Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2020 (UNAUDITED)
|
PRINCIPAL AMOUNT | VALUE | |||||||
CORPORATE BONDS (3.0%) | ||||||||
Communication Services (0.6%) | ||||||||
135,000 | Alphabet, Inc.^ | $ | 147,542 | |||||
|
| |||||||
Consumer Discretionary (1.2%) | ||||||||
53,000 | Dana, Inc.^ | 47,023 | ||||||
100,000 | Home Depot, Inc.^ | 103,205 | ||||||
95,000 | L Brands, Inc. | 88,294 | ||||||
25,000 | Low e’s Companies, Inc.^ | 26,334 | ||||||
|
| |||||||
264,856 | ||||||||
|
| |||||||
Consumer Staples (0.6%) | ||||||||
135,000 | Walmart, Inc. | 144,685 | ||||||
|
| |||||||
Financials (0.2%) | ||||||||
50,000 | Berkshire Hathaw ay, Inc. | 52,105 | ||||||
|
| |||||||
Health Care (0.1%) | ||||||||
30,000 | Universal Health Services, Inc.* | 29,839 | ||||||
|
| |||||||
Information Technology (0.3%) | ||||||||
65,000 | Apple, Inc. | 70,647 | ||||||
|
| |||||||
TOTAL CORPORATE BONDS (Cost $700,669) | 709,674 | |||||||
|
| |||||||
CONVERTIBLE BONDS (12.0%) | ||||||||
Communication Services (3.1%) | ||||||||
110,000 | GCI Liberty, Inc.* | 138,696 | ||||||
Liberty Media Corp. | ||||||||
125,000 | 2.250%, 09/30/46 | 59,952 | ||||||
90,000 | 1.375%, 10/15/23 | 86,531 | ||||||
63,000 | 2.750%, 12/01/49* | 54,268 | ||||||
65,000 | Liberty Media Corp. (Sirius XM Holdings, Inc.)*§ | 59,253 | ||||||
105,000 | Liberty Media Corp. / Liberty Formula One^ | 99,547 | ||||||
27,000 | Live Nation Entertainment, Inc. | 25,568 | ||||||
55,000 | Sea, Ltd.* | 61,443 | ||||||
52,000 | Snap, Inc.* | 45,881 | ||||||
26,000 | Tw itter, Inc. | 23,255 | ||||||
65,000 | Zynga, Inc.* | 67,627 | ||||||
|
| |||||||
722,021 | ||||||||
|
|
PRINCIPAL AMOUNT | VALUE | |||||||
Consumer Discretionary (0.7%) | ||||||||
25,000 | Chegg, Inc.* | $ | 23,799 | |||||
28,000 | DISH Netw ork Corp. | 22,712 | ||||||
80,000 | Etsy, Inc.^* | 65,837 | ||||||
15,000 | Guess, Inc.* | 8,885 | ||||||
55,000 | Winnebago Industries, Inc.^* | 41,740 | ||||||
|
| |||||||
162,973 | ||||||||
|
| |||||||
Financials (2.0%) | ||||||||
50,000 | Ares Capital Corp. | 43,707 | ||||||
JPMorgan Chase Bank, N.A. | ||||||||
200,000 | 0.000%, 12/30/20 | 206,493 | ||||||
70,000 | 0.125%, 01/01/23^* | 72,067 | ||||||
155,000 | JPMorgan Chase Financial Company, LLC (Voya Financial, Inc.)*§ | 145,317 | ||||||
|
| |||||||
467,584 | ||||||||
|
| |||||||
Health Care (1.3%) | ||||||||
23,000 | BioMarin Pharmaceutical, Inc. | 24,382 | ||||||
32,000 | CONMED Corp.^ | 29,932 | ||||||
65,000 | Exact Sciences Corp.^ | 54,847 | ||||||
65,000 | Insulet Corp.^* | 65,963 | ||||||
38,000 | NanoString Technologies, Inc.* | 32,827 | ||||||
21,000 | Neurocrine Biosciences, Inc.^ | 26,888 | ||||||
26,000 | NuVasive, Inc.* | 22,093 | ||||||
36,000 | Repligen Corp. | 37,983 | ||||||
|
| |||||||
294,915 | ||||||||
|
| |||||||
Industrials (0.3%) | ||||||||
55,000 | Air Transport Services Group, Inc. | 47,392 | ||||||
35,000 | Chart Industries, Inc.* | 27,273 | ||||||
|
| |||||||
74,665 | ||||||||
|
| |||||||
Information Technology (3.8%) | ||||||||
