Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
CONVERTIBLE BONDS (21.5%) | ||||||||||
Communication Services (2.5%) | ||||||||||
43,000 | Eventbrite, Inc.* | $ | 42,301 | |||||||
Liberty Media Corp. | ||||||||||
90,000 | 1.375%, 10/15/23 | 123,026 | ||||||||
31,000 | 0.500%, 12/01/50* | 37,254 | ||||||||
105,000 | Liberty Media Corp. / Liberty Formula One | 149,462 | ||||||||
27,000 | Live Nation Entertainment, Inc. | 39,092 | ||||||||
43,000 | Magnite, Inc.* | 36,298 | ||||||||
102,000 | Sea, Ltd. | 103,415 | ||||||||
140,000 | Snap, Inc.* | 161,567 | ||||||||
47,000 | Twitter, Inc. | 59,107 | ||||||||
65,000 | Zynga, Inc. | 74,235 | ||||||||
|
| |||||||||
825,757 | ||||||||||
|
| |||||||||
Consumer Discretionary (5.5%) | ||||||||||
38,000 | Bloomin’ Brands, Inc. | 86,093 | ||||||||
194,000 | Booking Holdings, Inc.^ | 284,984 | ||||||||
100,000 | Burlington Stores, Inc. | 147,938 | ||||||||
85,000 | Chegg, Inc. | 83,842 | ||||||||
25,000 | Dick’s Sporting Goods, Inc. | 91,760 | ||||||||
85,000 | DraftKings, Inc.* | 75,008 | ||||||||
47,000 | Etsy, Inc. | 61,925 | ||||||||
85,000 | Ford Motor Company* | 91,775 | ||||||||
38,000 | MakeMyTrip, Ltd.* | 37,557 | ||||||||
95,000 | Marriott Vacations Worldwide | 106,564 | ||||||||
175,000 | Royal Caribbean Cruises, Ltd. | 246,636 | ||||||||
85,000 | Shake Shack, Inc.* | 72,967 | ||||||||
7,000 | Tesla, Inc. | 87,465 | ||||||||
50,000 | Under Armour, Inc. | 92,636 | ||||||||
95,000 | Vail Resorts, Inc.* | 101,837 | ||||||||
70,000 | Vroom, Inc.* | 56,366 | ||||||||
48,000 | Wayfair, Inc. | 47,993 | ||||||||
40,000 | Winnebago Industries, Inc. | 53,153 | ||||||||
|
| |||||||||
1,826,499 | ||||||||||
|
|
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
Consumer Staples (0.2%) | ||||||||||
85,000 | Beyond Meat, Inc.* | $ | 73,636 | |||||||
|
| |||||||||
Energy (0.9%) | ||||||||||
55,000 | EQT Corp.^ | 86,879 | ||||||||
130,000 | Pioneer Natural Resources Company | 209,967 | ||||||||
|
| |||||||||
296,846 | ||||||||||
|
| |||||||||
Financials (0.4%) | ||||||||||
50,000 | Ares Capital Corp.^ | 55,410 | ||||||||
70,000 | Realogy Group, LLC / Realogy Co-Issuer Corp.* | 70,584 | ||||||||
|
| |||||||||
125,994 | ||||||||||
|
| |||||||||
Health Care (2.7%) | ||||||||||
32,000 | CONMED Corp. | 49,658 | ||||||||
80,000 | Dexcom, Inc. | 95,296 | ||||||||
52,000 | Envista Holdings Corp. | 108,229 | ||||||||
65,000 | Exact Sciences Corp. | 73,975 | ||||||||
44,000 | Halozyme Therapeutics, Inc.* | 39,975 | ||||||||
65,000 | Insulet Corp. | 90,888 | ||||||||
46,000 | Integra LifeSciences Holdings 0.500%, 08/15/25 | 50,869 | ||||||||
55,000 | Jazz Investments I, Ltd. | 63,602 | ||||||||
80,000 | NeoGenomics, Inc. | 80,638 | ||||||||
50,000 | Oak Street Health, Inc.* | 45,346 | ||||||||
70,000 | Omnicell, Inc. | 111,973 | ||||||||
95,000 | Pacira BioSciences, Inc. | 102,498 | ||||||||
|
| |||||||||
912,947 | ||||||||||
|
| |||||||||
Industrials (3.6%) | ||||||||||
60,000 | Air Canada | 85,891 | ||||||||
55,000 | Air Transport Services Group, Inc. | 59,412 | ||||||||
17,000 | Chart Industries, Inc.* | 55,751 | ||||||||
100,000 | JetBlue Airways Corp.* | 98,217 | ||||||||
140,000 | John Bean Technologies Corp.* | 148,173 | ||||||||
115,000 | Middleby Corp. | 164,669 | ||||||||
275,000 | Southwest Airlines Company | 411,331 |
See accompanying Notes to Schedule of Investments
1
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2021 (UNAUDITED)
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
185,000 | Uber Technologies, Inc.* | $ | 180,462 | |||||||
|
| |||||||||
