Anchor Series Trust SA PGI Asset Allocation Portfolio
PORTFOLIO OF INVESTMENTS - September 30, 2021 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 57.9% | ||||||||
Advertising Agencies - 0.2% | ||||||||
Interpublic Group of Cos., Inc. | 8,840 | $ | 324,163 | |||||
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Agricultural Biotech - 0.3% |
| |||||||
Corteva, Inc. | 11,510 | 484,341 | ||||||
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Apparel Manufacturers - 0.7% |
| |||||||
Deckers Outdoor Corp.† | 3,432 | 1,236,206 | ||||||
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Applications Software - 3.0% |
| |||||||
Microsoft Corp. | 12,075 | 3,404,184 | ||||||
Roper Technologies, Inc. | 2,255 | 1,006,023 | ||||||
ServiceNow, Inc.† | 1,330 | 827,619 | ||||||
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5,237,826 | ||||||||
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Athletic Equipment - 0.1% | ||||||||
YETI Holdings, Inc.† | 1,955 | 167,524 | ||||||
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Athletic Footwear - 0.3% |
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NIKE, Inc., Class B | 3,089 | 448,615 | ||||||
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Auction Houses/Art Dealers - 0.1% |
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Ritchie Bros. Auctioneers, Inc. | 1,578 | 97,299 | ||||||
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Auto-Cars/Light Trucks - 0.1% |
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Ferrari NV | 1,007 | 210,584 | ||||||
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Auto-Heavy Duty Trucks - 0.4% |
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PACCAR, Inc. | 7,060 | 557,175 | ||||||
Volvo AB ADR | 8,264 | 184,535 | ||||||
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741,710 | ||||||||
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| |||||||
Auto/Truck Parts & Equipment-Original - 0.6% | ||||||||
Autoliv, Inc. | 599 | 51,346 | ||||||
Linamar Corp. | 3,221 | 167,255 | ||||||
Magna International, Inc. | 10,744 | 808,379 | ||||||
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1,026,980 | ||||||||
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| |||||||
Banks-Commercial - 1.5% | ||||||||
Banco Bilbao Vizcaya Argentaria SA ADR | 12,226 | 80,569 | ||||||
Bank OZK | 9,741 | 418,668 | ||||||
Cathay General Bancorp | 4,810 | 199,086 | ||||||
Cullen/Frost Bankers, Inc. | 2,120 | 251,474 | ||||||
East West Bancorp, Inc. | 5,014 | 388,786 | ||||||
First Republic Bank | 3,391 | 654,056 | ||||||
ING Groep NV ADR | 8,658 | 125,455 | ||||||
Nordea Bank Abp ADR | 14,266 | 185,601 | ||||||
ServisFirst Bancshares, Inc. | 3,504 | 272,611 | ||||||
Washington Trust Bancorp, Inc. | 1,796 | 95,152 | ||||||
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2,671,458 | ||||||||
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Banks-Super Regional - 0.7% | ||||||||
PNC Financial Services Group, Inc. | 6,642 | 1,299,441 | ||||||
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Batteries/Battery Systems - 0.1% |
| |||||||
Energizer Holdings, Inc. | 6,800 | 265,540 | ||||||
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Beverages-Non-alcoholic - 0.6% |
| |||||||
Coca-Cola Co. | 8,988 | 471,600 | ||||||
Keurig Dr Pepper, Inc. | 18,446 | 630,116 | ||||||
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1,101,716 | ||||||||
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| |||||||
Beverages-Wine/Spirits - 0.1% | ||||||||
Diageo PLC ADR | 1,100 | 212,300 | ||||||
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Brewery - 0.1% |
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Ambev SA ADR | 55,156 | 152,231 | ||||||
