgage Assets Trust 2006-2 1 Month LIBOR + 0.19 (b)  1.43  9/25/2046   30,138 
 16,950   Bear Stearns ALT-A Trust 2005-8 (b)  3.39  10/25/2035   16,217 
 15,733   Bear Stearns ARM Trust 2005-5 1 Year CMT + 2.05 (b)  3.28  8/25/2035   15,704 
 20,442   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-3 1 Month LIBOR + 0.25 (a,b)  1.49  8/25/2035   18,792 
 20,121   Chevy Chase Funding LLC Mortgage-Backed Certificates Series 2004-4 1 Month LIBOR + 0.46 (a,b)  1.79  10/25/2035   18,679 
 24,575   Credit Suisse First Boston Mortgage Securities Corp.  4.50  7/25/2020   24,518 
 38,875   Great Hall Mortgages No. 1 PLC 3 Month LIBOR + 0.13 (a,b)  1.45  6/18/2039   36,291 
 29,319   GreenPoint Mortgage Funding Trust 2006-AR2 12 Month Treasury Average + 2.00 (b)  2.89  3/25/2036   28,139 
 20,299   GSR Mortgage Loan Trust 2005-AR6 (b)  3.20  9/25/2035   20,625 
 14,450   Impac CMB Trust Series 2005-8 1 Month LIBOR + 0.70 (b)  1.94  2/25/2036   13,649 
 21,158   IndyMac INDX Mortgage Loan Trust 2006-AR4 1 Month LIBOR + 0.21 (b)  1.45  5/25/2046   20,215 
 4,565   JP Morgan Mortgage Trust 2006-S2  5.88  6/25/2021   4,480 
 5,713   Merrill Lynch Mortgage Investors Trust Series MLCC 2005-3 1 Month LIBOR + 0.25 (b)  1.49  11/25/2035   5,650 
 17,943   MortgageIT Trust 2005-4 1 Month LIBOR + 0.28 (b)  1.52  10/25/2035   17,052 
 21,604   RALI Series 2005-QR1 Trust  6.00  10/25/2034   22,442 
 15,527   Reperforming Loan REMIC Trust 2006-R1 1 Month LIBOR + 0.34 (a,b)  1.58  1/25/2036   14,230 
 9,748   Structured Adjustable Rate Mortgage Loan Trust (b)  3.44  9/25/2034   9,819 
 10,637   Structured Adjustable Rate Mortgage Loan Trust (b)  3.45  2/25/2034   10,754 
 19,164   Structured Adjustable Rate Mortgage Loan Trust 1 Month LIBOR + 0.30 (b)  1.54  10/25/2035   18,757 
 23,126   WaMu Mortgage Pass-Through Certificates Series 2007-HY4 Trust (b)  2.80  4/25/2037   20,594 
               400,185 
                 
     TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost - $751,374)   761,509 
                 
     COMMERCIAL MORTGAGE BACKED SECURITIES - 0.7%           
 120,661   Freddie Mac Multifamily Structured Pass Through Certificates 1 Month LIBOR + 0.70 (b)  1.94  9/25/2022   121,139 
 53,898   RFTI 2015-FL1 Issuer Ltd. 1 Month LIBOR + 1.75 (a,b)  2.98  8/15/2030   53,958 
     TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $174,384)   175,097 
                 
     U.S. TREASURY SECURITIES - 39.5%           
 100,000   United States Treasury Inflation Indexed Bond  2.38  1/15/2027   141,749 
 100,000   United States Treasury Inflation Indexed Bond  3.63  4/15/2028   197,882 
 200,000   United States Treasury Inflation Indexed Note  0.13  7/15/2022   213,684 
 100,000   United States Treasury Inflation Indexed Note  0.38  1/15/2027   100,007 
 200,000   United States Treasury Inflation Indexed Note  0.38  7/15/2027   198,006 
 150,000   United States Treasury Inflation Indexed Note  0.63  1/15/2026   156,451 
 100,000   United States Treasury Bond  2.88  11/15/2046   100,355 
 500,000   United States Treasury Bond  3.00  5/15/2045   514,844 
 120,000   United States Treasury Bond  3.00  5/15/2047   123,478 
 230,000   United States Treasury Bond  4.25  5/15/2039   287,725 
 350,000   United States Treasury Bond  4.38  11/15/2039   445,348 
 100,000   United States Treasury Bond  4.50  8/15/2039   129,293 
 700,000   United States Treasury Note  1.13  8/31/2021   682,281 
 300,000   United States Treasury Note  1.25  4/30/2019   299,133 
 400,000   United States Treasury Note  1.50  8/15/2026   374,547 
 100,000   United States Treasury Note  1.63  5/15/2026   94,852 
 1,200,000   United States Treasury Note  1.88  3/31/2022   1,199,625 
 500,000   United States Treasury Note  1.88  4/30/2022   499,551 
 100,000   United States Treasury Note  1.88  7/31/2022   99,781 
 100,000   United States Treasury Note  2.00  12/31/2021   100,621 
 500,000   United States Treasury Note  2.00  11/15/2026   487,246 
 350,000   United States Treasury Note  2.25  2/15/2027   347,881 
 2,100,000   United States Treasury Note  2.25  8/15/2027   2,085,726 
 500,000   United States Treasury Note  2.38  5/15/2027   502,070 
 200,000   United States Treasury Note  2.50  8/15/2023   205,156 
 100,000   United States Treasury Strip Principal  0.00  2/15/2043   47,917 
     TOTAL U.S. TREASURY SECURITIES (Cost - $9,686,730)         9,635,209 

 

 

Contracts      Counterparty  Notional Value    
     PURCHASED OPTIONS ON INDICES - 0.5%           
 22   S&P 500 Index, June 2018, Put @ $1,700  Morgan Stanley  3,740,000   14,410 
 22   S&P 500 Index, June 2018, Put @ $1,925  Morgan Stanley  4,235,000   32,120 
 22   S&P 500 Index, June 2018, Put @ $2,175  Morgan Stanley  4,785,000   74,910 
     TOTAL PURCHASED OPTIONS ON INDICES (Cost - $255,304)   121,440 
                 
     PURCHASED OPTIONS ON FUTURES - 0.0%           
 21   Euro Future, March 2018, Put @ $98.25  Morgan Stanley  5,158,125   1,181 
 1   US 5YR Future, December 2017, Put @ $105  Morgan Stanley  105,000   8 
 1   US 5YR Future, December 2017, Put @ $106.5  Morgan Stanley  106,500   8 
 1   US 5YR Future, December 2017, Put @ $108  Morgan Stanley  108,000   8 
 3   US 5YR Future, December 2017, Put @ $112  Morgan Stanley  336,000   23 
 3   US 5YR Future, January 2018, Put @ $108  Morgan Stanley  324,000   23 
 1   US 10YR Future, December 2017, Put @ $108  Morgan Stanley  108,000   8 
 4   US 10YR Future, December 2017, Put @ $107.5  Morgan Stanley  430,000   31 
 4   US 10YR Future, January 2018, Put @ $108  Morgan Stanley  432,000   31 
     TOTAL PURCHASED OPTIONS ON FUTURES (Cost - $2,049)   1,321 
                 
Shares               
     SHORT-TERM INVESTMENTS - 8.4%           
     MONEY MARKET FUND - 2.2%           
 543,972   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class to yield 0.87% (c)   543,972 
                 
Principal               
Amount      Coupon Rate (%)  Maturity     
     U.S. TREASURY BILLS - 6.2%           
$200,000   United States Treasury Bill  0.94  11/16/2017   199,759 
 300,000   United States Treasury Bill  0.98  11/30/2017   299,509 
 1,000,000   United States Treasury Bill  1.04  1/4/2018   997,262 
               1,496,530 
                 
     TOTAL SHORT-TERM INVESTMENTS (Cost - $2,040,502)   2,040,502 
                 
     TOTAL INVESTMENTS - 119.8% (Cost - $27,968,223)(d)  $29,224,826 
     OTHER ASSETS LESS LIABILITIES - NET - (19.8)%   (4,837,828)
     TOTAL NET ASSETS - 100.0%        $24,386,998 

 

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, 2017, these securities amounted to $1,365,709 or 5.6% of net assets.

 

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

 

(c) Money market rate shown represents the rate at September 30, 2017.

 

(d) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $28,044,010 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $1,496,320 
Unrealized Depreciation:   (315,504)
Net Unrealized Appreciation:  $1,180,816 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2017 (Unaudited)

 

SHORT FUTURES CONTRACTS

 

   Number of            Unrealized Appreciation/ 
Description  Contracts  Expiration Date  Counterparty  Notional Amount   (Depreciation) 
90 Day Euro Future  4  3/31/2018  Morgan Stanley  $984,100   $1,085 
90 Day Euro Future  2  6/30/2018  Morgan Stanley   491,500    1,063 
90 Day Euro Future  15  6/30/2019  Morgan Stanley   3,676,687    (11,378)
90 Day Euro Future  11  12/31/2019  Morgan Stanley   2,693,487    (9,466)
Euro-Bund Future  1  12/31/2017  Morgan Stanley   161,010    1,919 
Euro-Oat Future  2  12/31/2017  Morgan Stanley   310,280    1,749 
                  (15,028)
LONG FUTURES CONTRACTS                   
S&P 500 E-Mini Future  87  12/31/2017  Credit Suisse   10,944,600    194,941 
US 10 Year Future  9  12/31/2017  Morgan Stanley   1,127,812    (5,695)
US 5 Year Note (CBT)  14  12/31/2017  Morgan Stanley   1,645,000    (11,484)
                  177,762 
TOTAL NET UNREALIZED APPRECIATION OF FUTURES CONTRACTS   $162,734 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2017 (Unaudited)

 

INTEREST RATE FLOORS

 

                   Premiums   Unrealized 
      Buy/Sell to     Expiration  Notional   Paid/   Appreciation/ 
Counterparty  Index  Open  Exercise Rate  Date  Amount   (Received)   (Depreciation) 
Barclays Bank PLC  USD-ISDA FIX3-Swap  Sell  0.04  11/28/2017  $6,800,000   $   $3,536 
Barclays Bank PLC  USD-ISDA FIX3-Swap  Buy  0.15  11/28/2017   3,400,000        (3,038)
                         $498 

 

INTEREST RATE SWAPS

 

                   Unrealized 
      Pay/Receive     Expiration  Notional   Appreciation/ 
Counterparty  Floating Rate Index  Floating Rate  Fixed Rate  Date  Amount   (Depreciation) 
Goldman Sachs & Co.  3 Month USD - LIBOR  Receive  1.25%  6/15/2018  $300,000   $2,598 
Goldman Sachs & Co.  3 Month USD - LIBOR  Receive  1.25%  6/21/2021   300,000    (1,899)
Goldman Sachs & Co.  3 Month USD - LIBOR  Receive  1.50%  6/21/2027   800,000    6,304 
Goldman Sachs & Co.  3 Month GBP - LIBOR  Receive  1.50%  3/21/2028   300,000    11,447 
Goldman Sachs & Co.  3 Month USD - LIBOR  Receive  2.00%  12/16/2020   100,000    1,374 
Goldman Sachs & Co.  6 Month EUR - EURIBOR  Pay  2.05%  2/3/2037   200,000    (2,577)
Goldman Sachs & Co.  6 Month GBP - LIBOR  Receive  2.05%  2/1/2037   200,000    (1,638)
Goldman Sachs & Co.  3 Month USD - LIBOR  Receive  2.25%  12/21/2046   200,000    28,087 
Goldman Sachs & Co.  3 Month USD - LIBOR  Receive  2.50%  12/20/2027   2,600,000    54,987 
Goldman Sachs & Co.  3 Month USD - LIBOR  Receive  2.50%  6/15/2046   100,000    4,997 
                    $103,680 

 

CREDIT DEFAULT SWAPS

 

                   Premiums   Unrealized 
      Fixed Rate  Fixed Rate  Expiration  Notional   Paid/   Appreciation/ 
Counterparty  Index  Received  Paid  Date  Amount   (Received)   (Depreciation) 
Goldman Sachs & Co.  North American Investment Grade CDX Index  1.00%    6/20/2022  $5,100,000   $   $2,829 
Goldman Sachs & Co.  North American High Yield CDX Index  5.00%    6/20/2022   400,000        12,457 
                         $15,286 

 

INTEREST RATE SWAPTION WRITTEN

 

                Unrealized 
         Expiration  Notional   Appreciation/ 
Counterparty  Index  Exercise Rate  Date  Amount   (Depreciation) 
Barclays Bank PLC  Call - 30 Year USD Interest Rate Swap  2.52  10/25/2047  $200,000   $1,362 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Continued)
September 30, 2017 (Unaudited)

 

Schedule of Forward Foreign Currency Contracts

 

Settlement     Currency Units to             Unrealized Appreciation 
Date  Counterparty  Receive/Deliver     In Exchange For   U.S. $ Value   (Depreciation) 
To Buy:                         
10/3/2017  Barclays Bank PLC  $95,000  EUR  $113,088   $112,328   $(760)
10/3/2017  Barclays Bank PLC   11,000  GBP   14,915    14,760    (155)
11/15/2017  Barclays Bank PLC   30,500,000  JPY   279,326    271,546    (7,780)
                        (8,695)
                          