60,000 | Akamai Technologies, Inc.* | 59,803 | ||||||
42,000 | Alteryx, Inc.^* | 37,187 | ||||||
80,000 | Coupa Softw are, Inc.^* | 88,603 | ||||||
55,000 | DocuSign, Inc.^ | 77,275 | ||||||
23,000 | II-VI, Inc. | 21,189 |
See accompanying Notes to Schedule of Investments
1
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2020 (UNAUDITED)
|
PRINCIPAL AMOUNT | VALUE | |||||||
55,000 | Lumentum Holdings, Inc.* | $ | 55,879 | |||||
80,000 | Microchip Technology, Inc. | 82,927 | ||||||
50,000 | MongoDB, Inc.^* | 48,519 | ||||||
65,000 | Okta, Inc.* | 62,251 | ||||||
34,000 | ON Semiconductor Corp.^ | 33,936 | ||||||
27,000 | Proofpoint, Inc.* | 25,512 | ||||||
26,000 | Q2 Holdings, Inc.* | 23,137 | ||||||
40,000 | RingCentral, Inc.* | 37,151 | ||||||
58,000 | Silicon Laboratories, Inc.^ | 64,457 | ||||||
35,000 | Splunk, Inc.^ | 37,520 | ||||||
23,000 | Wix.com, Ltd.^ | 22,700 | ||||||
46,000 | Workday, Inc. | 51,173 | ||||||
32,000 | Zendesk, Inc.^ | 37,865 | ||||||
|
| |||||||
867,084 | ||||||||
|
| |||||||
Real Estate (0.3%) | ||||||||
70,000 | IH Merger Sub, LLC | 74,457 | ||||||
|
| |||||||
Utilities (0.5%) | ||||||||
120,000 | NRG Energy, Inc.^ | 115,982 | ||||||
|
| |||||||
TOTAL CONVERTIBLE BONDS (Cost $2,984,886) | 2,779,681 | |||||||
|
| |||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (0.6%) | ||||||||
United States Treasury Note |
| |||||||
66,000 | 2.000%, 11/15/26 | 72,321 | ||||||
63,000 | 1.625%, 05/15/26^ | 67,280 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $126,773) | 139,601 | |||||||
|
| |||||||
NUMBER OF SHARES | VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (8.4%) | ||||||||
Consumer Staples (0.1%) | ||||||||
420 | Energizer Holdings, Inc.^ | 28,518 | ||||||
|
| |||||||
Financials (0.4%) | ||||||||
1,180 | AMG Capital Trust II | 33,992 | ||||||
620 | Assurant, Inc.^ | 66,018 | ||||||
|
| |||||||
100,010 | ||||||||
|
|
NUMBER OF SHARES | VALUE | |||||||
Health Care (0.9%) | ||||||||
1,300 | Becton Dickinson and Company | $ | 67,964 | |||||
130 | Danaher Corp. | 134,309 | ||||||
|
| |||||||
202,273 | ||||||||
|
| |||||||
Industrials (1.3%) | ||||||||
175 | Fortive Corp. | 125,953 | ||||||
Stanley Black & Decker, Inc.^ | ||||||||
1,316 | 5.250%, 11/15/22 | 92,067 | ||||||
1,165 | 5.375%, 05/15/20 | 84,637 | ||||||
|
| |||||||
302,657 | ||||||||
|
| |||||||
Information Technology (1.1%) |
| |||||||
260 | Broadcom, Inc.^ | 242,934 | ||||||
|
| |||||||
Real Estate (1.0%) | ||||||||
185 | Crow n Castle International Corp. | 239,575 | ||||||
|
| |||||||
Utilities (3.6%) | ||||||||
4,095 | American Electric Pow er Company, Inc. | 197,584 | ||||||
875 | CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)§** | 42,540 | ||||||
1,890 | Dominion Energy, Inc. | 173,899 | ||||||
2,140 | DTE Energy Company | 84,676 | ||||||
4,935 | NextEra Energy, Inc. | 244,909 | ||||||
Sempra Energy | ||||||||
550 | 6.750%, 07/15/21 | 51,661 | ||||||
400 | 6.000%, 01/15/21 | 37,939 | ||||||
|
| |||||||
833,208 | ||||||||
|