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Building & Construction Products-Misc. - 0.1% |
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James Hardie Industries PLC ADR | 3,270 | 116,674 | ||||||
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Building & Construction-Misc. - 0.0% |
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Comfort Systems USA, Inc. | 942 | 67,183 | ||||||
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Building Products-Air & Heating - 0.1% |
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Lennox International, Inc. | 361 | 106,195 | ||||||
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Building-Mobile Home/Manufactured Housing - 0.2% |
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LCI Industries | 2,087 | 280,973 | ||||||
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Building-Residential/Commercial - 0.1% |
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MDC Holdings, Inc. | 2,858 | 133,526 | ||||||
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Cable/Satellite TV - 0.4% |
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Cable One, Inc. | 232 | 420,646 | ||||||
Comcast Corp., Class A | 4,863 | 271,988 | ||||||
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692,634 | ||||||||
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Cellular Telecom - 0.5% | ||||||||
T-Mobile US, Inc.† | 6,277 | 801,950 | ||||||
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Chemicals-Diversified - 0.4% |
| |||||||
Croda International PLC ADR | 2,315 | 139,555 | ||||||
FMC Corp. | 1,038 | 95,039 | ||||||
Huntsman Corp. | 6,641 | 196,507 | ||||||
PPG Industries, Inc. | 2,085 | 298,176 | ||||||
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729,277 | ||||||||
|
| |||||||
Chemicals-Specialty - 0.2% | ||||||||
Givaudan SA ADR | 2,496 | 228,134 | ||||||
H.B. Fuller Co. | 1,639 | 105,814 | ||||||
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333,948 | ||||||||
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Coatings/Paint - 0.1% | ||||||||
RPM International, Inc. | 2,482 | 192,727 | ||||||
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Commercial Services - 0.1% |
| |||||||
John Wiley & Sons, Inc., Class A | 2,297 | 119,926 | ||||||
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Commercial Services-Finance - 1.0% |
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Experian PLC ADR | 4,384 | 183,602 | ||||||
Morningstar, Inc. | 368 | 95,323 | ||||||
PayPal Holdings, Inc.† | 5,276 | 1,372,868 | ||||||
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1,651,793 | ||||||||
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Computer Services - 0.3% | ||||||||
Amdocs, Ltd. | 5,299 | 401,187 | ||||||
Leidos Holdings, Inc. | 1,226 | 117,856 | ||||||
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519,043 | ||||||||
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| |||||||
Computers - 1.7% | ||||||||
Apple, Inc. | 20,339 | 2,877,968 | ||||||
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Containers-Metal/Glass - 0.5% |
| |||||||
Ball Corp. | 8,968 | 806,851 | ||||||
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Containers-Paper/Plastic - 0.1% |
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Packaging Corp. of America | 1,277 | 175,511 | ||||||
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Cosmetics & Toiletries - 0.1% |
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Unilever PLC ADR | 2,770 | 150,189 | ||||||
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Data Processing/Management - 0.2% |
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Fair Isaac Corp.† | 359 | 142,857 | ||||||