To Sell:                         
10/3/2017  Barclays Bank PLC  $9,000  GBP  $11,855   $12,076   $(221)
11/15/2017  Barclays Bank PLC   6,000,000  JPY   53,626    53,419    207 
11/15/2017  Barclays Bank PLC   8,300,000  JPY   73,740    73,896    (156)
12/4/2017  Barclays Bank PLC   316,330,200  KRW   279,946    276,416    3,530 
12/15/2017  Barclays Bank PLC   27,000  MXN   1,474    1,468    6 
                        3,366 
                          
Net unrealized depreciation on forward foreign currency contracts   $(5,329)

 

 

Global Atlantic Select Advisor Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 17.1%     
     DEBT FUNDS - 4.7%     
 52,738   iShares 1-3 Year Credit Bond ETF  $5,555,948 
           
     EQUITY FUNDS - 12.4%     
 40,324   iShares Core MSCI Emerging Markets ETF   2,178,302 
 82,395   iShares MSCI EAFE Value ETF   4,498,767 
 35,562   iShares Russell 1000 Growth ETF   4,447,384 
 23,265   iShares Russell 2000 ETF   3,447,408 
         14,571,861 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $18,393,926)   20,127,809 
           
     VARIABLE INSURANCE TRUSTS - 78.1%     
     DEBT FUND - 19.0%     
 1,691,136   MFS Research Bond Series - Initial Class   22,221,530 
           
     EQUITY FUNDS - 59.1%     
 154,791   American Century VP Mid Cap Value - Investor Class   3,369,804 
 1,047,061   American Century VP Value Fund - Class I   11,287,319 
 141,325   Invesco VI International Growth Fund - Class I   5,466,452 
 315,129   MFS Growth Series - Initial Class   14,464,423 
 88,458   MFS VIT II Blended Research Core Equity Portfolio - Initial Class   4,491,919 
 460,344   MFS VIT II International Value Portfolio - Initial Class   12,263,557 
 372,712   MFS VIT Mid Cap Growth Series - Initial Class   3,369,312 
 580,758   Putnam VT Equity Income - Class IA   14,693,190 
         69,405,976 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $82,081,117)   91,627,506 
           
     SHORT-TERM INVESTMENT - 4.8%     
     MONEY MARKET FUND - 4.8%     
 5,666,802   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class to yield 0.91% (a)(Cost - $5,666,802)   5,666,802 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $106,141,844)(b)  $117,422,117 
     OTHER ASSETS LESS LIABILITIES -NET - (0.0)% *   (19,810)
     TOTAL NET ASSETS - 100.0%  $117,402,307 

 

* Represents less than 0.05%.

 

(a) Money market rate shown represents the rate at September 30, 2017.

 

(b) Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $106,661,695 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $11,099,299 
Unrealized Depreciation:   (338,877)
Net Unrealized Appreciation:  $10,760,422 

 

 

Global Atlantic Wellington Research Managed Risk Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     COMMON STOCKS - 62.0%     
     AEROSPACE/DEFENSE - 2.1%     
 13,394   Boeing Co. (The)  $3,404,889 
 10,111   General Dynamics Corp.   2,078,619 
 10,282   Lockheed Martin Corp.   3,190,402 
 3,800   Northrop Grumman Corp.   1,093,336 
         9,767,246 
     AGRICULTURE - 1.1%     
 47,325   Altria Group, Inc.   3,001,351 
 34,641   British American Tobacco PLC - ADR   2,163,330 
         5,164,681 
     AIRLINES - 0.2%     
 23,991   Spirit Airlines, Inc. *   801,539 
           
     APPAREL - 0.4%     
 39,980   NIKE, Inc.   2,072,963 
           
     AUTO MANUFACTURERS - 0.3%     
 4,128   PACCAR, Inc.   298,620 
 3,466   Tesla, Inc. *   1,182,253 
         1,480,873 
     BANKS - 4.1%     
 298,070   Bank of America Corp.   7,553,094 
 26,124   Capital One Financial Corp.   2,211,658 
 47,530   Citigroup, Inc.   3,457,332 
 2,169   Goldman Sachs Group, Inc. (The)   514,465 
 109,030   Huntington Bancshares, Inc.   1,522,059 
 4,179   Northern Trust Corp.   384,175 
 26,752   PNC Financial Services Group, Inc. (The)   3,605,367 
         19,248,150 
     BEVERAGES - 2.0%     
 7,609   Anheuser-Busch InBev SA/NV - ADR   907,754 
 10,741   Constellation Brands, Inc.   2,142,292 
 46,479   Monster Beverage Corp. *   2,567,965 
 33,217   PepsiCo, Inc.   3,701,370 
         9,319,381 
     BIOTECHNOLOGY - 0.8%     
 13,602   Aduro Biotech, Inc. *   144,861 
 12,513   Alder Biopharmaceuticals, Inc. *   153,284 
 1,621   Alnylam Pharmaceuticals, Inc. *   190,451 
 284   Biogen, Inc. *   88,926 
 7,396   Biohaven Pharmaceutical Holding Co. Ltd. *   276,462 
 1,533   BlueBird Bio, Inc. *   210,558 
 8,905   Celgene Corp. *   1,298,527 
 6,851   Dermira, Inc. *   184,977 
 13,000   GlycoMimetics, Inc. *   181,870 
 2,934   Incyte Corp. *   342,515 
 13,563   Karyopharm Therapeutics, Inc. *   148,922 
 3,500   Loxo Oncology, Inc. *   322,420 
 10,854   Otonomy, Inc. *   35,275 
 484   Regeneron Pharmaceuticals, Inc. *   216,406 
 10,622   Syndax Pharmaceuticals, Inc. *   124,277 
         3,919,731 
     BUILDING MATERIALS - 0.2%     
 2,406   CRH PLC - ADR   91,091 
 2,526   Martin Marietta Materials, Inc.   520,937 
 3,544   Vulcan Materials Co.   423,862 
         1,035,890 

 

 

     CHEMICALS - 1.4%     
 8,312   Cabot Corp.   463,810 
 10,302   Celanese Corp.   1,074,190 
 28,598   DowDuPont, Inc.   1,979,840 
 3,760   Monsanto Co.   450,523 
 14,872   PPG Industries, Inc.   1,615,992 
 3,347   Praxair, Inc.   467,710 
 4,613   Westlake Chemical Corp.   383,294 
         6,435,359 
     COMMERCIAL SERVICES - 1.6%     
 4,217   Equifax, Inc.   446,960 
 6,423   FleetCor Technologies, Inc. *   994,088 
 23,400   Global Payments, Inc.   2,223,702 
 11,847   IHS Markit Ltd. *   522,216 
 22,796   PayPal Holdings, Inc. *   1,459,628 
 4,274   Total System Services, Inc.   279,947 
 18,419   TransUnion *   870,482 
 7,671   WEX, Inc. *   860,840 
         7,657,863 
     COMPUTERS - 2.5%     
 3,940   Accenture PLC - Cl. A   532,176 
 57,445   Apple, Inc.   8,853,423 
 4,540   Cognizant Technology Solutions Corp. - Cl. A   329,332 
 24,603   Genpact Ltd.   707,336 
 25,869   NetApp, Inc.   1,132,027 
         11,554,294 
     COSMETICS/PERSONAL CARE - 0.5%     
 132,030   Coty, Inc.   2,182,456 
           
     DIVERSIFIED FINANCIAL SERVICES - 2.1%     
 3,242   Alliance Data Systems Corp.   718,265 
 26,062   American Express Co.   2,357,569 
 8,293   Financial Engines, Inc.   288,182 
 15,201   Intercontinental Exchange, Inc.   1,044,309 
 4,651   Legg Mason, Inc.   182,831 
 19,605   TD Ameritrade Holding Corp.   956,724 
 37,438   Visa, Inc. - Cl. A   3,939,975 
 16,354   WisdomTree Investments, Inc.   166,484 
         9,654,339 
     ELECTRIC - 2.3%     
 31,409   Avangrid, Inc.   1,489,415 
 23,217   Edison International   1,791,656 
 3,945   Eversource Energy   238,436 
 26,302   Exelon Corp.   990,796 
 20,863   NextEra Energy, Inc.   3,057,473 
 30,196   NRG Energy, Inc.   772,716 
 32,457   PG&E Corp.   2,209,997 
         10,550,489 
     ELECTRICAL COMPONENTS & EQUIPMENT - 0.4%     
 30,599   AMETEK, Inc.   2,020,758 
           
     ELECTRONICS - 0.6%     
 26,645   Flex Ltd. *   441,508 
 31,446   Fortive Corp.   2,226,062 
         2,667,570 
     ENTERTAINMENT - 0.0% **     
 5,663   Cinemark Holdings, Inc.   205,057 

 

 

     FOOD - 1.6%     
 16,830   Blue Buffalo Pet Products, Inc. *   477,130 
 17,370   Campbell Soup Co.   813,263 
 9,343   Fresh Del Monte Produce, Inc.   424,733 
 128,843   Hostess Brands, Inc. *   1,759,995 
 28,135   Post Holdings, Inc. *   2,483,476 
 52,890   Simply Good Foods Co. (The) *   619,342 
 14,150   Sysco Corp.   763,392 
         7,341,331 
     FOREST PRODUCTS & PAPER - 0.3%     
 25,739   International Paper Co.   1,462,490 
           
     GAS - 0.5%     
 14,214   Sempra Energy   1,622,244 
 13,320   UGI Corp.   624,175 
         2,246,419 
     HEALTHCARE-PRODUCTS - 2.7%     
 25,365   Abbott Laboratories   1,353,476 
 18,052   Baxter International, Inc.   1,132,763 
 6,888   Becton Dickinson and Co.   1,349,704 
 81,498   Boston Scientific Corp. *   2,377,297 
 12,290   ConforMIS, Inc. *   43,261 
 47,379   Medtronic PLC   3,684,665 
 10,465   Stryker Corp.   1,486,239 
 7,432   Thermo Fisher Scientific, Inc.   1,406,134 
         12,833,539 
     HEALTHCARE-SERVICES - 1.6%     
 19,348   Brookdale Senior Living, Inc. *   205,089 
 9,630   Cigna Corp.   1,800,232 
 11,542   HCA Healthcare, Inc. *   918,628 
 22,742   UnitedHealth Group, Inc.   4,454,021 
         7,377,970 
     HOME BUILDERS - 0.0% **     
 2,500   Installed Building Products, Inc. *   162,000 
           
     INSURANCE - 2.9%     
 10,710   Allstate Corp. (The)   984,356 
 42,862   American International Group, Inc.   2,631,298 
 45,909   Assured Guaranty Ltd.   1,733,065 
 10,842   Athene Holding Ltd. *   583,733 
 20,819   Hartford Financial Services Group, Inc. (The)   1,153,997 
 31,765   Marsh & McLennan Cos., Inc.   2,662,225 
 32,257   MetLife, Inc.   1,675,751 
 7,287   Prudential Financial, Inc.   774,754 
 38,698   XL Group Ltd.   1,526,636 
         13,725,815 
     INTERNET - 5.5%     
 6,674   Alphabet, Inc. - Cl. A *   6,498,607 
 4,098   Amazon.com, Inc. *   3,939,612 
 11,963   Blucora, Inc. *   302,664 
 72,221   eBay, Inc. *   2,777,620 
 11,081   Expedia, Inc.   1,594,999 
 44,435   Facebook, Inc. - Cl. A *   7,592,608 
 7,365   Netflix, Inc. *   1,335,643 
 27,135   Wayfair, Inc. *   1,828,899 
         25,870,652 
     IRON/STEEL - 0.1%     
 6,915   Steel Dynamics, Inc.   238,360 

 

 

     LODGING - 0.3%     
 10,858   Hilton Worldwide Holdings, Inc.   754,089 
 4,203   Wynn Resorts Ltd.   625,911 
         1,380,000 
     MACHINERY-CONTRUCTION & MINING - 0.1%     
 2,474   Caterpillar, Inc.   308,533 
           
     MACHINERY-DIVERSIFIED - 0.2%     
 4,559   AGCO Corp.   336,317 
 5,558   Deere & Co.   698,029 
         1,034,346 
     MEDIA - 2.0%     
 7,508   Charter Communications, Inc. *   2,728,557 
 101,346   Comcast Corp.   3,899,794 
 1,800   FactSet Research Systems, Inc.   324,198 
 13,708   Liberty Media Corp-Liberty Formula One *   522,138 
 12,435   New York Times Co. (The)   243,726 
 839   Scripps Networks Interactive, Inc.   72,062 
 25,555   Twenty-First Century Fox, Inc.   674,141 
 39,983   Viacom, Inc.   1,113,127 
         9,577,743 
     MINING - 0.1%     
 5,427   Alcoa Corp. *   253,007 
           