| |||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $2,182,847) | 1,949,175 | |||||||
|
| |||||||
COMMON STOCKS (69.6%) | ||||||||
Communication Services (7.3%) |
| |||||||
535 | Alphabet, Inc. - Class A# | 621,643 | ||||||
2,950 | AT&T, Inc. | 85,993 | ||||||
4,275 | Comcast Corp. - Class A | 146,974 | ||||||
2,255 | Facebook, Inc. - Class A# | 376,134 | ||||||
375 | Netflix, Inc.# | 140,813 | ||||||
3,610 | Verizon Communications, Inc. | 193,965 | ||||||
1,250 | Walt Disney Company | 120,750 | ||||||
|
| |||||||
1,686,272 | ||||||||
|
| |||||||
Consumer Discretionary (8.2%) |
| |||||||
260 | Alibaba Group Holding, Ltd.# | 50,565 | ||||||
450 | Amazon.com, Inc.#~ | 877,374 | ||||||
740 | Aptiv, PLC | 36,438 | ||||||
620 | Dollar Tree, Inc.# | 45,551 | ||||||
1,450 | General Motors Company | 30,131 | ||||||
1,500 | Home Depot, Inc. | 280,065 |
See accompanying Notes to Schedule of Investments
2
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2020 (UNAUDITED)
|
NUMBER OF SHARES | VALUE | |||||||
1,195 | Low e’s Companies, Inc. | $ | 102,830 | |||||
650 | McDonald’s Corp. | 107,477 | ||||||
1,340 | Nike, Inc. - Class B | 110,872 | ||||||
505 | Royal Caribbean Cruises, Ltd. | 16,246 | ||||||
895 | Starbucks Corp. | 58,837 | ||||||
1,420 | Target Corp. | 132,017 | ||||||
1,310 | TJX Companies, Inc. | 62,631 | ||||||
|
| |||||||
1,911,034 | ||||||||
|
| |||||||
Consumer Staples (5.6%) | ||||||||
4,735 | Coca-Cola Company | 209,524 | ||||||
480 | Costco Wholesale Corp. | 136,862 | ||||||
2,930 | Mondelez International, Inc. - Class A | 146,734 | ||||||
1,685 | PepsiCo, Inc. | 202,369 | ||||||
1,900 | Philip Morris International, Inc. | 138,624 | ||||||
2,540 | Procter & Gamble Company | 279,400 | ||||||
1,570 | Walmart, Inc. | 178,383 | ||||||
|
| |||||||
1,291,896 | ||||||||
|
| |||||||
Energy (1.9%) | ||||||||
2,925 | Chevron Corp. | 211,945 | ||||||
1,520 | ConocoPhillips | 46,816 | ||||||
1,920 | Hess Corp. | 63,936 | ||||||
2,655 | Kinder Morgan, Inc. | 36,958 | ||||||
1,505 | Marathon Petroleum Corp. | 35,548 | ||||||
830 | Pioneer Natural Resources Company | 58,225 | ||||||
|
| |||||||
453,428 | ||||||||
|
| |||||||
Financials (7.5%) | ||||||||
3,970 | American International Group, Inc. | 96,273 | ||||||
9,845 | Bank of America Corp. | 209,009 | ||||||
1,115 | Bank of New York Mellon Corp. | 37,553 | ||||||
600 | Berkshire Hathaw ay, Inc. - Class B# | 109,698 | ||||||
1,335 | Capital One Financial Corp. | 67,311 | ||||||
565 | Cboe Global Markets, Inc. | 50,426 | ||||||
900 | Charles Schw ab Corp. | 30,258 | ||||||
545 | Chubb, Ltd. | 60,871 | ||||||
2,835 | Citigroup, Inc. | 119,410 | ||||||
570 | Discover Financial Services | 20,332 | ||||||
585 | Goldman Sachs Group, Inc. | 90,435 | ||||||
1,515 | Intercontinental Exchange, Inc. | 122,336 | ||||||
3,145 | JPMorgan Chase & Company | 283,144 | ||||||
3,935 | KeyCorp | 40,806 | ||||||
1,555 | Marsh & McLennan Companies, Inc. | 134,445 | ||||||
2,065 | Morgan Stanley | 70,210 | ||||||
510 | Northern Trust Corp. | 38,485 | ||||||