Fidelity National Information Services, Inc. | 2,293 | 279,012 | ||||||
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421,869 | ||||||||
|
| |||||||
Diagnostic Equipment - 1.0% | ||||||||
Thermo Fisher Scientific, Inc. | 3,119 | 1,781,978 | ||||||
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Disposable Medical Products - 0.3% |
| |||||||
CONMED Corp. | 2,378 | 311,114 |
Teleflex, Inc. | 402 | 151,373 | ||||||
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462,487 | ||||||||
|
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Diversified Banking Institutions - 1.7% | ||||||||
Bank of America Corp. | 6,915 | 293,542 | ||||||
BNP Paribas SA ADR | 2,452 | 78,611 | ||||||
JPMorgan Chase & Co. | 12,474 | 2,041,869 | ||||||
Morgan Stanley | 4,702 | 457,552 | ||||||
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2,871,574 | ||||||||
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Diversified Manufacturing Operations - 0.7% | ||||||||
EnPro Industries, Inc. | 1,214 | 105,764 | ||||||
Parker-Hannifin Corp. | 2,250 | 629,145 | ||||||
Trane Technologies PLC | 2,494 | 430,589 | ||||||
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1,165,498 | ||||||||
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Drug Delivery Systems - 0.3% | ||||||||
Becton Dickinson & Co. | 2,018 | 496,065 | ||||||
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E-Commerce/Products - 0.9% | ||||||||
Amazon.com, Inc.† | 484 | 1,589,959 | ||||||
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E-Commerce/Services - 0.1% | ||||||||
Rightmove PLC | 10,833 | 99,371 | ||||||
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Electric Products-Misc. - 0.2% | ||||||||
Littelfuse, Inc. | 1,471 | 401,980 | ||||||
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Electric-Distribution - 0.1% | ||||||||
Sempra Energy | 1,223 | 154,710 | ||||||
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Electric-Integrated - 1.8% | ||||||||
ALLETE, Inc. | 3,567 | 212,308 | ||||||
Alliant Energy Corp. | 2,059 | 115,263 | ||||||
CLP Holdings, Ltd. ADR | 25,731 | 246,503 | ||||||
Eversource Energy | 3,066 | 250,676 | ||||||
IDACORP, Inc. | 1,335 | 138,012 | ||||||
NextEra Energy, Inc. | 21,615 | 1,697,210 | ||||||
WEC Energy Group, Inc. | 3,035 | 267,687 | ||||||
Xcel Energy, Inc. | 4,192 | 262,000 | ||||||
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3,189,659 | ||||||||
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Electronic Components-Misc. - 0.2% | ||||||||
Hubbell, Inc. | 1,175 | 212,287 | ||||||
nVent Electric PLC | 6,824 | 220,620 | ||||||
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| |||||||
432,907 | ||||||||
|
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Electronic Components-Semiconductors - 1.0% | ||||||||
Microchip Technology, Inc. | 10,643 | 1,633,594 | ||||||
Monolithic Power Systems, Inc. | 378 | 183,209 | ||||||
|
| |||||||
1,816,803 | ||||||||
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Electronic Forms - 0.8% | ||||||||
Adobe, Inc.† | 2,482 | 1,428,937 | ||||||
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Electronic Measurement Instruments - 0.0% | ||||||||
Mesa Laboratories, Inc. | 186 | 56,239 | ||||||
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Electronic Parts Distribution - 0.0% | ||||||||
Arrow Electronics, Inc.† | 600 | 67,374 | ||||||
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Enterprise Software/Service - 1.3% | ||||||||
Black Knight, Inc.† | 1,845 | 132,840 | ||||||
ManTech International Corp., Class A | 640 | 48,589 | ||||||
salesforce.com, Inc.† | 5,978 | 1,621,353 | ||||||
SAP SE ADR | 2,654 | 358,396 | ||||||
Tyler Technologies, Inc.† | 208 | 95,399 | ||||||