     MISCELLANEOUS MANUFACTURING - 2.1%     
 27,088   Eaton Corp. PLC   2,080,088 
 121,590   General Electric Co.   2,940,046 
 15,590   Illinois Tool Works, Inc.   2,306,696 
 33,682   Pentair PLC   2,289,029 
         9,615,859 
     OIL & GAS - 2.8%     
 7,404   Andeavor   763,723 
 20,774   Antero Resources Corp. *   413,403 
 17,201   BP PLC - ADR   661,034 
 18,400   Chevron Corp.   2,162,000 
 11,136   Diamondback Energy, Inc. *   1,090,883 
 55,356   Extraction Oil & Gas, Inc. *   851,929 
 3,390   Exxon Mobil Corp.   277,912 
 12,624   Marathon Petroleum Corp.   707,954 
 91,754   Newfield Exploration Co. *   2,722,341 
 25,481   Parsley Energy, Inc. *   671,170 
 8,951   PDC Energy, Inc. *   438,868 
 2,123   Pioneer Natural Resources Co.   313,227 
 84,553   QEP Resources, Inc. *   724,619 
 5,986   RSP Permian, Inc. *   207,056 
 19,714   Suncor Energy, Inc.   690,581 
 28,887   WPX Energy, Inc. *   332,200 
         13,028,900 
     OIL & GAS SERVICES - 0.1%     
 19,416   Helix Energy Solutions Group, Inc. *   143,484 
 19,850   Tesco Corp. *   108,182 
         251,666 
     PACKAGING & CONTAINERS - 0.5%     
 19,300   Ardagh Group SA   413,213 
 38,623   Ball Corp.   1,595,130 
 10,524   Owens-Illinois, Inc. *   264,784 
         2,273,127 

 

 

     PHARMACEUTICALS - 3.7%     
 4,933   Aerie Pharmaceuticals, Inc. *   239,744 
 11,642   Allergan PLC   2,386,028 
 35,739   AstraZeneca PLC - ADR   1,210,837 
 56,708   Bristol-Myers Squibb Co.   3,614,568 
 3,100   Calithera Biosciences, Inc. *   48,825 
 20,661   Cardinal Health, Inc.   1,382,634 
 14,304   Coherus Biosciences, Inc. *   190,958 
 27,375   Eli Lilly & Co.   2,341,658 
 7,228   Herbalife Ltd. *   490,275 
 14,966   Ironwood Pharmaceuticals, Inc. - Cl. A *   236,014 
 1,400   Jounce Therapeutics, Inc. *   21,812 
 8,357   Kala Pharmaceuticals, Inc. *   190,874 
 14,321   McKesson Corp.   2,199,849 
 36,952   Mylan NV *   1,159,184 
 7,080   MyoKardia, Inc. *   303,378 
 9,281   Ra Pharmaceuticals, Inc. *   135,503 
 7,831   Revance Therapeutics, Inc. *   215,744 
 2,580   TESARO, Inc. *   333,078 
 38,165   Teva Pharmaceutical Industries Ltd. - ADR   671,704 
 15,851   Trevena, Inc. *   40,420 
         17,413,087 
     PIPELINES - 0.5%     
 77,380   Kinder Morgan, Inc.   1,484,148 
 7,371   ONEOK, Inc.   408,427 
 12,060   TransCanada Corp.   596,126 
         2,488,701 
     REAL ESTATE INVESTMENT TRUSTS - 2.1%     
 10,559   Alexandria Real Estate Equities, Inc.   1,256,204 
 22,126   American Tower Corp.   3,024,182 
 20,422   Apartment Investment & Management Co.   895,709 
 2,438   Equinix, Inc.   1,088,079 
 46,909   Invitation Homes, Inc.   1,062,489 
 10,956   Outfront Media, Inc.   275,872 
 16,559   Prologis, Inc.   1,050,834 
 6,303   Simon Property Group, Inc.   1,014,846 
         9,668,215 
     RETAIL - 1.8%     
 10,101   Advance Auto Parts, Inc.   1,002,019 
 11,493   Coach, Inc.   462,938 
 9,892   Costco Wholesale Corp.   1,625,157 
 5,688   L Brands, Inc.   236,678 
 17,689   McDonald’s Corp.   2,771,513 
 4,735   O’Reilly Automotive, Inc. *   1,019,777 
 8,207   TJX Cos., Inc. (The)   605,102 
 1,985   Ulta Beauty, Inc. *   448,729 
 2,016   Wingstop, Inc.   67,032 
         8,238,945 
     SEMICONDUCTORS - 3.0%     
 96,496   Advanced Micro Devices, Inc. *   1,230,324 
 12,600   Applied Materials, Inc.   656,334 
 2,065   Broadcom Ltd.   500,845 
 5,000   KLA-Tencor Corp.   530,000 
 20,812   Microchip Technology, Inc.   1,868,501 
 67,263   Micron Technology, Inc. *   2,645,454 
 12,553   NVIDIA Corp.   2,244,100 
 44,840   QUALCOMM, Inc.   2,324,506 
 21,700   Texas Instruments, Inc.   1,945,188 
         13,945,252 

 

 

     SOFTWARE - 2.5%     
 7,383   Adobe Systems, Inc. *   1,101,396 
 14,710   Atlassian Corp PLC *   517,057 
 5,855   Autodesk, Inc. *   657,282 
 1,200   Dun & Bradstreet Corp. (The)   139,692 
 6,126   Guidewire Software, Inc. *   476,970 
 7,560   HubSpot, Inc. *   635,418 
 51,168   Microsoft Corp.   3,811,504 
 13,019   Salesforce.com, Inc. *   1,216,235 
 12,000   ServiceNow, Inc. *   1,410,360 
 3,587   Splunk, Inc. *   238,284 
 8,616   SS&C Technologies Holdings, Inc.   345,932 
 10,292   Workday, Inc. *   1,084,674 
         11,634,804 
     TELECOMMUNICATIONS - 1.4%     
 9,712   Arista Networks, Inc. *   1,841,492 
 94,808   Verizon Communications, Inc.   4,692,048 
         6,533,540 
     TEXTILES - 0.3%     
 5,502   Mohawk Industries, Inc. *   1,361,800 
           
     TRANSPORTATION - 0.7%     
 5,090   FedEx Corp.   1,148,202 
 3,267   JB Hunt Transport Services, Inc.   362,898 
 2,887   Kirby Corp. *   190,398 
 10,920   Knight-Swift Transportation Holdings, Inc.   453,726 
 5,693   Norfolk Southern Corp.   752,842 
 5,925   Schneider National, Inc.   149,903 
         3,057,969 
           
     TOTAL COMMON STOCKS (Cost - $236,576,897)   289,062,709 
           
     PREFERRED STOCK - 0.0% **     
 3,000   Verizon Communications, Inc. * (Cost - $75,000)   81,570 
           
     EXCHANGE TRADED FUND - 0.3%     
     EQUITY FUND - 0.3%     
 6,251   SPDR S&P 500 ETF Trust (Cost - $1,147,001)   1,570,439 

 

Principal Amount      Coupon Rate (%)  Maturity    
     ASSET BACKED SECURITIES - 3.9%           
$100,000   Ally Master Owner Trust  1.600  10/15/2019   100,003 
 4,122   AmeriCredit Automobile Receivables Trust 2014-1  1.680  7/8/2019   4,122 
 120,000   AmeriCredit Automobile Receivables Trust 2014-1  2.150  3/9/2020   120,198 
 60,061   AmeriCredit Automobile Receivables Trust 2014-2  1.600  7/8/2019   60,065 
 78,917   AmeriCredit Automobile Receivables Trust 2017-1  1.510  5/18/2020   78,880 
 110,000   AmeriCredit Automobile Receivables Trust 2017-2  1.650  9/18/2020   109,980 
 250,000   Apidos CLO XXI 3 Month LIBOR + 1.43 (a) ^  2.597  7/18/2027   252,084 
 350,000   Apidos CLO XXII 3 Month LIBOR + 2.05 (a) ^  3.357  10/20/2027   351,845 
 100,000   ARI Fleet Lease Trust 2017-A (a)  1.910  4/15/2026   100,030 
 345,000   Atlas Senior Loan Fund Ltd 3 Month LIBOR + 1.30 (a) ^  2.607  1/16/2030   345,377 
 300,000   Atrium XII 3 Month LIBOR + 2.25(a) ^  3.562  10/22/2026   300,566 
 320,000   Avery Point IV CLO Ltd 3 Month LIBOR + 1.60 (a) ^  2.756  4/25/2026   320,729 
 285,053   Babson CLO Ltd 2013-I 3 Month LIBOR + 1.10 (a) ^  2.407  4/20/2025   285,651 
 270,000   Babson CLO Ltd 2015-I 3 Month LIBOR + 1.43 (a) ^  2.737  4/20/2027   270,442 
 300,000   Ballyrock CLO 2016-1 Ltd 3 Month LIBOR + 1.59 (a) ^  2.894  10/15/2028   303,457 
 295,000   Bayview Koitere Fund Trust 2017-RT4 (a) ^  3.500  7/28/2057   302,698 
 180,778   Bayview Opportunity Master Fund IVa Trust 2017-SPL1 (a) ^  4.000  10/28/2064   186,448 
 138,207   Bayview Opportunity Master Fund IVb Trust 2017-SPL3 (a) ^  4.000  11/28/2053   141,689 
 144,528   Bayview Opportunity Master Fund IVb Trust 2017-SPL4 (a) ^  3.500  1/25/2055   145,071 
 194,856   Bayview Opportunity Master Fund IVa Trust 2017-SPL5 (a) ^  3.500  6/28/2057   193,302 
 325,000   BlueMountain CLO 2015-3 Ltd 3 Month LIBOR + 1.48 (a) ^  2.787  10/20/2027   325,647 
 54,989   Capital Auto Receivables Asset Trust 2015-3  1.720  1/22/2019   55,000 
 385,000   CARDS II Trust 1 Month LIBOR + 0.70 (a) ^  1.934  7/15/2021   386,490 
 495,000   Carlyle Global Market Strategies CLO 2014-5 Ltd (a) ^  2.444  10/16/2025   496,653 
 225,000   CarMax Auto Owner Trust 2013-4  1.710  7/15/2019   225,066 
 100,000   CarMax Auto Owner Trust 2013-4  1.950  9/16/2019   100,123 
 250,000   Cent CLO 20 Ltd 3 Month LIBOR + 1.10 (a) ^  2.414  1/25/2026   250,987 
 250,000   Cent CLO 21 Ltd 3 Month LIBOR + 1.21 (a) ^  2.380  7/27/2026   250,845 

 

 