1,203,906 | ||||||||||
|
| |||||||||
Information Technology (4.9%) | ||||||||||
Bill.com Holdings, Inc.* | ||||||||||
48,000 | 0.000%, 04/01/27 | 50,342 | ||||||||
41,000 | 0.000%, 12/01/25 | 72,834 | ||||||||
75,000 | Coupa Software, Inc. | 81,143 | ||||||||
28,000 | Datadog, Inc. | 46,185 | ||||||||
Enphase Energy, Inc.* | ||||||||||
65,000 | 0.000%, 03/01/28 | 60,224 | ||||||||
29,000 | 0.000%, 03/01/26 | 27,117 | ||||||||
25,000 | Five9, Inc. | 33,724 | ||||||||
65,000 | Itron, Inc.* | 61,075 | ||||||||
80,000 | LivePerson, Inc.* | 83,447 | ||||||||
150,000 | Microchip Technology, Inc. | 170,248 | ||||||||
30,000 | Nova Measuring Instruments, | 43,592 | ||||||||
65,000 | Okta, Inc.^ | 92,031 | ||||||||
ON Semiconductor Corp. | ||||||||||
85,000 | 0.000%, 05/01/27*^ | 101,448 | ||||||||
30,000 | 1.625%, 10/15/23 | 67,653 | ||||||||
50,000 | Palo Alto Networks, Inc. | 82,939 | ||||||||
100,000 | Repay Holdings Corp.* | 97,294 | ||||||||
90,000 | RingCentral, Inc. | 88,875 | ||||||||
64,000 | Shift4 Payments, Inc.* | 76,806 | ||||||||
19,000 | Shopify, Inc. | 23,255 | ||||||||
47,000 | Silicon Laboratories, Inc. | 60,549 | ||||||||
60,000 | Square, Inc.*^ | 68,893 | ||||||||
30,000 | Wix.com, Ltd.^ | 28,939 | ||||||||
30,000 | Workday, Inc. | 51,489 | ||||||||
40,000 | Zscaler, Inc. | 72,996 | ||||||||
|
| |||||||||
1,643,098 | ||||||||||
|
| |||||||||
Materials (0.1%) | ||||||||||
33,000 | MP Materials Corp.* | 33,611 | ||||||||
|
| |||||||||
Real Estate (0.7%) | ||||||||||
70,000 | IH Merger Sub, LLC | 118,250 | ||||||||
45,000 | Pebblebrook Hotel Trust | 50,351 |
PRINCIPAL AMOUNT |
|
| VALUE | |||||||
75,000 | Redfin Corp.* | $ | 74,921 | |||||||
|
| |||||||||
243,522 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE BONDS | 7,185,816 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES |
|
| VALUE | |||||||
CONVERTIBLE PREFERRED STOCKS (8.8%) | ||||||||||
Communication Services (0.7%) | ||||||||||
205 | 2020 Cash Mandatory Exchangeable Trust* | 231,904 | ||||||||
|
| |||||||||
Consumer Discretionary (0.7%) | ||||||||||
1,375 | Aptiv, PLC | 231,687 | ||||||||
|
| |||||||||
Financials (0.9%) | ||||||||||
1,180 | AMG Capital Trust II^ | 68,204 | ||||||||
2,895 | KKR & Company, Inc.^ | 228,734 | ||||||||
|
| |||||||||
296,938 | ||||||||||
|
| |||||||||
Health Care (1.7%) | ||||||||||
1,095 | Avantor, Inc. | 137,872 | ||||||||
1,300 | Boston Scientific Corp. | 151,320 | ||||||||
130 | Danaher Corp. | 263,641 | ||||||||
|
| |||||||||
552,833 | ||||||||||
|
| |||||||||
Industrials (1.2%) | ||||||||||
800 | Colfax Corp. | 149,248 | ||||||||
2,430 | Stanley Black & Decker, Inc.^ | 255,733 | ||||||||
|
| |||||||||
404,981 | ||||||||||
|
| |||||||||
Information Technology (0.8%) | ||||||||||
170 | Broadcom, Inc. | 260,442 | ||||||||
|
| |||||||||
Utilities (2.8%) | ||||||||||
995 | AES Corp.^ | 95,918 | ||||||||
875 | CenterPoint Energy, Inc. (Warner | 56,964 | ||||||||
1,890 | Dominion Energy, Inc. | 183,576 | ||||||||
3,750 | DTE Energy Company | 188,475 | ||||||||
1,945 | Essential Utilities, Inc. | 111,623 | ||||||||
4,095 | NextEra Energy, Inc. | 240,008 |
See accompanying Notes to Schedule of Investments
2
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
1,210 | 6.219%, 09/01/23 | $ | 61,843 | |||||||
|
| |||||||||
938,407 | ||||||||||
|
| |||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $2,349,766) | 2,917,192 | |||||||||
|
| |||||||||
|
| |||||||||
COMMON STOCKS (69.5%) | ||||||||||
Communication Services (8.3%) | ||||||||||
500 | Alphabet, Inc. - Class A# | 1,336,760 | ||||||||