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2,256,577 | ||||||||
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| |||||||
Entertainment Software - 0.2% | ||||||||
Activision Blizzard, Inc. | 3,822 | 295,785 | ||||||
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Filtration/Separation Products - 0.1% | ||||||||
Donaldson Co., Inc. | 1,867 | 107,184 | ||||||
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Finance-Credit Card - 1.1% | ||||||||
Discover Financial Services | 9,182 | 1,128,009 | ||||||
Visa, Inc., Class A | 3,136 | 698,544 | ||||||
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| |||||||
1,826,553 | ||||||||
|
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Finance-Investment Banker/Broker - 0.5% | ||||||||
Charles Schwab Corp. | 10,843 | 789,804 | ||||||
|
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Finance-Mortgage Loan/Banker - 0.1% | ||||||||
Federal Agricultural Mtg. Corp., Class C | 1,349 | 146,393 | ||||||
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Finance-Other Services - 1.0% | ||||||||
Deutsche Boerse AG ADR | 9,815 | 158,807 | ||||||
Hong Kong Exchanges & Clearing, Ltd. ADR | 4,709 | 289,980 | ||||||
Nasdaq, Inc. | 6,801 | 1,312,729 | ||||||
|
| |||||||
1,761,516 | ||||||||
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Financial Guarantee Insurance - 0.1% | ||||||||
Assured Guaranty, Ltd. | 4,679 | 219,024 | ||||||
|
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Food-Meat Products - 0.5% | ||||||||
Hormel Foods Corp. | 12,762 | 523,242 | ||||||
Tyson Foods, Inc., Class A | 3,822 | 301,709 | ||||||
|
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824,951 | ||||||||
|
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Food-Misc./Diversified - 0.2% | ||||||||
Ingredion, Inc. | 2,616 | 232,850 | ||||||
Orkla ASA ADR | 13,185 | 121,368 | ||||||
|
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354,218 | ||||||||
|
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Gas-Distribution - 0.1% | ||||||||
NiSource, Inc. | 4,817 | 116,716 | ||||||
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Golf - 0.2% | ||||||||
Acushnet Holdings Corp. | 7,012 | 327,460 | ||||||
|
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Industrial Gases - 0.6% | ||||||||
Air Liquide SA ADR | 4,713 | 151,523 | ||||||
Air Products & Chemicals, Inc. | 3,332 | 853,358 | ||||||
|
| |||||||
1,004,881 | ||||||||
|
| |||||||
Instruments-Controls - 0.6% | ||||||||
Honeywell International, Inc. | 5,319 | 1,129,117 | ||||||
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Insurance-Life/Health - 0.1% | ||||||||
AIA Group, Ltd. ADR | 3,218 | 148,060 | ||||||
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Insurance-Multi-line - 0.4% | ||||||||
Allianz SE ADR | 8,682 | 194,998 | ||||||
Chubb, Ltd. | 2,588 | 448,966 | ||||||
|
| |||||||
643,964 | ||||||||
|
| |||||||
Insurance-Property/Casualty - 0.8% | ||||||||
Fidelity National Financial, Inc. | 18,376 | 833,168 |
James River Group Holdings, Ltd. | 4,705 | 177,520 | ||||||
Markel Corp.† | 63 | 75,293 | ||||||
Progressive Corp. | 3,336 | 301,541 | ||||||
|
| |||||||
1,387,522 | ||||||||
|
| |||||||
Insurance-Reinsurance - 0.2% | ||||||||
Swiss Re AG ADR | 18,911 | 403,561 | ||||||
|
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Internet Content-Entertainment - 0.8% | ||||||||
Facebook, Inc., Class A† | 4,025 | 1,366,045 | ||||||
|
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Investment Management/Advisor Services - 1.1% | ||||||||
BlackRock, Inc. | 1,759 | 1,475,203 | ||||||
Hamilton Lane, Inc., Class A | 1,890 | 160,310 | ||||||
Raymond James Financial, Inc. | 2,766 | 255,246 | ||||||