 364,039   Chesapeake Funding II LLC 1 Month LIBOR 1.00 (a) ^  2.234  6/15/2028   366,146 
 255,000   Chesapeake Funding II LLC 1 Month LIBOR + 0.45 (a) ^  2.035  7/15/2029   255,620 
 245,000   Chesapeake Funding II LLC (a)  1.910  8/15/2029   244,515 
 14,707   Chrysler Capital Auto Receivables Trust 2013-A (a)  1.830  3/15/2019   14,708 
 32,923   Chrysler Capital Auto Receivables Trust 2013-B (a)  1.780  6/17/2019   32,925 
 223,002   Chrysler Capital Auto Receivables Trust 2014-B (a)  1.760  12/16/2019   223,133 
 90,000   Chrysler Capital Auto Receivables Trust 2015-A (a)  1.550  2/18/2020   89,995 
 360,000   CIFC Funding 2014 Ltd 3 Month LIBOR + 1.60 (a) ^  2.904  4/18/2025   360,540 
 350,000   CIFC Funding 2014-II Ltd 3 Month LIBOR + 1.20 (a) ^  2.517  5/24/2026   351,747 
 185,000   CNH Equipment Trust 2013-D  1.750  4/15/2021   185,036 
 204,196   CNH Equipment Trust 2015-C  1.660  11/16/2020   204,267 
 405,000   CSMC 17-LSTK A  2.761  4/5/2033   406,912 
 73,125   DB Master Finance LLC 2015-1 (a)  3.262  2/20/2045   73,227 
 45,841   Drive Auto Receivables Trust 2017-A (a)  1.480  3/15/2019   45,835 
 265,000   Dryden 41 Senior Loan Fund 3 Month LIBOR + 2.15 (a) ^  3.454  1/15/2028   265,475 
 160,000   Enterprise Fleet Financing LLC (a)  1.970  1/20/2023   160,050 
 450,000   Evergreen Credit Card Trust Series 2016-1 1 Month LIBOR + 0.72 (a) ^  1.954  4/15/2020   451,354 
 1,350   Exeter Automobile Receivables Trust 2015-2 (a)  1.540  11/15/2019   1,350 
 113,916   First Investors Auto Owner Trust 2014-1 (a)  2.260  1/15/2020   114,013 
 26,166   First Investors Auto Owner Trust 2014-3 (a)  1.670  11/16/2020   26,151 
 55,000   First Investors Auto Owner Trust 2014-3 (a)  2.390  11/16/2020   54,897 
 64,906   First Investors Auto Owner Trust 2017-1 (a)  1.690  4/15/2021   64,823 
 82,621   First Investors Auto Owner Trust 2017-2 (a)  1.860  10/15/2021   88,332 
 100,000   Ford Credit Auto Owner Trust 2014-A  1.900  9/15/2019   100,114 
 145,000   Ford Credit Floorplan Master Owner Trust A  1.770  8/15/2020   145,114 
 100,000   Ford Credit Floorplan Master Owner Trust A  2.310  2/15/2021   100,336 
 280,000   Ford Credit Floorplan Master Owner Trust A  1.750  7/15/2021   277,770 
 100,000   Ford Credit Floorplan Master Owner Trust A (a)  2.090  3/15/2022   100,079 
 275,000   Galaxy XIX CLO Ltd 3 Month LIBOR + 1.22 (a) ^  2.537  7/24/2030   274,854 
 175,000   GreatAmerica Leasing Receivables Funding LLC Series 2017-1 (a)  2.360  1/20/2023   174,987 
 300,000   Highbridge Loan Management 6-2015 Ltd 3 Month LIBOR + 1.45 (a) ^  2.632  5/5/2027   300,047 
 167,000   Hyundai Auto Receivables Trust 2014-B  2.100  11/15/2019   167,075 
 300,000   Madison Park Funding XI Ltd 3 Month LIBOR + 1.16 (a) ^  2.473  7/23/2029   300,525 
 250,000   Madison Park Funding XV Ltd 3 Month LIBOR + 1.50 (a) ^  2.670  1/27/2026   250,393 
 255,000   Mercedes-Benz Master Owner Trust 2017-A 1 Month LIBOR + 0.30 (a) ^  1.534  5/17/2021   255,064 
 99,684   MMAF Equipment Finance LLC 2016-A (a)  1.390  12/17/2018   99,649 
 140,000   MMAF Equipment Finance LLC 2016-A (a)  2.210  12/15/2032   138,943 
 140,000   MMAF Equipment Finance LLC 2017-A (a)  1.730  5/18/2020   139,931 
 89,001   Nationstar HECM Loan Trust 2017-1 (a)  2.197  5/25/2027   89,020 
 100,000   Nationstar HECM Loan Trust 2017-2 (a) ^  2.038  9/25/2027   100,000 
 51,595   NYCTL 2016-A Trust (a)  1.470  11/10/2029   51,253 
 300,000   Octagon Investment Partners XVI Ltd 3 Month LIBOR + 1.12 (a) ^  2.424  7/17/2025   300,481 
 100,000   OneMain Financial Issuance Trust 2016-1 (a)  3.660  2/20/2029   102,386 
 170,000   OneMain Financial Issuance Trusts 2016-2 (a)  4.100  3/20/2028   172,931 
 100,000   OneMain Financial Issuance Trust 2017-1 (a)  2.370  9/14/2023   99,558 
 77,949   Prestige Auto Receivables Trust 2014-1 (a)  1.910  4/15/2020   77,980 
 36,569   Santander Drive Auto Receivables Trust 2013-2  2.570  3/15/2019   36,607 
 72,648   Santander Drive Auto Receivables Trust 2013-5  2.250  6/17/2019   72,698 
 27,237   Santander Drive Auto Receivables Trust 2014-1  2.360  4/15/2020   27,273 
 7,652   Santander Drive Auto Receivables Trust 2015-1  1.970  11/15/2019   7,653 
 275,000   Securitized Term Auto Receivables Trust 2016-1 (a)  1.524  3/25/2020   273,574 
 105,000   Securitized Term Auto Receivables Trust 2017-2 (a)  2.040  4/26/2021   105,000 
 325,000   Shackleton 2015-VIII CLO Ltd 3 Month LIBOR + 1.51 (a) ^  2.817  10/20/2027   325,183 
 325,000   Sound Point Clo XII Ltd 3 Month LIBOR + 1.66 (a) ^  2.967  10/20/2028   326,580 
 165,000   Springleaf Funding Trust 2015-A (a)  3.160  11/15/2024   166,141 
 305,000   SPS Servicer Advance Receivables Trust Advance Receivables Backed Notes 2016-T1 (a)  2.530  11/16/2048   303,335 
 159,370   Towd Point Mortgage Trust 2016-3 (a) ^  2.250  8/25/2055   158,123 
 260,345   Towd Point Mortgage Trust 2017-1 (a) ^  2.750  10/25/2056   258,872 
 92,670   Towd Point Mortgage Trust 2017-2 (a) ^  2.750  4/25/2057   92,636 
 249,281   Towd Point Mortgage Trust 2017-4 (a) ^  2.750  6/25/2057   250,059 
 620,000   Trillium Credit Card Trust II 1 Month LIBOR + 0.72 (a) ^  1.959  5/26/2021   621,983 
 253,322   United Auto Credit Securitization Trust 2017-1 (a)  1.890  5/10/2019   253,209 
 290,000   United Auto Credit Securitization Trust 2017-1 (a)  2.400  11/12/2019   289,602 
 105,000   Volvo Financial Equipment LLC Series 2017-1 (a)  1.920  3/15/2021   104,903 
 300,000   Webster Park CLO Ltd (a) ^  3.557  1/20/2027   300,614 
 54,511   Westlake Automobile Receivables Trust 2016-2 (a)  1.570  6/17/2019   54,502 
 200,000   Westlake Automobile Receivables Trust 2017-1 (a)  1.830  4/15/2020   200,141 
 200,000   Wheels SPV 2 LLC (a)  1.880  4/20/2026   199,816 
     TOTAL ASSET BACKED SECURITIES (Cost - $18,355,208)         18,391,493 

 

 

     CORPORATE BONDS - 11.9%           
     ADVERTISING - 0.0% **           
 140,000   Omnicom Group, Inc.  3.600  4/15/2026   141,134 
                 
     AEROSPACE/DEFENSE - 0.1%           
 100,000   BAE Systems Holdings, Inc. (a)  3.850  12/15/2025   103,726 
 50,000   Lockheed Martin Corp.  2.500  11/23/2020   50,772 
 30,000   Lockheed Martin Corp.  4.500  5/15/2036   32,796 
 125,000   Lockheed Martin Corp.  6.150  9/1/2036   162,266 
 50,000   Lockheed Martin Corp.  4.850  9/15/2041   56,473 
 100,000   Lockheed Martin Corp.  4.070  12/15/2042   101,653 
               507,686 
     AGRICULTURE - 0.2%           
 230,000   BAT International Finance PLC (a)  2.750  6/15/2020   233,578 
 20,000   BAT International Finance PLC (a)  3.500  6/15/2022   20,651 
 216,000   Cargill, Inc. (a)  4.760  11/23/2045   250,923 
 475,000   Imperial Brands Finance PLC (a)  3.750  7/21/2022   493,888 
               999,040 
     AUTO MANUFACTURERS - 0.4%           
 315,000   Daimler Finance North America LLC (a)  2.200  5/5/2020   315,373 
 105,000   Ford Motor Credit Co.  4.346  12/8/2026   109,156 
 475,000   Ford Motor Credit Co. LLC  3.096  5/4/2023   470,817 
 600,000   General Motors Financial Co., Inc.  3.700  5/9/2023   611,448 
 165,000   General Motors Financial Co., Inc.  3.950  4/13/2024   168,994 
 100,000   Nissan Motor Acceptance Corp. (a)  2.650  9/26/2018   100,936 
               1,776,724 
     BANKS - 3.1%           
 135,000   Bank of America Corp.  2.250  4/21/2020   135,301 
 640,000   Bank of America Corp.  2.625  10/19/2020   646,840 
 160,000   Bank of America Corp.  4.200  8/26/2024   168,277 
 345,000   Bank of America Corp. 3 Month LIBOR + 1.37^  3.593  7/21/2028   348,349 
 380,000   Bank of New York Mellon Corp. (The) 3 Month LIBOR + 1.05^  2.361  10/30/2023   388,166 
 300,000   Banque Federative du Credit Mutuel SA (a)  2.750  10/15/2020   304,068 
 100,000   Barclays Bank PLC  5.140  10/14/2020   106,957 
 405,000   Barclays PLC  3.200  8/10/2021   411,221 
 150,000   BB&T Corp.  2.450  1/15/2020   151,593 
 280,000   BNP Paribas SA (a)  2.950  5/23/2022   282,463 
 600,000   BPCE SA (a)  5.150  7/21/2024   646,807 
 105,000   Capital One Financial Corp.  4.200  10/29/2025   107,898 
 50,000   Citigroup, Inc.  4.050  7/30/2022   52,341 
 300,000   Citigroup, Inc.  3.500  5/15/2023   305,623 
 70,000   Citigroup, Inc.  3.300  4/27/2025   70,525 
 55,000   Citigroup, Inc.  5.500  9/13/2025   61,730 
 250,000   Credit Agricole SA (a)  3.250  10/4/2024   250,142 
 200,000   Credit Agricole SA (a)  4.375  3/17/2025   207,914 
 50,000   Credit Suisse AG  5.400  1/14/2020   53,467 
 250,000   Credit Suisse Group AG  3.125  12/10/2020   255,016 
 285,000   Credit Suisse Group AG (a)  3.574  1/9/2023   291,856 
 395,000   Credit Suisse Group Funding Guernsey Ltd.  3.800  9/15/2022   409,992 
 230,000   Deutsche Bank AG  2.700  7/13/2020   230,933 
 345,000   Deutsche Bank AG  4.250  10/14/2021   361,285 
 525,000   Discover Bank  3.100  6/4/2020   537,264 

 

 

 300,000   Fifth Third Bank  2.150  8/20/2018   301,398 
 130,000   Goldman Sachs Group, Inc. (The)  2.625  4/25/2021   130,715 
 200,000   Goldman Sachs Group, Inc. (The)  3.500  1/23/2025   202,910 
 460,000   Goldman Sachs Group, Inc. (The) 3 Month LIBOR + 1.201^  3.272  9/29/2025   460,599 
 50,000   Goldman Sachs Group, Inc. (The)  6.750  10/1/2037   65,965 
 55,000   Goldman Sachs Group, Inc. (The)  4.800  7/8/2044   61,557 
 85,000   Goldman Sachs Group, Inc. (The)  4.750  10/21/2045   94,525 
 305,000   HSBC Holdings PLC  3.400  3/8/2021   314,496 
 60,000   HSBC Holdings PLC  4.000  3/30/2022   63,421 
 200,000   HSBC Holdings PLC  3.600  5/25/2023   208,130 
 200,000   HSBC Holdings PLC 3 Month LIBOR + 1.55^  4.041  3/13/2028   208,816 
 250,000   Huntington Bancshares, Inc.  3.150  3/14/2021   256,323 
 250,000   Huntington National Bank  2.400  4/1/2020   251,196 
 200,000   ING Groep NV  3.950  3/29/2027   208,406 
 400,000   JPMorgan Chase & Co.  2.950  10/1/2026   391,481 
 110,000   Morgan Stanley  3.875  4/29/2024   115,116 
 70,000   Morgan Stanley  3.125  7/27/2026   68,661 
 455,000   Morgan Stanley  4.350  9/8/2026   476,343 
 300,000   Morgan Stanley  3.625  1/20/2027   304,075 
 900,000   NBK SPC Ltd. (a)  2.750  5/30/2022   891,756 
 400,000   PNC Bank NA  2.600  7/21/2020   406,079 
 50,000   PNC Financial Services Group, Inc. (The)  3.900  4/29/2024   52,493 
 120,000   Santander Holdings USA, Inc.  2.650  4/17/2020   120,549 
 465,000   Santander Holdings USA, Inc. (a)  3.700  3/28/2022   473,761 
 300,000   Santander UK PLC  2.000  8/24/2018   300,555 
 200,000   Skandinaviska Enskilda Banken AB (a)  2.450  5/27/2020   201,732 
 350,000   State Street Corp.  3.550  8/18/2025   365,279 
 250,000   UBS Group Funding Switzerland AG (a)  2.950  9/24/2020   253,787 
 225,000   UBS Group Funding Switzerland AG (a)  3.000  4/15/2021   228,098 
 150,000   Wells Fargo & Co.  3.000  2/19/2025   148,943 
 35,000   Wells Fargo & Co.  4.100  6/3/2026   36,383 
 195,000   Wells Fargo & Co.  4.750  12/7/2046   214,084 
               14,663,660 
     BEVERAGES - 0.1%           
 260,000   Anheuser-Busch InBev Finance, Inc.  3.650  2/1/2026   268,973 
 70,000   Anheuser-Busch InBev Finance, Inc.  4.900  2/1/2046   79,070 
 55,000   Anheuser-Busch InBev Worldwide, Inc.  3.750  7/15/2042   52,922 
               400,965 
     BIOTECHNOLOGY - 0.3%           
 740,000   Amgen, Inc.  2.650  5/11/2022   746,042 
 130,000   Biogen, Inc.  2.900  9/15/2020   133,188 
 70,000   Celgene Corp.  3.550  8/15/2022   73,168 
 375,000   Celgene Corp.  3.625  5/15/2024   390,670 
 90,000   Gilead Sciences, Inc.  2.550  9/1/2020   91,600 
               1,434,668 
     CHEMICALS - 0.1%           
 300,000   Agrium, Inc.  3.150  10/1/2022   306,758 
 55,000   Agrium, Inc.  7.125  5/23/2036   72,694 
 200,000   CNAC HK Synbridge Co. Ltd.  5.000  5/5/2020   206,002 
 40,000   Monsanto Co.  3.375  7/15/2024   40,790 
               626,244 
     COMMERCIAL SERVICES - 0.2%           
 500,000   ERAC USA Finance, LLC (a)  3.300  10/15/2022   512,489 
 355,000   Total System Services, Inc.  3.800  4/1/2021   369,093 
               881,582 
     COMPUTERS - 0.1%           
 120,000   Apple, Inc.  3.000  2/9/2024   122,970 
 105,000   Apple, Inc.  3.250  2/23/2026   107,856 
 15,000   Apple, Inc.  2.450  8/4/2026   14,473 
               245,299 