2,318 | Starw ood Property Trust, Inc. | 23,760 | ||||||
2,855 | US Bancorp | 98,355 | ||||||
1,590 | Zions Bancorporation, N.A. | 42,548 | ||||||
|
| |||||||
1,745,665 | ||||||||
|
| |||||||
Health Care (10.5%) | ||||||||
350 | Abbott Laboratories | 27,618 | ||||||
1,575 | Agilent Technologies, Inc. | 112,801 | ||||||
505 | Amgen, Inc. | 102,379 | ||||||
215 | Anthem, Inc. | 48,814 | ||||||
2,435 | Baxter International, Inc. | 197,698 | ||||||
1,745 | Bristol-Myers Squibb Company | 97,266 | ||||||
315 | Edw ards Lifesciences Corp.# | 59,415 | ||||||
745 | Gilead Sciences, Inc. | 55,696 | ||||||
350 | Humana, Inc. | 109,907 |
NUMBER OF SHARES | VALUE | |||||||
145 | Intuitive Surgical, Inc.# | $ | 71,805 | |||||
1,705 | Johnson & Johnson | 223,577 | ||||||
815 | Laboratory Corp. of America Holdings# | 103,008 | ||||||
2,060 | Medtronic, PLC | 185,771 | ||||||
2,915 | Merck & Company, Inc. | 224,280 | ||||||
4,955 | Pfizer, Inc. | 161,731 | ||||||
230 | Stryker Corp. | 38,293 | ||||||
100 | Teleflex, Inc. | 29,286 | ||||||
435 | Thermo Fisher Scientific, Inc. | 123,366 | ||||||
1,595 | UnitedHealth Group, Inc. | 397,761 | ||||||
305 | Vertex Pharmaceuticals, Inc.# | 72,575 | ||||||
|
| |||||||
2,443,047 | ||||||||
|
| |||||||
Industrials (7.0%) | ||||||||
845 | Boeing Company | 126,023 | ||||||
4,145 | CSX Corp. | 237,509 | ||||||
6,300 | General Electric Company | 50,022 | ||||||
1,610 | Honeyw ell International, Inc. | 215,402 | ||||||
820 | Lockheed Martin Corp. | 277,939 | ||||||
6,150 | Masco Corp. | 212,606 | ||||||
790 | Northrop Grumman Corp. | 239,014 | ||||||
720 | Raytheon Company | 94,428 | ||||||
1,245 | Union Pacific Corp. | 175,595 | ||||||
|
| |||||||
1,628,538 | ||||||||
|
| |||||||
Information Technology (19.5%) |
| |||||||
820 | Accenture, PLC - Class A | 133,873 | ||||||
335 | Adobe, Inc.#~ | 106,610 | ||||||
3,950 | Apple, Inc. | 1,004,445 | ||||||
3,605 | Cisco Systems, Inc. | 141,713 | ||||||
1,375 | Fidelity National Information Services, Inc. | 167,255 | ||||||
495 | Global Payments, Inc. | 71,394 | ||||||
1,955 | Intel Corp. | 105,805 | ||||||
639 | Lam Research Corp. | 153,360 | ||||||
1,335 | Marvell Technology Group, Ltd. | 30,211 | ||||||
1,030 | MasterCard, Inc. - Class A | 248,807 | ||||||
2,495 | Micron Technology, Inc.# | 104,940 | ||||||
7,905 | Microsoft Corp.~ | 1,246,698 | ||||||
675 | NVIDIA Corp. | 177,930 | ||||||
1,410 | Oracle Corp. | 68,145 | ||||||
765 | QUALCOMM, Inc. | 51,752 | ||||||
985 | Salesforce.com, Inc.# | 141,820 | ||||||
250 | ServiceNow , Inc.# | 71,645 | ||||||
510 | Skyw orks Solutions, Inc. | 45,584 | ||||||
995 | Taiw an Semiconductor Manufacturing Company, Ltd. (ADR) | 47,551 | ||||||
2,500 | Visa, Inc. - Class A | 402,800 | ||||||
|
| |||||||
4,522,338 | ||||||||
|
| |||||||
Materials (1.0%) | ||||||||
895 | Corteva, Inc.# | 21,033 | ||||||
985 | Linde, PLC | 170,405 | ||||||
460 | PPG Industries, Inc. | 38,456 | ||||||
|
| |||||||
229,894 | ||||||||
|
| |||||||
Real Estate (1.0%) | ||||||||
945 | American Tower Corp. | 205,774 | ||||||