|
| |||||||
1,890,759 | ||||||||
|
| |||||||
Machine Tools & Related Products - 0.2% | ||||||||
Lincoln Electric Holdings, Inc. | 2,943 | 379,029 | ||||||
|
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Machinery-Construction & Mining - 0.6% | ||||||||
Caterpillar, Inc. | 903 | 173,349 | ||||||
Epiroc AB ADR | 30,342 | 625,652 | ||||||
Komatsu, Ltd. ADR | 6,898 | 165,552 | ||||||
|
| |||||||
964,553 | ||||||||
|
| |||||||
Machinery-Farming - 0.6% | ||||||||
Deere & Co. | 3,189 | 1,068,538 | ||||||
|
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Machinery-General Industrial - 0.5% | ||||||||
Albany International Corp., Class A | 2,525 | 194,097 | ||||||
Crane Co. | 1,904 | 180,518 | ||||||
Kone Oyj ADR | 6,381 | 223,654 | ||||||
Nordson Corp. | 1,392 | 331,505 | ||||||
|
| |||||||
929,774 | ||||||||
|
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Medical Instruments - 0.8% | ||||||||
Bio-Techne Corp. | 149 | 72,201 | ||||||
Edwards Lifesciences Corp.† | 6,306 | 713,902 | ||||||
Medtronic PLC | 4,973 | 623,366 | ||||||
|
| |||||||
1,409,469 | ||||||||
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Medical Products - 1.8% | ||||||||
Abbott Laboratories | 16,620 | 1,963,321 | ||||||
Coloplast A/S ADR | 11,588 | 181,352 | ||||||
Hill-Rom Holdings, Inc. | 1,209 | 181,350 | ||||||
Sonova Holding AG ADR | 3,937 | 298,228 | ||||||
STERIS PLC | 2,434 | 497,217 | ||||||
|
| |||||||
3,121,468 | ||||||||
|
| |||||||
Medical-Biomedical/Gene - 0.1% | ||||||||
CSL, Ltd. ADR | 1,742 | 182,370 | ||||||
|
| |||||||
Medical-Drugs - 2.5% | ||||||||
Eli Lilly & Co. | 3,286 | 759,230 | ||||||
Merck & Co., Inc. | 16,748 | 1,257,942 | ||||||
Novartis AG ADR | 6,050 | 494,769 | ||||||
Novo Nordisk A/S ADR | 1,306 | 125,389 | ||||||
Organon & Co. | 1,610 | 52,792 | ||||||
Pfizer, Inc. | 8,822 | 379,434 | ||||||
Phibro Animal Health Corp., Class A | 2,172 | 46,785 | ||||||
Roche Holding AG ADR | 25,320 | 1,151,301 | ||||||
|
| |||||||
4,267,642 | ||||||||
|
| |||||||
Medical-HMO - 0.8% | ||||||||
UnitedHealth Group, Inc. | 3,463 | 1,353,133 | ||||||
|
| |||||||
Medical-Hospitals - 0.2% | ||||||||
Select Medical Holdings Corp. | 4,011 | 145,078 | ||||||
Universal Health Services, Inc., Class B | 1,024 | 141,691 | ||||||
|
| |||||||
286,769 | ||||||||
|
| |||||||
Metal Processors & Fabrication - 0.1% | ||||||||
Timken Co. | 2,648 | 173,232 | ||||||
|
| |||||||
Office Supplies & Forms - 0.2% | ||||||||
Avery Dennison Corp. | 2,121 | 439,492 | ||||||
|
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Oil & Gas Drilling - 0.0% | ||||||||
Helmerich & Payne, Inc. | 1,820 | 49,886 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.7% | ||||||||
Cimarex Energy Co. | 3,880 | 338,336 | ||||||
Diamondback Energy, Inc. | 1,972 | 186,689 | ||||||
EOG Resources, Inc. | 4,872 | 391,076 | ||||||
Whiting Petroleum Corp.† | 3,847 | 224,703 | ||||||
|
| |||||||
1,140,804 | ||||||||
|
| |||||||
Oil Companies-Integrated - 1.2% | ||||||||
Chevron Corp. | 17,959 | 1,821,941 | ||||||
Royal Dutch Shell PLC, Class B ADR | 4,645 | 205,634 | ||||||
|
| |||||||
2,027,575 | ||||||||
|
| |||||||
Oil Refining & Marketing - 0.4% | ||||||||
HollyFrontier Corp. | 4,559 | 151,039 | ||||||
Marathon Petroleum Corp. | 6,090 | 376,423 | ||||||
Neste Oyj ADR | 3,059 | 86,570 | ||||||
|
| |||||||
614,032 | ||||||||
|
| |||||||
Pipelines - 0.3% | ||||||||
Enterprise Products Partners LP | 13,895 | 300,688 | ||||||
Targa Resources Corp. | 4,336 | 213,374 | ||||||
|
| |||||||
514,062 | ||||||||
|
| |||||||
Power Converter/Supply Equipment - 0.1% | ||||||||
Schneider Electric SE ADR | 7,380 | 245,197 | ||||||
|
| |||||||
Private Equity - 0.4% | ||||||||
KKR & Co., Inc., Class A | 11,960 | 728,125 | ||||||