 

 

    DIVERSIFIED FINANCIAL SERVICES - 0.3%          
 50,000   American Express Co.  1.550  5/22/2018   49,993 
 200,000   GE Capital International Funding Co. Unlimited Co.  4.418  11/15/2035   217,480 
 120,000   GTP Acquisition Partners I LLC (a)  2.350  6/15/2020   119,822 
 285,000   LeasePlan Corp NV (a)  2.875  1/22/2019   285,659 
 350,000   Private Export Funding Corp.  3.250  6/15/2025   367,830 
 155,000   Synchrony Financial  2.600  1/15/2019   155,993 
 15,000   Synchrony Financial  2.700  2/3/2020   15,096 
 205,000   Synchrony Financial  3.750  8/15/2021   211,462 
               1,423,335 
     ELECTRIC - 1.4%           
 200,000   Appalachian Power Co.  3.400  6/1/2025   205,048 
 150,000   Berkshire Hathaway Energy Co.  4.500  2/1/2045   162,199 
 60,000   Consolidated Edison Co. of New York, Inc.  4.625  12/1/2054   66,770 
 160,000   Dominion Resources, Inc. #  2.962  7/1/2019   162,299 
 195,000   Dominion Resources, Inc.  2.579  7/1/2020   196,627 
 230,000   Dominion Resources, Inc. #  4.104  4/1/2021   241,060 
 175,000   Duke Energy Carolinas LLC  6.100  6/1/2037   225,994 
 225,000   Duke Energy Corp.  3.750  4/15/2024   235,330 
 70,000   Duke Energy Corp.  2.650  9/1/2026   66,942 
 55,000   Emera US Finance LP  2.700  6/15/2021   55,296 
 190,000   Entergy Corp.  2.950  9/1/2026   183,743 
 140,000   Entergy Louisiana LLC  3.120  9/1/2027   140,606 
 10,000   Eversource Energy  3.150  1/15/2025   10,065 
 370,000   FirstEnergy Corp.  3.900  7/15/2027   375,749 
 265,000   Fortis, Inc.  3.055  10/4/2026   255,751 
 175,000   Georgia Power Co.  5.950  2/1/2039   217,524 
 310,000   NextEra Energy Capital Holdings, Inc.  3.550  5/1/2027   318,628 
 200,000   Oglethorpe Power Corp.  5.250  9/1/2050   224,903 
 160,000   Oncor Electric Delivery Co. LLC  4.100  6/1/2022   170,572 
 51,000   Oncor Electric Delivery Co. LLC  2.950  4/1/2025   50,845 
 75,000   Pacific Gas & Electric Co.  3.400  8/15/2024   77,653 
 50,000   PPL Capital Funding, Inc.  3.500  12/1/2022   51,906 
 300,000   SCANA Corp.  6.250  4/1/2020   325,280 
 695,000   SCANA Corp.  4.750  5/15/2021   729,569 
 326,000   SCANA Corp.  4.125  2/1/2022   335,842 
 150,000   South Carolina Electric & Gas Co.  5.100  6/1/2065   174,000 
 225,000   Southern Co. (The)  2.750  6/15/2020   228,708 
 290,000   Southern Co. (The)  2.950  7/1/2023   291,478 
 270,000   State Grid Overseas Investment 2016 Ltd. (a)  2.750  5/4/2022   270,378 
 270,000   State Grid Overseas Investment 2016 Ltd. (a)  3.500  5/4/2027   274,532 
               6,325,297 
     ENGINEERING & CONSTRUCTION - 0.1%           
 250,000   Mexico City Airport Trust (a)  5.500  7/31/2047   253,100 
 50,000   SBA Tower Trust (a)  2.898  10/15/2019   50,226 
 255,000   SBA Tower Trust (a)  3.156  10/15/2020   256,680 
               560,006 
     FOOD - 0.3%           
 165,000   Kraft Heinz Foods Co.  3.500  7/15/2022   170,761 
 55,000   Kraft Heinz Foods Co.  3.000  6/1/2026   52,684 
 375,000   Kraft Heinz Foods Co.  4.375  6/1/2046   370,287 
 375,000   Kroger Co. (The)  2.950  11/1/2021   378,398 
 25,000   Kroger Co. (The)  4.450  2/1/2047   23,678 
 240,000   Sigma Alimentos SA de CV (a)  4.125  5/2/2026   242,700 
               1,238,508 
     FOREST PRODUCTS & PAPER - 0.1%           
 370,000   International Paper Co  4.350  8/15/2048   372,126 
                 
     GAS - 0.2%           
 60,000   Boston Gas Co. (a)  3.150  8/1/2027   60,040 
 149,000   CenterPoint Energy Resources Corp.  4.500  1/15/2021   156,763 
 125,000   Dominion Gas Holdings LLC  3.600  12/15/2024   127,741 
 275,000   KeySpan Gas East Corp. (a)  2.742  8/15/2026   266,996 
 340,000   Sempra Energy  3.250  6/15/2027   335,776 
               947,316 

 

 

    HEALTHCARE-PRODUCTS - 0.1%          
 325,000   Boston Scientific Corp.  3.375  5/15/2022   333,466 
 205,000   Medtronic, Inc.  3.500  3/15/2025   213,797 
               547,263 
     HEALTHCARE-SERVICES - 0.5%           
 210,000   Aetna, Inc.  2.800  6/15/2023   211,292 
 75,000   Anthem, Inc.  3.500  8/15/2024   77,157 
 150,000   Anthem, Inc.  4.650  8/15/2044   163,642 
 15,000   Ascension Health  4.847  11/15/2053   17,161 
 191,000   Catholic Health Initiatives  2.950  11/1/2022   188,172 
 100,000   Catholic Health Initiatives  4.200  8/1/2023   104,088 
 120,000   Catholic Health Initiatives  4.350  11/1/2042   112,430 
 25,000   Dignity Health  3.812  11/1/2024   25,816 
 295,000   Kaiser Foundation Hospitals  3.500  4/1/2022   307,334 
 50,000   Memorial Sloan-Kettering Cancer Center  5.000  7/1/2042   59,147 
 30,000   Memorial Sloan-Kettering Cancer Center  4.200  7/1/2055   31,411 
 625,000   SSM Health Care Corp  3.823  6/1/2027   647,014 
 45,000   United Health Group, Inc.  3.350  7/15/2022   46,995 
 300,000   United Health Group, Inc.  2.875  3/15/2023   305,905 
 75,000   United Health Group, Inc.  3.750  7/15/2025   79,591 
               2,377,155 
     INSURANCE - 0.3%           
 50,000   American International Group, Inc.  4.875  6/1/2022   54,922 
 190,000   Berkshire Hathaway, Inc.  2.750  3/15/2023   193,152 
 50,000   Chubb INA Holdings, Inc.  2.300  11/3/2020   50,366 
 75,000   Chubb INA Holdings, Inc.  3.350  5/15/2024   77,653 
 250,000   Hartford Financial Services Group, Inc. (The)  5.500  3/30/2020   269,241 
 275,000   Jackson National Life Global Funding (a)  3.250  1/30/2024   278,992 
 195,000   Metropolitan Life Global Funding I (a)  2.650  4/8/2022   196,693 
 250,000   Metropolitan Life Global Funding I (a)  3.000  9/19/2027   247,193 
 150,000   Principal Financial Group, Inc.  3.400  5/15/2025   153,196 
               1,521,408 
     INTERNET - 0.2%           
 400,000   Alibaba Group Holding Ltd.  2.500  11/28/2019   403,272 
 190,000   Amazon.com, Inc. (a)  2.800  8/22/2024   190,729 
 165,000   Amazon.com, Inc.  4.800  12/5/2034   186,898 
 160,000   Amazon.com, Inc. (a)  4.250  8/22/2057   164,170 
               945,069 
     LODGING - 0.1%           
 225,000   Marriott International, Inc.  2.875  3/1/2021   228,172 
 325,000   Marriott International, Inc.  2.300  1/15/2022   320,852 
               549,024 
     MACHINERY - CONSTRUCTION AND MINING - 0.0% **           
 45,000   Caterpillar, Inc.  4.300  5/15/2044   48,749 
                 
     MEDIA - 0.3%           
 50,000   21st Century Fox America, Inc.  3.700  9/15/2024   51,886 
 175,000   Charter Communications Operating LLC  4.464  7/23/2022   185,155 
 60,000   Charter Communications Operating LLC  6.484  10/23/2045   70,421 
 100,000   Comcast Corp.  6.400  3/1/2040   133,800 
 275,000   Cox Communications, Inc. (a)  4.800  2/1/2035   272,294 
 15,000   Cox Communications, Inc. (a)  6.450  12/1/2036   17,559 
 15,000   Cox Communications, Inc. (a)  4.600  8/15/2047   14,875 
 100,000   NBCUniversal Media, LLC  2.875  1/15/2023   101,642 
 250,000   Sky PLC (a)  3.750  9/16/2024   256,504 
 275,000   Time Warner, Inc.  4.875  3/15/2020   292,721 
 50,000   Viacom, Inc.  4.250  9/1/2023   51,378 
               1,448,235 

 

 

     MINING - 0.1%           
 275,000   Glencore Finance Canada Ltd. (a)  4.250  10/25/2022   289,403 
                 
     MISCELLANEOUS MANUFACTURING - 0.1%           
 10,000   Parker-Hannifin Corp.  4.450  11/21/2044   10,708 
 111,000   Pentair Finance SA  2.900  9/15/2018   111,868 
 250,000   Siemens Financieringsmaatschappij NV (a)  2.900  5/27/2022   255,396 
               377,972 
     OIL & GAS - 0.8%           
 240,000   Anadarko Petroleum Corp.  4.850  3/15/2021   254,518 
 200,000   BG Energy Capital PLC (a)  4.000  10/15/2021   211,129 
 105,000   BP Capital Markets PLC  3.245  5/6/2022   108,770 
 70,000   ConocoPhillips Co.  4.200  3/15/2021   74,444 
 35,000   ConocoPhillips Co.  2.875  11/15/2021   35,657 
 105,000   ConocoPhillips Co.  3.350  5/15/2025   107,394 
 20,000   ConocoPhillips Co.  4.950  3/15/2026   22,544 
 325,000   Devon Energy Corp.  3.250  5/15/2022   328,845 
 130,000   Marathon Oil Corp.  2.700  6/1/2020   129,997 
 170,000   Noble Energy, Inc.  4.150  12/15/2021   179,084 
 775,000   Petroleos Mexicanos  5.500  1/21/2021   826,925 
 95,000   Petroleos Mexicanos (a)  5.375  3/13/2022   101,503 
 175,000   Petroleos Mexicanos  6.750  9/21/2047   186,182 
 225,000   Pioneer Natural Resources Co.  7.500  1/15/2020   250,393 
 180,000   Shell International Finance BV  4.125  5/11/2035   190,082 
 230,000   Sinopec Group Overseas Development 2015 Ltd. (a)  2.500  4/28/2020   230,537 
 435,000   Sinopec Group Overseas Development 2017 Ltd. (a)  3.000  4/12/2022   439,896 
               3,677,900 
     OIL & GAS SERVICES - 0.0% **           
 110,000   Schlumberger Holdings Corp. (a)  3.000  12/21/2020   112,657 
                 