4,275 | Comcast Corp. - Class A | 239,101 | ||||||||
2,015 | Facebook, Inc. - Class A# | 683,871 | ||||||||
375 | Netflix, Inc.# | 228,877 | ||||||||
1,615 | Walt Disney Company#~ | 273,210 | ||||||||
|
| |||||||||
2,761,819 | ||||||||||
|
| |||||||||
Consumer Discretionary (8.0%) | ||||||||||
355 | Amazon.com, Inc.#~ | 1,166,189 | ||||||||
2,245 | General Motors Company# | 118,334 | ||||||||
1,025 | Home Depot, Inc. | 336,466 | ||||||||
785 | Lowe’s Companies, Inc. | 159,245 | ||||||||
560 | McDonald’s Corp. | 135,022 | ||||||||
2,805 | MGM Resorts International | 121,036 | ||||||||
1,340 | NIKE, Inc. - Class B | 194,608 | ||||||||
895 | Starbucks Corp. | 98,727 | ||||||||
650 | Target Corp. | 148,701 | ||||||||
145 | Tesla, Inc.# | 112,445 | ||||||||
1,310 | TJX Companies, Inc. | 86,434 | ||||||||
|
| |||||||||
2,677,207 | ||||||||||
|
| |||||||||
Consumer Staples (4.7%) | ||||||||||
4,990 | Coca-Cola Company | 261,825 | ||||||||
390 | Costco Wholesale Corp. | 175,247 | ||||||||
2,930 | Mondelez International, Inc. - | 170,467 | ||||||||
1,240 | PepsiCo, Inc. | 186,508 | ||||||||
1,740 | Philip Morris International, Inc. | 164,935 | ||||||||
1,910 | Procter & Gamble Company | 267,018 | ||||||||
1,500 | Sysco Corp. | 117,750 | ||||||||
1,570 | Walmart, Inc. | 218,827 | ||||||||
|
| |||||||||
1,562,577 | ||||||||||
|
| |||||||||
Energy (2.2%) | ||||||||||
2,735 | Chevron Corp. | 277,466 | ||||||||
3,480 | Exxon Mobil Corp. | 204,694 | ||||||||
1,920 | Hess Corp. | 149,971 | ||||||||
1,505 | Marathon Petroleum Corp. | 93,024 | ||||||||
|
| |||||||||
725,155 | ||||||||||
|
| |||||||||
Financials (9.6%) | ||||||||||
1,350 | American International Group, Inc. | 74,102 | ||||||||
583 | Assurant, Inc. | 91,968 | ||||||||
8,990 | Bank of America Corp. | 381,625 | ||||||||
125 | BlackRock, Inc. | 104,832 | ||||||||
3,000 | Charles Schwab Corp. | 218,520 | ||||||||
875 | Chubb, Ltd. | 151,795 | ||||||||
3,170 | Citigroup, Inc. | 222,471 | ||||||||
1,140 | Discover Financial Services | 140,049 | ||||||||
495 | Goldman Sachs Group, Inc. | 187,125 | ||||||||
2,375 | Huntington Bancshares, Inc. | 36,718 | ||||||||
1,370 | Intercontinental Exchange, Inc. | 157,303 | ||||||||
3,005 | JPMorgan Chase & Company | 491,888 | ||||||||
3,935 | KeyCorp | 85,075 |
NUMBER OF SHARES |
|
| VALUE | |||||||
1,555 | Marsh & McLennan Companies, Inc. | $ | 235,474 | |||||||
3,680 | Morgan Stanley | 358,101 | ||||||||
510 | Northern Trust Corp. | 54,983 | ||||||||
1,760 | US Bancorp | 104,614 | ||||||||
2,185 | Wells Fargo & Company | 101,406 | ||||||||
|
| |||||||||
3,198,049 | ||||||||||
|
| |||||||||
Health Care (7.4%) | ||||||||||
1,630 | Abbott Laboratories | 192,552 | ||||||||
1,345 | AbbVie, Inc. | 145,085 | ||||||||
645 | Agilent Technologies, Inc. | 101,607 | ||||||||
215 | Anthem, Inc. | 80,152 | ||||||||
1,745 | Bristol-Myers Squibb Company | 103,252 | ||||||||
945 | Edwards Lifesciences Corp.# | 106,983 | ||||||||
480 | Eli Lilly & Company | 110,904 | ||||||||
85 | Intuitive Surgical, Inc.# | 84,503 | ||||||||
1,705 | Johnson & Johnson | 275,357 | ||||||||
2,060 | Medtronic, PLC | 258,221 | ||||||||
2,915 | Merck & Company, Inc. | 218,946 | ||||||||
3,310 | Pfizer, Inc. | 142,363 | ||||||||
230 | Stryker Corp. | 60,656 | ||||||||
230 | Thermo Fisher Scientific, Inc. | 131,406 | ||||||||
1,160 | UnitedHealth Group, Inc. | 453,258 | ||||||||
|
| |||||||||
2,465,245 | ||||||||||
|
| |||||||||
Industrials (5.8%) | ||||||||||
6,085 | Carrier Global Corp. | 314,959 | ||||||||
10,170 | CSX Corp. | 302,456 | ||||||||
175 | FedEx Corp. | 38,376 | ||||||||