805 | Welltower, Inc. | 36,853 | ||||||
|
| |||||||
242,627 | ||||||||
|
| |||||||
Utilities (0.1%) | ||||||||
465 | Essential Utilities, Inc.# | 24,905 | ||||||
|
|
See accompanying Notes to Schedule of Investments
3
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2020 (UNAUDITED)
|
NUMBER OF SHARES | VALUE | |||||||
TOTAL COMMON STOCKS (Cost $12,680,242) | $ | 16,179,644 | ||||||
|
| |||||||
EXCHANGE-TRADED FUND (0.7%) |
| |||||||
Other (0.7%) | ||||||||
3,095 | iShares MSCI EAFE ETF (Cost $211,053) | 165,459 | ||||||
|
| |||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | |||||||
PURCHASED OPTIONS (1.2%) # | ||||||||
Consumer Staples (0.0%) | ||||||||
| 6 34,722 | Tyson Foods, Inc. Call, 04/17/20, Strike $95.00 | 30 | |||||
|
| |||||||
Financials (0.0%) | ||||||||
| 18 60,624 | Bank of New York Mellon Corp. Call, 06/19/20, Strike $50.00 | 171 | |||||
|
| |||||||
Other (1.2%) | ||||||||
| 163 611,902 | iShares ChinaLarge-Cap ETF Call, 09/18/20, Strike $43.00 | 9,047 | |||||
| 15 51,195 | iShares MSCI Emerging Markets Call, 05/15/20, Strike $46.00 | 15 | |||||
| 20 228,920 | | iShares Russell 2000 ETF Call, 04/17/20, Strike $172.00 | 130 | ||||
S&P 500 Index | ||||||||
| 5 1,292,295 | Put, 04/20/20, Strike $2,800.00 | 110,541 | |||||
| 2 516,918 | Put, 05/29/20, Strike $3,310.00 | 149,330 | |||||
|
| |||||||
269,063 | ||||||||
|
| |||||||
TOTAL PURCHASED OPTIONS (Cost $156,464) | 269,264 | |||||||
|
| |||||||
NUMBER OF SHARES | VALUE | |||||||
SHORT TERM INVESTMENTS (5.5%) | ||||||||
644,030 | Fidelity Prime Money Market Fund - Institutional Class, 0.610%*** | 644,094 | ||||||
643,189 | Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 0.250%*** | 643,189 | ||||||
|
| |||||||
TOTAL SHORT TERM INVESTMENTS (Cost $1,287,430) | 1,287,283 | |||||||
|
|
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (7.3%) | | ||||||
1,691,502 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $1,691,502) | $ | 1,691,502 | |||||
|
| |||||||
| TOTAL INVESTMENTS (108.3%) | 25,171,283 | ||||||
|
| |||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-7.3%) | (1,691,502) | ||||||
LIABILITIES, LESS OTHER ASSETS(-1.0%) | (234,372) | |||||||
|
| |||||||
NET ASSETS (100.0%) | $ | 23,245,409 | ||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS |
^ Security, or portion of security, is on loan. |
* Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherw ise exempted from such registration requirements. |
§ Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical. |
** Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate show n is the rate in effect at March 31, 2020. |
# Non-income producing security. |
~ Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options. The aggregate value of such securities is $49,519. |
*** The rate disclosed is the 7 day net yield as of March 31, 2020. |
† Represents investment of cash collateral received from securities on loan as of March 31, 2020. |
Note: The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.