     PHARMACEUTICALS - 0.6%           
 375,000   AbbVie, Inc.  1.800  5/14/2018   375,521 
 50,000   AbbVie, Inc.  3.200  11/6/2022   51,269 
 85,000   Allergan Funding SCS  3.000  3/12/2020   86,779 
 20,000   Allergan Funding SCS  3.450  3/15/2022   20,738 
 50,000   Allergan Funding SCS  3.850  6/15/2024   52,161 
 205,000   Allergan Funding SCS  4.550  3/15/2035   218,717 
 275,000   Bayer US Finance LLC (a)  2.375  10/8/2019   276,591 
 170,000   Cardinal Health, Inc.  3.200  3/15/2023   172,814 
 155,000   Cardinal Health, Inc.  3.079  6/15/2024   156,080 
 35,000   Cardinal Health, Inc.  4.500  11/15/2044   36,411 
 95,000   EMD Finance LLC (a)  2.950  3/19/2022   96,557 
 100,000   Forest Laboratories LLC (a)  5.000  12/15/2021   109,290 
 220,000   Mylan NV  3.000  12/15/2018   222,484 
 123,000   Teva Pharmaceutical Finance Co BV  3.650  11/10/2021   123,877 
 750,000   Teva Pharmaceutical Finance Netherlands III BV  2.800  7/21/2023   715,344 
 145,000   Teva Pharmaceutical Finance Netherlands III BV  4.100  10/1/2046   122,142 
               2,836,775 
     PIPELINES - 0.4%           
 65,000   Columbia Pipeline Group, Inc.  2.450  6/1/2018   65,224 
 175,000   Columbia Pipeline Group, Inc.  4.500  6/1/2025   186,957 
 120,000   Energy Transfer Partners LP  3.600  2/1/2023   122,035 
 30,000   Energy Transfer Partners LP  4.500  11/1/2023   31,438 
 90,000   Energy Transfer Partners LP  7.600  2/1/2024   105,486 
 95,000   Enterprise Products Operating LLC  3.950  2/15/2027   99,694 
 130,000   Enterprise Products Operating LLC  5.100  2/15/2045   144,854 
 175,000   Kinder Morgan Energy Partners LP  4.300  5/1/2024   182,107 
 265,000   Kinder Morgan Energy Partners LP  4.250  9/1/2024   275,007 
 100,000   Phillips 66 Partners LP  3.605  2/15/2025   99,789 
 55,000   Sunoco Logistics Partners Operations LP  4.400  4/1/2021   58,024 
 75,000   Sunoco Logistics Partners Operations LP  3.450  1/15/2023   75,623 
 131,000   TransCanada PipeLines Ltd.  4.875  1/15/2026   146,954 
 200,000   Western Gas Partners LP  4.000  7/1/2022   206,651 
               1,799,843 

 

 

    REAL ESTATE INVESTMENT TRUSTS - 0.3%          
 300,000   American Tower Corp.  3.450  9/15/2021   310,454 
 86,000   American Tower Corp.  5.000  2/15/2024   94,881 
 50,000   AvalonBay Communities, Inc.  2.950  9/15/2022   50,771 
 150,000   DDR Corp.  4.625  7/15/2022   158,975 
 75,000   HCP, Inc.  3.875  8/15/2024   76,989 
 200,000   HCP, Inc.  4.000  6/1/2025   206,298 
 260,000   Scentre Group Trust 1/Scentre Group Trust 2 (a)  2.375  11/5/2019   261,253 
 275,000   WEA Finance LLC / Westfield UK & Europe Finance PLC (a)  3.250  10/5/2020   280,815 
               1,440,436 
     RETAIL - 0.3%           
 100,000   Alimentation Couche-Tard, Inc. (a)  3.550  7/26/2027   100,843 
 50,000   AutoZone, Inc.  2.875  1/15/2023   49,939 
 300,000   AutoZone, Inc.  3.125  7/15/2023   304,029 
 250,000   CVS Health Corp.  4.000  12/5/2023   265,084 
 55,000   CVS Health Corp.  4.875  7/20/2035   60,968 
 130,000   CVS Health Corp.  5.125  7/20/2045   149,507 
 100,000   Home Depot, Inc. (The)  2.000  6/15/2019   100,624 
 200,000   O’Reilly Automotive, Inc.  3.800  9/1/2022   208,833 
               1,239,827 
     SEMICONDUCTORS - 0.1%           
 240,000   Broadcom Corp / Broadcom Cayman Finance Ltd. (a)  3.625  1/15/2024   246,570 
 410,000   QUALCOMM, Inc.  2.100  5/20/2020   413,122 
               659,692 
     SOFTWARE - 0.2%           
 335,000   Microsoft Corp.  2.875  2/6/2024   342,343 
 235,000   Microsoft Corp.  2.400  8/8/2026   227,142 
 180,000   Microsoft Corp.  3.700  8/8/2046   181,519 
 225,000   Oracle Corp.  2.800  7/8/2021   230,088 
               981,092 
     TELECOMMUNICATIONS - 0.3%           
 30,000   AT&T, Inc.  3.950  1/15/2025   30,814 
 20,000   AT&T, Inc.  4.500  5/15/2035   19,746 
 160,000   AT&T, Inc.  4.750  5/15/2046   153,871 
 150,000   Crown Castle Towers LLC (a)  3.222  5/15/2022   152,199 
 225,000   Orange SA  9.000  3/1/2031   341,553 
 4,000   Verizon Communications, Inc.  4.812  3/15/2039   4,129 
 609,000   Verizon Communications, Inc.  4.522  9/15/2048   589,616 
               1,291,928 
     TRANSPORTATION - 0.1%           
 225,000   FedEx Corp.  8.000  1/15/2019   242,404 
 160,000   FedEx Corp.  4.550  4/1/2046   170,412 
               412,816 
     TRUCKING & LEASING - 0.1%           
 150,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.200  7/15/2020   153,719 
 200,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  3.375  2/1/2022   205,354 
 50,000   Penske Truck Leasing Co LP / PTL Finance Corp. (a)  4.875  7/11/2022   54,448 
               413,521 
     WATER - 0.0% **           
 120,000   American Water Capital Corp.  2.950  9/1/2027   119,558 
                 
     TOTAL CORPORATE BONDS (Cost $54,417,515)         55,633,913 
                 
     COLLATERALIZED MORTGAGE OBLIGATIONS - 0.2%           
     WHOLE LOAN COLLATERAL - 0.2%           
 76,775   Deephaven Residential Mortgage Trust 2017-1 (a) ^  2.725  12/26/2046   75,588 
 162,585   Deephaven Residential Mortgage Trust 2017-2 (a) ^  2.453  6/25/2047   160,350 
 76,568   Mill City Mortgage Loan Trust 2016-1 (a) ^  2.500  4/25/2057   76,651 
 220,000   Mill City Mortgage Loan Trust 2017-3 (a) ^  2.750  2/25/2058   221,100 
 245,775   New Residential Mortgage Loan Trust 2017-3 (a) ^  4.000  4/25/2057   253,473 
     TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $793,512)         787,162 

 

 

     COMMERCIAL MORTGAGE BACKED SECURITIES - 1.4%           
 155,000   Banc of America Commercial Mortgage Trust 2015-UBS7  3.705  9/15/2048   161,617 
 195,000   CD 2017-CD4 Mortgage Trust ^  3.514  5/10/2050   201,267 
 525,000   Citigroup Commercial Mortgage Trust 2015-GC35  3.818  11/10/2048   549,297 
 130,000   COMM 2013-CCRE8 Mortgage Trust  3.334  6/10/2046   134,640 
 225,000   CSAIL 2015-C1 Commercial Mortgage Trust  3.505  4/15/2050   231,352 
 420,000   CSAIL 2015-C2 Commercial Mortgage Trust  3.504  4/15/2025   430,697 
 405,000   CSAIL 2015-C3 Commercial Mortgage Trust  3.718  8/15/2048   421,167 
 104,701   Fannie Mae-ACES ADJ%  1.72  4/25/2024   104,519 
 465,000   Fannie Mae Multifamily Remic Trust 2015-M12 ^  2.89  5/25/2025   467,934 
 582,890   Fannie Mae REMICS  3.00  12/25/2045   595,018 
 964,352   Freddie Mac REMICS  3.00  6/15/2045   979,352 
 300,000   GS Mortgage Securities Trust 2015-GS1  3.734  11/10/2048   314,283 
 100,000   JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1  3.914  1/15/2049   106,226 
 15,920   LB-UBS Commercial Mortgage Trust 2008-C1 ^  6.296  4/15/2041   16,189 
 490,000   Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22  3.306  4/15/2048   497,046 
 100,000   SFAVE Commercial Mortgage Securities Trust 2015-5AVE (a) ^  4.144  1/5/2043   101,241 
 260,000   SG Commercial Mortgage Securities Trust 2016-C5  3.055  10/10/2048   256,467 
 125,000   Wells Fargo Commercial Mortgage Trust 2015-LC22  3.839  9/15/2058   131,935 
 250,000   Wells Fargo Commercial Mortgage Trust 2015-NXS1  3.148  5/15/2048   252,525 
 400,000   Wells Fargo Commercial Mortgage Trust 2017-C38  3.453  7/15/2050   409,212 
     TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost - $6,383,910)         6,361,984 
                 
     MORTGAGE BACKED SECURITIES - 7.8%           
     FEDERAL HOME LOAN MORTGAGE CORP. - 3.8%           
 1,486,302   Freddie Mac +  3.00  11/1/2046   1,495,744 
 387,459   Freddie Mac +  3.00  12/1/2046   389,922 
 12,116   Freddie Mac Gold Pool  3.00  9/1/2028   12,456 
 22,662   Freddie Mac Gold Pool  2.50  10/1/2028   23,076 
 95,281   Freddie Mac Gold Pool  2.50  12/1/2031   96,087 
 200,000   Freddie Mac Gold Pool  3.00  3/15/2032   205,531 
 120,068   Freddie Mac Gold Pool  3.50  11/1/2034   125,007 
 50,000   Freddie Mac Gold Pool  5.50  7/15/2039   54,992 
 50,000   Freddie Mac Gold Pool  5.00  5/15/2040   54,242 
 45,305   Freddie Mac Gold Pool  3.00  2/1/2043   45,592 
 35,189   Freddie Mac Gold Pool  3.50  10/1/2043   36,472 
 25,744   Freddie Mac Gold Pool  4.00  8/1/2044   27,133 
 175,000   Freddie Mac Gold Pool  4.50  1/15/2046   187,605 
 525,000   Freddie Mac Gold Pool  4.00  6/15/2046   552,645 
 2,024,446   Freddie Mac Gold Pool  3.00  8/1/2046   2,033,902 
 3,225,000   Freddie Mac Gold Pool  3.50  10/15/2046   3,324,773 
 3,162,666   Freddie Mac Gold Pool  3.00  11/1/2046   3,173,950 
 192,142   Freddie Mac Gold Pool  3.00  12/1/2046   192,828 
 962,822   Freddie Mac Gold Pool  3.00  12/1/2046   966,260 
 2,100,000   Freddie Mac Gold Pool  3.00  5/15/2047   2,106,235 
 2,602,884   Freddie Mac Gold Pool  3.50  7/1/2047   2,684,401 
               17,788,853 

 

 

     FEDERAL NATIONAL MORTGAGE ASSOCIATION - 3.8%           
 1,909,172   Fannie Mae +  3.00  10/1/2046   1,919,277 
 310,000   Fannie Mae Pool  2.68  5/1/2025   310,983 
 152,657   Fannie Mae Pool  2.47  5/1/2025   151,909 
 400,000   Fannie Mae Pool  2.81  7/1/2025   403,547 
 53,367   Fannie Mae Pool  3.09  10/1/2025   54,915 
 110,000   Fannie Mae Pool  2.99  10/1/2025   112,551 
 100,000   Fannie Mae Pool  4.00  12/25/2025   103,250 
 30,612   Fannie Mae Pool  2.50  4/1/2028   31,141 
 200,000   Fannie Mae Pool  3.50  6/25/2028   208,281 
 19,944   Fannie Mae Pool  3.00  10/1/2028   20,529 
 66,660   Fannie Mae Pool  2.50  2/1/2030   67,131 
 166,996   Fannie Mae Pool  2.50  6/1/2030   168,174 
 279,018   Fannie Mae Pool  2.50  10/1/2031   280,993 
 191,521   Fannie Mae Pool  2.50  12/1/2031   192,910 
 1,475,000   Fannie Mae Pool  3.00  3/25/2032   1,515,332 
 600,000   Fannie Mae Pool  2.50  5/25/2032   603,938 
 75,000   Fannie Mae Pool  6.00  9/25/2038   84,480 
 300,000   Fannie Mae Pool  5.50  5/25/2039   331,969 
 375,000   Fannie Mae Pool  5.00  2/25/2040   409,102 
 90,257   Fannie Mae Pool  3.00  7/1/2043   91,042 
 41,168   Fannie Mae Pool  4.00  11/1/2043   43,372 
 1,625,000   Fannie Mae Pool  4.00  10/1/2044   1,710,947 
 675,000   Fannie Mae Pool  4.50  12/25/2045   724,254 
 771,937   Fannie Mae Pool  4.00  1/1/2046   813,477 
 2,068,344   Fannie Mae Pool  3.00  1/1/2046   2,075,392 
 869,869   Fannie Mae Pool  4.00  2/1/2046   916,680 
 4,175,000   Fannie Mae Pool  3.50  12/25/2046   4,303,511 
               17,649,087 
     GOVERNMENT NATIONAL MORTGAGE ASSOCIATION - 0.2%     
 325,000   Ginnie Mae +  4.00  8/20/2046   342,063 
 50,000   Ginnie Mae I Pool  5.00  9/15/2040   54,359 
 100,000   Ginnie Mae II Pool  5.00  3/20/2041   107,094 
 48,866   Ginnie Mae II Pool  3.00  12/20/2042   49,877 
 53,888   Ginnie Mae II Pool  3.50  7/20/2043   56,231 
 21,131   Ginnie Mae II Pool  4.00  12/20/2044   22,343 
 350,000   Ginnie Mae II Pool  4.50  2/20/2045   372,914 
 100,000   Ginnie Mae II Pool  4.00  11/1/2046   105,172 
               1,110,053 
                 