1,610 | Honeywell International, Inc. | 341,771 | ||||||||
1,085 | JB Hunt Transport Services, Inc. | 181,434 | ||||||||
690 | Northrop Grumman Corp. | 248,503 | ||||||||
4,860 | Raytheon Technologies Corp. | 417,765 | ||||||||
580 | Union Pacific Corp. | 113,686 | ||||||||
|
| |||||||||
1,958,950 | ||||||||||
|
| |||||||||
Information Technology (20.2%) | ||||||||||
765 | Accenture, PLC - Class A | 244,739 | ||||||||
430 | Adobe, Inc.#~ | 247,560 | ||||||||
505 | Advanced Micro Devices, Inc.# | 51,964 | ||||||||
12,215 | Apple, Inc. | 1,728,422 | ||||||||
2,510 | Cisco Systems, Inc. | 136,619 | ||||||||
1,240 | Fidelity National Information | 150,883 | ||||||||
540 | Lam Research Corp. | 307,341 | ||||||||
1,335 | Marvell Technology, Inc. | 80,514 | ||||||||
795 | Mastercard, Inc. - Class A | 276,406 | ||||||||
1,005 | Micron Technology, Inc. | 71,335 | ||||||||
6,215 | Microsoft Corp.~ | 1,752,133 | ||||||||
2,540 | NVIDIA Corp. | 526,186 | ||||||||
315 | PayPal Holdings, Inc.# | 81,966 | ||||||||
565 | QUALCOMM, Inc. | 72,874 | ||||||||
830 | salesforce.com, Inc.# | 225,113 | ||||||||
250 | ServiceNow, Inc.#~ | 155,567 | ||||||||
370 | Skyworks Solutions, Inc. | 60,969 | ||||||||
995 | Taiwan Semiconductor | 111,092 | ||||||||
2,130 | Visa, Inc. - Class A | 474,457 | ||||||||
|
| |||||||||
6,756,140 | ||||||||||
|
| |||||||||
Materials (2.2%) | ||||||||||
580 | Celanese Corp. - Class A | 87,371 | ||||||||
5,565 | Freeport-McMoRan, Inc. | 181,030 |
See accompanying Notes to Schedule of Investments
3
Calamos Growth and Income Portfolio
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2021 (UNAUDITED)
NUMBER OF SHARES |
|
| VALUE | |||||||
930 | Linde, PLC | $ | 272,843 | |||||||
1,110 | PPG Industries, Inc. | 158,741 | ||||||||
240 | Vulcan Materials Company | 40,598 | ||||||||
|
| |||||||||
740,583 | ||||||||||
|
| |||||||||
Real Estate (1.1%) | ||||||||||
810 | American Tower Corp. | 214,982 | ||||||||
835 | Crown Castle International Corp. | 144,722 | ||||||||
|
| |||||||||
359,704 | ||||||||||
|
| |||||||||
TOTAL COMMON STOCKS (Cost $11,986,510) | 23,205,429 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
PURCHASED OPTIONS (0.3%) # | ||||||||||
Consumer Discretionary (0.1%) | ||||||||||
2 | Tesla, Inc. | |||||||||
155,096 | Call, 01/21/22, Strike $750.00 | 19,335 | ||||||||
|
| |||||||||
Other (0.2%) | ||||||||||
50 | Financial Select Sector SPDR | |||||||||
187,650 | Fund | |||||||||
Call, 01/21/22, Strike $38.00 | 8,300 | |||||||||
110 | iShares China Large-Cap ETF | |||||||||
428,230 | Call, 01/21/22, Strike $45.00 | 3,465 | ||||||||
iShares MSCI EAFE ETF | ||||||||||
255 | ||||||||||
1,989,255 | Call, 12/17/21, Strike $84.00 | 6,758 | ||||||||
150 | ||||||||||
1,170,150 | Call, 12/17/21, Strike $85.00 | 2,700 | ||||||||
60 | iShares MSCI Japan ETF | |||||||||
421,500 | Call, 12/17/21, Strike $72.00 | 8,580 | ||||||||
20 | SPDR S&P 500 ETF Trust | |||||||||
858,280 | Put, 01/21/22, Strike $430.00 | 37,440 | ||||||||
|
| |||||||||
67,243 | ||||||||||
|
| |||||||||
TOTAL PURCHASED OPTIONS (Cost $141,127) | 86,578 | |||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT |
|
| VALUE | |||||||
| INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (3.7%) | | ||||||||
1,243,692 | State Street Navigator Securities | 1,243,692 | ||||||||
|
| |||||||||
|
| |||||||||
| TOTAL INVESTMENTS (103.8%) | 34,638,707 | ||||||||
|
| |||||||||
|
| |||||||||
| PAYABLE UPON RETURN OF SECURITIES ON LOAN (-3.7%) | (1,243,693) |
|
|
| VALUE | |||||||
LIABILITIES, LESS OTHER ASSETS (-0.1%) | (16,557) | |||||||||
|