See accompanying Notes to Schedule of Investments
4
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS MARCH 31, 2020 (UNAUDITED)
|
FORWARD FOREIGN CURRENCY CONTRACTS |
| |||||||||||||||||
COUNTERPARTY | LONG CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | |||||||||||||
Bank of New York | Hong Kong Dollar | 04/23/20 | 344,000 | $ | 44,367 | $ | 160 | |||||||||||
State Street Bank and Trust | Hong Kong Dollar | 04/23/20 | 278,000 | 35,855 | 38 | |||||||||||||
Bank of New York | Hong Kong Dollar | 04/23/20 | 234,000 | 30,180 | 75 | |||||||||||||
Bank of New York | Hong Kong Dollar | 04/23/20 | 166,000 | 21,410 | 106 | |||||||||||||
Northern Trust Company | New Taiwanese Dollar | 04/23/20 | 212,000 | 7,023 | (2) | |||||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 04/23/20 | 116,000 | 3,843 | (34) | |||||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 04/23/20 | 102,000 | 3,379 | 5 | |||||||||||||
|
| |||||||||||||||||
$ | 348 | |||||||||||||||||
|
| |||||||||||||||||
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | |||||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 04/23/20 | 130,000 | $ | 4,306 | $ | 23 | |||||||||||
Goldman Sachs & Co. | Hong Kong Dollar | 04/23/20 | 156,000 | 20,120 | (36) | |||||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 04/23/20 | 1,704,000 | 56,447 | 998 | |||||||||||||
State Street Bank and Trust | Hong Kong Dollar | 04/23/20 | 1,387,000 | 178,887 | (530) | |||||||||||||
|
| |||||||||||||||||
$ | 455 | |||||||||||||||||
|
|
See accompanying Notes to Schedule of Investments
5
Note 1 – Organization and Significant Accounting Policies
Organization. CALAMOS ADVISORS TRUST (the “Trust”), a Massachusetts business trust organized February 17, 1999, consists of a single series,Calamos Growth and Income Portfolio(the “Portfolio”), which commenced operations on May 19, 1999.
The Trust currently offers the Portfolio’s shares to certain life insurance companies for allocation to certain separate accounts established for the purpose of funding qualified andnon-qualified variable annuity contracts and variable life insurance contracts. The Portfolio seeks high long-term total return through growth and current income.
The Portfolio invests primarily in a diversified portfolio of convertible instruments (including synthetic convertible instruments), equity and fixed-income securities of U.S. companies without regard to market capitalization. In pursuing its investment objective, the Portfolio attempts to utilize these different types of securities to strike, in the investment adviser’s opinion, the appropriate balance between risk and return in terms of growth and income.
Significant Accounting Policies. The schedule of investments have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Portfolio:
Portfolio Valuation. The valuation of the Portfolio’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in theover-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Portfolio determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in theover-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at themid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Eachover-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.
Fixed income securities, bank loans, certain convertible preferred securities, andnon-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, andnon-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange orover-the-counter prices.
Trading on European and Far Eastern exchanges andover-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or inover-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Portfolio determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Portfolio’s NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.
The Portfolio also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Portfolio’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).
Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.
Option Transactions. For hedging and investment purposes, the Portfolio may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Portfolio pays a premium whether or not the option is exercised. Additionally, the Portfolio bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Portfolio as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.
Forward Foreign Currency Contracts.The Portfolio may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the
foreign currency relative to the U.S. dollar and the ability of the counterparty to perform. The net unrealized gain, if any, represents the credit risk to the Portfolio on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates.
As of March 31, 2020, the Portfolio had outstanding forward foreign currency contracts as listed on the Schedule of Investments.
Note 2 – Investments
The cost basis of investments (excluding Investments of Collateral for Securities on Loan) for federal income tax purposes at March 31, 2020 was as follows*:
Cost basis of investments | $22,021,866 | |
Gross unrealized appreciation | 5,407,204 | |
Gross unrealized depreciation | (2,257,787) | |
Net unrealized appreciation (depreciation) | $3,149,417 |
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Portfolio’s most recent semi-annual or annual report.