     TOTAL MORTGAGE BACKED SECURITIES
(Cost - $36,650,134)
      36,547,993 
              
     MUNICIPAL SECURITIES - 1.1%           
 115,000   Bay Area Toll Authority  7.043  4/1/2050   177,273 
 90,000   Chicago O’Hare International Airport  6.395  1/1/2040   122,815 
 130,000   Chicago Transit Authority  6.300  12/1/2021   138,986 
 95,000   Chicago Transit Authority  6.300  12/1/2021   101,566 
 265,000   Chicago Transit Authority  6.899  12/1/2040   345,928 
 55,000   Chicago Transit Authority  6.899  12/1/2040   71,873 
 315,000   County of Sacramento CA  5.730  8/15/2023   346,957 
 180,000   Kansas Development Finance Authority  4.927  4/15/2045   202,298 
 120,000   Long Island Power Authority  3.883  9/1/2024   125,372 
 100,000   Metropolitan Transportation Authority  6.814  11/15/2040   140,530 
 195,000   Municipal Electric Authority of Georgia  6.637  4/1/2057   246,429 
 230,000   New Jersey Economic Development Authority  3.802  6/15/2018   232,583 
 85,000   New Jersey Economic Development Authority  3.882  6/15/2019   86,665 
 640,000   New York State Urban Development Corp  2.100  3/15/2022   638,682 
 100,000   Port Authority of New York & New Jersey  5.647  11/1/2040   129,446 
 70,000   Port Authority of New York & New Jersey  4.810  10/15/2065   81,518 
 120,000   Regents of the University of California Medical Center Pooled Revenue  6.548  5/15/2048   165,869 
 30,000   Regents of the University of California Medical Center Pooled Revenue  6.583  5/15/2049   41,609 
 50,000   State of California  7.550  4/1/2039   76,680 
 300,000   State of California  7.350  11/1/2039   443,067 
 35,000   State of California  7.600  11/1/2040   54,766 
 15,000   State of Illinois  5.163  2/1/2018   15,140 
 100,000   State of Illinois  5.200  3/1/2018   101,239 
 420,000   State of Illinois  5.665  3/1/2018   425,893 
 700,000   State of Illinois  5.100  6/1/2033   707,910 
 35,000   University of California  3.931  5/15/2045   35,449 
     TOTAL MUNICIPAL SECURITIES (Cost - $5,035,520)      5,256,543 

 

 

     SOVEREIGN DEBT - 0.5%           
 320,000   Export-Import Bank of Korea  1.750  5/26/2019   317,510 
 272,000   Japan Bank for International Cooperation  2.250  2/24/2020   273,301 
 204,000   Japan Bank for International Cooperation  2.125  6/1/2020   204,159 
 825,000   Qatar Government International Bond (a)  5.250  1/20/2020   874,784 
 280,000   Qatar Government International Bond (a)  2.375  6/2/2021   275,810 
 330,000   Saudi Government International Bond (a)  2.875  3/4/2023   327,809 
     TOTAL SOVEREIGN DEBT (Cost - $2,256,361)         2,273,373 
                 
     U.S. TREASURY SECURITIES - 5.4%           
 690,000   United States Treasury Bond  3.000  11/15/2044   710,835 
 230,000   United States Treasury Bond  2.500  2/15/2046   213,891 
 1,040,000   United States Treasury Bond  2.500  5/15/2046   966,387 
 325,000   United States Treasury Bond  3.000  2/15/2047   334,306 
 875,000   United States Treasury Bond  3.000  5/15/2047   900,361 
 585,000   United States Treasury Bond  2.750  8/15/2047   572,295 
 4,315,000   United States Treasury Inflation Index Note  0.375  1/15/2027   4,315,287 
 100,000   United States Treasury Note  1.375  7/31/2018   100,031 
 1,495,000   United States Treasury Note  1.375  12/31/2018   1,494,474 
 1,020,000   United States Treasury Note  1.375  2/28/2019   1,019,323 
 1,465,000   United States Treasury Note  1.500  11/30/2019   1,464,771 
 725,000   United States Treasury Note  1.375  9/30/2020   719,563 
 2,595,000   United States Treasury Note  2.000  11/30/2020   2,621,254 
 235,000   United States Treasury Note  1.750  12/31/2020   235,441 
 665,000   United States Treasury Note  1.250  3/31/2021   654,220 
 1,000,000   United States Treasury Note  1.750  6/30/2022   992,695 
 110,000   United States Treasury Note  2.375  5/15/2027   110,455 
 1,615,000   United States Treasury Note  2.250  8/15/2027   1,604,023 
 5,000   United States Treasury Note  3.625  8/15/2043   5,738 
 5,000   United States Treasury Note  3.750  11/15/2043   5,861 
 1,580,000   United States Treasury Note  3.375  5/15/2044   1,741,518 
 3,815,000   United States Treasury Note  2.500  2/15/2045   3,558,084 
 545,000   United States Treasury Note  2.875  8/15/2045   547,342 
     TOTAL U.S. TREASURY SECURITIES (Cost - $24,919,542)      24,888,155 
                 
Shares               
    WARRANT - 0.0% **           
 17,630   Simply Good Foods Co.         39,668 
     TOTAL WARRANTS (Cost - $36,977)         39,668 
                 
     SHORT-TERM INVESTMENTS - 9.1%           
     MONEY MARKET FUND - 9.1%           
 42,327,232   Fidelity Institutional Money Market - Money Market Portfolio, Institutional Class     
     to yield 0.91% (b)           
     TOTAL SHORT-TERM INVESTMENTS (Cost - $42,327,232)      42,327,232 
                 
     TOTAL INVESTMENTS - 103.6% (Cost - $410,452,268)(c)     $483,222,234 
     OTHER ASSETS LESS LIABILITIES - NET - (3.6)%         (16,833,963)
     TOTAL NET ASSETS - 100.0%        $466,388,271 

 

+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

 

LIBOR - London Interbank Offered Rate

 

LP - Limited Partnership

 

REIT - Real Estate Investment Trust

 

(a)144(a) - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of September 30, 2017, these securities amounted to $31,535,260 or 6.8% of net assets.

 

(b)Money market rate shown represents the rate at September 30, 2017.

 

(c)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $411,575,656 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

  Unrealized Appreciation:  $60,944,284 
  Unrealized Depreciation:   (7,820,247)
  Net Unrealized Appreciation:  $53,124,037 

 

 

SHORT FUTURES CONTRACTS                
Description   Number of Contracts   Expiration Date   Counterparty   Notional Amount    Unrealized Appreciation 
US 10 Year Future                       47   12/31/2017   Morgan Stanley    $         5,889,711    $               60,586

 

 

 

Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 49.6%     
     DEBT FUNDS - 28.5%     
 36   iShares 1-3 Year Credit Bond ETF  $3,793 
 37   iShares Core U.S. Aggregate Bond ETF   4,055 
         7,848 
     EQUITY FUNDS - 21.1%     
 15   iShares Core MSCI Emerging Markets ETF   810 
 11   iShares Core S&P 500 ETF   2,782 
 20   iShares MSCI EAFE Value ETF   1,092 
 4   iShares Russell 2000 ETF   593 
 5   iShares S&P 500 Value ETF   539 
         5,816 
     TOTAL EXCHANGE TRADED FUNDS (Cost - $12,837)   13,664 
           
     VARIABLE INSURANCE TRUSTS - 49.6%     
     DEBT FUNDS - 32.5%     
 247   American Funds Insurance Series - Bond Fund - Class I   2,711 
 110   American Funds Insurance Series - U.S. Government/AAA-Rated Securities Fund - Class I   1,349 
 110   BlackRock High Yield VI Fund - Class I   821 
 309   MFS Research Bond Series - Initial Shares   4,065 
         8,946 
     EQUITY FUNDS - 17.1%     
 80   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class I   1,130 
 30   MFS Growth Series - Initial Shares   1,373 
 66   MFS VIT III Mid Cap Value Portfolio - Initial Shares   566 
 7   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   557 
 442   Oppenheimer International Growth Fund - Non-Service Shares   1,104 
         4,730 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $13,364)   13,676 
           
     SHORT-TERM INVESTMENT - 0.8%     
     MONEY MARKET FUND - 0.8%     
 209   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class     
     to yield 0.91% (a)(Cost - $209)   209 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $26,410)(b)  $27,549 
     OTHER ASSETS LESS LIABILITIES -NET - (0.0)% *   (12)
     TOTAL NET ASSETS - 100.0%  $27,537 

 

*Represents less than 0.05%.

 

(a)Money market rate shown represents the rate at September 30, 2017.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $26,415 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $1,288 
Unrealized Depreciation:   (154)
Net Unrealized Appreciation:  $1,134 

 

 

Global Atlantic Wilshire Dynamic Global Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 64.9%     
     DEBT FUNDS - 28.7%     
 32   iShares 1-3 Year Credit Bond ETF  $3,371 
 23   iShares Core U.S. Aggregate Bond ETF   2,521 
 34   iShares International Treasury Bond Fund   1,674 
 12   iShares JP Morgan EM Local Currency Bond ETF   579 
         8,145 
     EQUITY FUNDS - 36.2%     
 27   iShares Core MSCI EAFE ETF   1,733 
 32   iShares Core MSCI Emerging Markets ETF   1,729 
 9   iShares Core S&P 500 ETF   2,276 
 22   iShares Global REIT ETF   563 
 52   iShares MSCI EAFE Value ETF   2,839 
 4   iShares Russell 2000 ETF   593 
 5   iShares S&P 500 Value ETF   539 
         10,272 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $16,915)   18,417 
           
     VARIABLE INSURANCE TRUSTS - 34.5%     
     DEBT FUNDS - 12.7%     
 68   American Funds Insurance Series - Bond Fund - Class I   837 
 113   BlackRock High Yield VI Fund - Class I   838 
 62   MFS Research Bond Series - Initial Shares   812 
 100   PIMCO Variable Insurance Trust - Foreign Bond Portfolio U.S. Dollar Hedged - Institutional Class   1,119 
         3,606 
     EQUITY FUNDS - 21.8%     
 81   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1   1,148 
 24   MFS Growth Series - Initial Shares   1,090 
 63   MFS VIT III Mid Cap Value Portfolio - Initial Shares   544 
 7   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   577 
 1,140   Oppenheimer International Growth Fund - Non-Service Shares   2,849 
         6,208 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $9,213)   9,814 
           
     SHORT-TERM INVESTMENT - 0.6%     
     MONEY MARKET FUND - 0.6%     
 168   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class     
     to yield 0.91% (a)(Cost - $168)   168 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $26,296)(b)  $28,399 
     OTHER ASSETS LESS LIABILITIES - NET - 0.0%*   (12)
     TOTAL NET ASSETS - 100.0%  $28,387 

 

*Represents less than 0.05%.

 

(a)Money market rate shown represents the rate at September 30, 2017.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $26,312 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $2,161 
Unrealized Depreciation:   (74)
Net Unrealized Appreciation:  $2,087 

 

 

Global Atlantic Wilshire Dynamic Growth Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 54.7%     
     DEBT FUNDS - 12.7%     
 100   iShares 1-3 Year Credit Bond ETF  $10,535 
 214   iShares Core U.S. Aggregate Bond ETF   23,453 
         33,988 
     EQUITY FUNDS - 42.0%     
 125   iShares Core MSCI EAFE ETF   8,021 
 243   iShares Core MSCI Emerging Markets ETF   13,127 
 191   iShares Core S&P 500 ETF   48,310 
 201   iShares Global REIT ETF   5,144 
 395   iShares MSCI EAFE Value ETF   21,567 
 57   iShares Russell 2000 ETF   8,446 
 75   iShares S&P 500 Value ETF   8,093 
         112,708 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $135,455)   146,696 
           
     VARIABLE INSURANCE TRUSTS - 44.8%     
     DEBT FUNDS - 8.8%     
 635   American Funds Insurance Series - Bond Fund - Class I   7,811 
 1,065   BlackRock High Yield VI Fund - Class I   7,926 
 597   MFS Research Bond Series - Initial Shares   7,847 
         23,584 
     EQUITY FUNDS - 36.0%     
 1,728   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1   24,543 
 577   MFS Growth Series - Initial Shares   26,501 
 1,586   MFS VIT III Mid Cap Value Portfolio - Initial Shares   13,654 
 136   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   10,763 
 8,523   Oppenheimer International Growth Fund - Non-Service Shares   21,307 
         96,768 
           
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $112,711)   120,352 
           
     SHORT-TERM INVESTMENT - 0.6%     
     MONEY MARKET FUND - 0.6%     
 1,468   Fidelity Institutional Money Market Funds - Government Portfolio, Institutional Class     
     to yield 0.91% (a)(Cost - $1,468)   1,468 
           
     TOTAL INVESTMENTS - 100.1% (Cost - $249,634)(b)  $268,516 
     OTHER ASSETS LESS LIABILITIES - NET - (0.1)%   (139)
     TOTAL NET ASSETS - 100.0%  $268,377 