| |||||||||
NET ASSETS (100.0%) | $ | 33,378,457 | ||||||||
|
| |||||||||
|
| |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT |
|
| VALUE | |||||||
WRITTEN OPTION (0.0%) # | ||||||||||
Consumer Discretionary (0.0%) | ||||||||||
2 | Tesla, Inc. | |||||||||
155,096 | Put, 01/21/22, Strike $500.00 (Premium $6,321) | (3,085 | ) | |||||||
|
| |||||||||
|
|
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | LONG CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | ||||||||||||||||||||
Northern Trust Company | Canadian Dollar | 10/28/21 | 46,000 | $ | 36,316 | $ | 375 | ||||||||||||||||||
Bank of New York | Canadian Dollar | 10/28/21 | 5,000 | 3,947 | 9 | ||||||||||||||||||||
|
| ||||||||||||||||||||||||
$ | 384 | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/LOSS | ||||||||||||||||||||
Bank of New York | Canadian Dollar | 10/28/21 | 136,000 | $ | 107,370 | $ | 326 | ||||||||||||||||||
|
| ||||||||||||||||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 10/28/21 | 3,049,000 | 109,434 | (112) | ||||||||||||||||||||
|
| ||||||||||||||||||||||||
$ | 214 | ||||||||||||||||||||||||
|
| ||||||||||||||||||||||||
|
|
NOTES TO SCHEDULE OF INVESTMENTS
* | Securities issued and sold pursuant to a Rule 144A transaction are exempted 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 otherwise exempted from such registration requirements. |
^ | Security, or portion of security, is on loan. |
§ | 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 shown is the rate in effect at September 30, 2021. |
# | 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 $189,295. |
† | Represents investment of cash collateral received from securities on loan as of September 30, 2021. |
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
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 and non-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 Schedules 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 follow 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 the Portfolio determines its net asset value (“NAV”). Securities traded in the over-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 a 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 the over-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 the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-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, certain convertible preferred securities, and non-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, certain convertible preferred securities, and non-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 or over-the-counter prices.
Trading on European and Far Eastern exchanges and over-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 in over-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 Portfolio to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.
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 September 30, 2021, the Portfolio had outstanding forward foreign currency contracts as listed on the Schedule of Investments.
Note 2 – Investments
The cost basis of investments for federal income tax purposes at September 30, 2021 was as follows*:
Cost basis of investments | $21,671,631 | ||||
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Gross unrealized appreciation | 13,222,361 | ||||
Gross unrealized depreciation | (258,370) | ||||
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Net unrealized appreciation (depreciation) | $12,963,991 | ||||
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* 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.