 

(a)Money market rate shown represents the rate at September 30, 2017.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $249,649 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $18,895 
Unrealized Depreciation:   (28)
Net Unrealized Appreciation:  $18,867 

 

 

Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio
PORTFOLIO OF INVESTMENTS (Unaudited)
September 30, 2017

 

Shares      Value 
     EXCHANGE TRADED FUNDS - 50.9%     
     DEBT FUNDS - 20.7%     
 21   iShares 1-3 Year Credit Bond ETF  $2,212 
 33   iShares Core U.S. Aggregate Bond ETF   3,616 
         5,828 
     EQUITY FUNDS - 30.2%     
 21   iShares Core MSCI Emerging Markets ETF   1,134 
 17   iShares Core S&P 500 ETF   4,300 
 36   iShares MSCI EAFE Value ETF   1,966 
 4   iShares Russell 2000 ETF   593 
 5   iShares S&P 500 Value ETF   540 
         8,533 
           
     TOTAL EXCHANGE TRADED FUNDS (Cost - $13,062)   14,361 
           
     VARIABLE INSURANCE TRUSTS - 48.1%     
     DEBT FUNDS - 18.5%     
 127   American Funds Insurance Series - Bond Fund - Class I   1,393 
 90   American Funds Insurance Series - U.S. Government/AAA-Rated Securities Fund - Class I   1,109 
 112   BlackRock High Yield VI Fund - Class I   833 
 143   MFS Research Bond Series - Initial Shares   1,882 
         5,217 
     EQUITY FUNDS - 29.6%     
 161   American Funds Insurance Series - Blue Chip Income and Growth Fund - Class 1   2,282 
 47   MFS Growth Series - Initial Shares   2,167 
 126   MFS VIT III Mid Cap Value Portfolio - Initial Shares   1,081 
 11   Oppenheimer Discovery Mid Cap Growth Fund - Non-Service Shares   861 
 793   Oppenheimer International Growth Fund - Non-Service Shares   1,982 
         8,373 
     TOTAL VARIABLE INSURANCE TRUSTS (Cost - $12,995)   13,590 
           
     SHORT-TERM INVESTMENT - 1.0%     
     MONEY MARKET FUND - 1.0%     
 295   Fidelity Institutional Money Market Funds - Portfolio, Institutional Class     
     to yield 0.91% (a)(Cost - $295)   295 
           
     TOTAL INVESTMENTS - 100.0% (Cost - $26,352)(b)  $28,246 
     OTHER ASSETS LESS LIABILITIES -NET - (0.0)% *   (12)
     TOTAL NET ASSETS - 100.0%  $28,234 

 

*Represents less than 0.05%.

 

(a)Money market rate shown represents the rate at September 30, 2017.

 

(b)Represents cost for financial reporting purposes. Aggregate cost for federal tax purposes is $26,355 and differs from fair value by net unrealized appreciation (depreciation) of securities as follows:

 

Unrealized Appreciation:  $1,976 
Unrealized Depreciation:   (85)
Net Unrealized Appreciation:  $1,891 

 

 

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

 

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

 

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

 

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

 

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

 

 

Fair Value Team and Valuation Process – As noted above, the Fair Value Committee is composed of one or more representatives from each of the (i) Trust, (ii) administrator, and (iii) Adviser and/or Sub-Adviser. The Fair Value Committee may also include the Trust’s Chief Compliance Officer and may enlist third party consultants or advisers (such as an accounting firm or fair value pricing specialist) on an as-needed basis to assist in determining a security-specific fair value or valuation method. The 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.

 

 

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, 2017 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  $223,671,517   $   $   $223,671,517 
Money Market Fund   11,750,694            11,750,694 
Total  $235,422,211   $   $   $235,422,211 
                     
Global Atlantic Balanced Managed Risk Portfolio 
                     
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $90,888,439   $   $   $90,888,439 
Money Market Fund   4,551,379            4,551,379 
Total  $95,439,818   $   $   $95,439,818 
                     
Global Atlantic BlackRock Global Allocation Managed Risk Portfolio 
                     
Assets  Level 1   Level 2   Level 3   Total 
Variable Insurance Trusts  $269,792,689   $   $   $269,792,689 
Money Market Fund   12,643,700            12,643,700 
Total  $282,436,389   $   $   $282,436,389 
                     
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $200,590,385   $   $   $200,590,385 
Asset Backed Securities       12,867,914        12,867,914 
Corporate Bonds       25,733,257        25,733,257 
Term Loans       2,647,364        2,647,364 
Mortgage Backed Securities       16,827,968        16,827,968 
Sovereign Debt       298,922        298,922 
U.S. Treasury Securities       13,110,153        13,110,153 
Short Term Investments   20,912,987            20,912,987 
Interest Rate Swap       9,461        9,461 
Credit Default Swaps       5,407        5,407 
Total Return Swap       14,620        14,620 
Total  $221,503,372   $71,515,066   $   $293,018,438 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Mortgage Backed Securities - Short  $   $821,255   $   $821,255 
Futures Contracts*   65,273            65,273 
Forward Exchange Contracts   95,972            95,972 
Total  $161,245   $821,255   $   $982,500 

 

 

Global Atlantic Goldman Sachs Dynamic Trends Allocation Portfolio

 

Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $11,314,802   $   $   $11,314,802 
U.S. Treasury Note       11,789,539        11,789,539 
Purchased Options   117,261            117,261 
Short Term Investment   7,821,851            7,821,851 
Futures Contracts *   232,698            232,698 
Total  $19,486,612   $11,789,539   $   $31,276,151 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Written Options  $18,885   $   $   $18,885 
Total  $18,885   $   $   $18,885 
                     
Global Atlantic Growth Managed Risk Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $451,434,472   $   $   $451,434,472 
Money Market Fund   23,367,810            23,367,810 
Total  $474,802,282   $   $   $474,802,282 
                     
Global Atlantic Moderate Growth Managed Risk Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $141,678,429   $   $   $141,678,429 
Money Market Fund   7,600,537            7,600,537 
Total  $149,278,966   $   $   $149,278,966 
                     
Global Atlantic Motif Aging of America Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $116,176   $   $   $116,176 
Money Market Fund   564            564 
Total  $116,740   $   $   $116,740 
                     
Global Atlantic Motif Real Estate Trends Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $97,032   $   $   $97,032 
Money Market Fund   2,029            2,029 
Total  $99,061   $   $   $99,061 
                     
Global Atlantic Motif Technological Innovations Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Common Stocks  $133,794   $   $   $133,794 
Money Market Fund   475            475 
Total  $134,269   $   $   $134,269 

 

 

Global Atlantic PIMCO Tactical Allocation Portfolio

 

Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $7,347,573   $   $   $7,347,573 
Asset Backed Securities       798,278        798,278 
Corporate Bonds       2,525,782        2,525,782 
Municipal Bond       32,474        32,474 
Mortgage Backed Securities       5,785,641        5,785,641 
Collateralized Mortgage Obligations       761,509        761,509 
Commercial Mortgage Backed Securities       175,097        175,097 
U.S. Treasury Securities       9,635,209        9,635,209 
Purchased Options   122,761            122,761 
Short Term Investments   543,972    1,496,530        2,040,502 
Futures Contracts*   162,734            162,734 
Interest Rate Floor       498        498 
Interest Rate Swaps       103,680        103,680 
Credit Default Swaps       15,286        15,286 
Swaption Written       1,362        1,362 
Total  $8,177,040   $21,331,346   $   $29,508,386 
                     
Liabilities  Level 1   Level 2   Level 3   Total 
Forward Exchange Contracts  $   $5,329   $    5,329 
Total  $   $5,329   $   $5,329 
                     
Global Atlantic Select Advisor Managed Risk Portfolio 
  
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $20,127,809   $   $   $20,127,809 
Variable Insurance Trusts   91,627,506            91,627,506 
Money Market Fund   5,666,802            5,666,802 
Total  $117,422,117   $   $   $117,422,117 

 

 

Global Atlantic Wellington Research Managed Risk Portfolio

 

Assets  Level 1   Level 2   Level 3   Total 
Common Stock  $289,062,709   $   $   $289,062,709 
Exchange Traded Funds   1,570,439            1,570,439 
Preferred Stock       81,570        81,570 
Asset Backed Securities       18,391,493        18,391,493 
Corporate Bonds       55,633,913        55,633,913 
Collateralized Mortgage Obligations       787,162        787,162 
Commercial Mortgage Backed Securities       6,361,984        6,361,984 
Mortgage Backed Securities       36,547,993        36,547,993 
Municipal Securities       5,256,543        5,256,543 
Sovereign Debt       2,273,373        2,273,373 
U.S. Treasury Securities       24,888,155        24,888,155 
Warrant   39,668            39,668 
Short Term Investments   42,327,232            42,327,232 
Futures Contracts *   60,586            60,586 
Total  $333,060,634   $150,222,186   $   $483,282,820 
                     
Global Atlantic Wilshire Dynamic Conservative Allocation Portfolio 
                     
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $13,664   $   $   $13,664 
Variable Insurance Trusts   13,676            13,676 
Money Market Fund   209            209 
Total  $27,549   $   $   $27,549 
                     
Global Atlantic Wilshire Dynamic Global Allocation Portfolio 
                     
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $18,417   $   $   $18,417 
Variable Insurance Trusts   9,814            9,814 
Money Market Fund   168            168 
Total  $28,399   $   $   $28,399 
                     
Global Atlantic Wilshire Dynamic Growth Allocation Portfolio 
                     
Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $146,696   $   $   $146,696 
Variable Insurance Trusts   120,352            120,352 
Money Market Fund   1,468            1,468 
Total  $268,516   $   $   $268,516 

 

 

Global Atlantic Wilshire Dynamic Moderate Allocation Portfolio

 

Assets  Level 1   Level 2   Level 3   Total 
Exchange Traded Funds  $14,361   $   $   $14,361 
Variable Insurance Trusts   13,590            13,590 
Money Market Fund   295            295 
Total  $28,246   $   $   $28,246 

 

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

 

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

 

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

 

The following amounts were transfers in/(out) of Level 2 Assets:
 
Global Atlantic Wilshire Dynamic Global Allocation Portfolio
   Mutual Funds   Total 
Transfers into Level 2 from Level 1  $   $ 
Transfers from Level 2 into Level 1   (1,119)   (1,119)
Net Transfer In/Out of Level 2  $(1,119)  $(1,119)

 

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.

 

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

 

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

 

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

 

 

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

 

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

 

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

 

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

 

 

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

 

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

 

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

 

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 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.

 

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

 

 

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

 

The notional value and unrealized appreciation/(depreciation) of the derivative instruments outstanding as of September 30, 2017, as disclosed in the Portfolios of Investments, serve as indicators of the volume of derivative activity for the Portfolios.

 

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

 

Derivatives Risk – A Portfolio’s use of derivatives may increase costs, reduce the Portfolio’s returns and/or increase volatility. Volatility is defined as the characteristic of a security, an index or a market to fluctuate significantly in price within a short time period. Many types of derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. A risk of the Portfolio’s use of derivatives is that the fluctuations in their values may not correlate perfectly with, and may be more sensitive to market events than, the overall securities markets. The possible lack of a liquid secondary market for derivatives and the resulting inability to sell or otherwise close-out a derivatives position at an advantageous time or price could expose the Portfolio to losses and could make derivatives more difficult to value accurately. Derivatives typically give rise to a form of leverage and may expose the Portfolio to greater risk and increase its costs. The Dodd-Frank Wall Street Reform and Consumer Protection Act (the “Dodd-Frank Act”) and related regulatory requirements require the clearing and exchange trading of many standardized OTC derivative instruments deemed to be “swaps.” The Commodity Future Trading Commission (“CFTC”) has implemented mandatory exchange-trading and clearing requirements under the Dodd-Frank Act and the CFTC continues to approve contracts for central clearing. Uncleared swaps are subject to margin requirements that are being implemented on a phase in basis. In December 2015, the SEC proposed new regulations relating to a mutual fund’s use of derivatives and related instruments. These and other regulatory developments relating to a mutual fund’s use of derivatives may limit the availability or reduce the liquidity of derivatives, or may otherwise adversely affect the value or performance of derivatives and the Portfolios. The December 2015 proposed new regulations may also make a mutual fund’s use of derivatives more costly. The regulation of the derivatives markets has increased over the past several years, and there can be no assurance that any new governmental regulation will not adversely affect a Portfolio’s ability to achieve its investment result.

 

 

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

 

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

 

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

 

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

 

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

 

 

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 Arena

Robert Arena, Principal Executive Officer

 

Date 11/27/2017

 

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 Arena

Robert Arena, Principal Executive Officer

 

Date 11/27/2017

 

By (Signature and Title)

*/s/ Laura Szalyga

Laura Szalyga, Principal Financial Officer

 

Date 11/27/2017

 

 

 

 

 

 


Dates Referenced Herein

This ‘N-Q’ Filing    Date    Other Filings
Filed on / Effective on:11/29/17None on these Dates
For Period End:9/30/17
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