|
| |||||||
Real Estate Investment Trusts - 2.7% | ||||||||
Agree Realty Corp. | 2,594 | 171,801 | ||||||
Alexandria Real Estate Equities, Inc. | 4,815 | 920,002 | ||||||
American Tower Corp. | 2,455 | 651,582 | ||||||
Camden Property Trust | 867 | 127,856 | ||||||
CyrusOne, Inc. | 4,495 | 347,958 | ||||||
Digital Realty Trust, Inc. | 3,120 | 450,684 | ||||||
EastGroup Properties, Inc. | 1,136 | 189,292 | ||||||
Four Corners Property Trust, Inc. | 4,699 | 126,215 | ||||||
Granite Real Estate Investment Trust | 3,066 | 218,052 | ||||||
Medical Properties Trust, Inc. | 9,672 | 194,117 | ||||||
Prologis, Inc. | 4,638 | 581,744 | ||||||
Realty Income Corp. | 4,293 | 278,444 | ||||||
STORE Capital Corp. | 6,859 | 219,694 | ||||||
Terreno Realty Corp. | 2,966 | 187,540 | ||||||
|
| |||||||
4,664,981 | ||||||||
|
| |||||||
Real Estate Management/Services - 0.1% | ||||||||
Daito Trust Construction Co., Ltd. ADR | 6,861 | 200,856 | ||||||
|
|
Recreational Vehicles - 0.3% | ||||||||
Brunswick Corp. | 4,641 | 442,148 | ||||||
|
| |||||||
Rental Auto/Equipment - 0.0% | ||||||||
PROG Holdings, Inc. | 1,601 | 67,258 | ||||||
|
| |||||||
Retail-Apparel/Shoe - 0.7% | ||||||||
Lululemon Athletica, Inc.† | 2,939 | 1,189,413 | ||||||
|
| |||||||
Retail-Discount - 1.2% | ||||||||
Costco Wholesale Corp. | 4,233 | 1,902,099 | ||||||
Target Corp. | 1,061 | 242,725 | ||||||
|
| |||||||
2,144,824 | ||||||||
|
| |||||||
Retail-Gardening Products - 0.7% | ||||||||
Tractor Supply Co. | 5,692 | 1,153,256 | ||||||
|
| |||||||
Retail-Restaurants - 0.3% | ||||||||
Papa John’s International, Inc. | 1,277 | 162,166 | ||||||
Starbucks Corp. | 3,293 | 363,251 | ||||||
|
| |||||||
525,417 | ||||||||
|
| |||||||
Rubber-Tires - 0.2% | ||||||||
Bridgestone Corp. ADR | 15,933 | 377,931 | ||||||
|
| |||||||
Savings & Loans/Thrifts - 0.1% | ||||||||
Washington Federal, Inc. | 2,815 | 96,583 | ||||||
|
| |||||||
Security Services - 0.1% | ||||||||
Secom Co., Ltd. ADR | 9,247 | 167,093 | ||||||
|
| |||||||
Semiconductor Components-Integrated Circuits - 0.4% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 6,567 | 733,206 | ||||||
|
| |||||||
Semiconductor Equipment - 1.1% | ||||||||
ASML Holding NV | 346 | 257,808 | ||||||
Lam Research Corp. | 1,376 | 783,150 | ||||||
MKS Instruments, Inc. | 2,638 | 398,101 | ||||||
Teradyne, Inc. | 1,429 | 156,004 | ||||||
Tokyo Electron, Ltd. ADR | 2,261 | 250,067 | ||||||
|
| |||||||
1,845,130 | ||||||||
|
| |||||||
Shipbuilding - 0.1% | ||||||||
Huntington Ingalls Industries, Inc. | 886 | 171,051 | ||||||
|
| |||||||
Soap & Cleaning Preparation - 0.5% | ||||||||
Church & Dwight Co., Inc. | 8,045 | 664,275 | ||||||
Reckitt Benckiser Group PLC ADR | 8,676 | 137,081 | ||||||
|
| |||||||
801,356 | ||||||||
|
| |||||||
Telecom Services - 0.5% | ||||||||
BCE, Inc. | 15,962 | 799,058 | ||||||
Telenor ASA ADR | 5,362 | 90,296 | ||||||
|
| |||||||
889,354 | ||||||||
|
| |||||||
Telephone-Integrated - 0.4% | ||||||||
Verizon Communications, Inc. | 11,482 | 620,143 | ||||||
|
| |||||||
Textile-Apparel - 0.1% | ||||||||
LVMH Moet Hennessy Louis Vuitton SE ADR | 1,713 | 245,439 | ||||||
|
| |||||||
Tools-Hand Held - 0.3% | ||||||||
MSA Safety, Inc. | 1,217 | 177,317 | ||||||
Snap-on, Inc. | 1,558 | 325,544 | ||||||
|
| |||||||
502,861 | ||||||||
|
| |||||||
Toys - 0.3% | ||||||||
Hasbro, Inc. | 2,758 | 246,069 | ||||||
Nintendo Co., Ltd. ADR | 3,456 | 204,768 | ||||||
|
| |||||||
450,837 | ||||||||
|
| |||||||
Transport-Rail - 0.6% | ||||||||
Union Pacific Corp. | 5,316 | 1,041,989 | ||||||
|
| |||||||
Transport-Services - 0.3% | ||||||||
Expeditors International of Washington, Inc. | 3,775 | 449,716 | ||||||
|
| |||||||
Water - 0.0% | ||||||||
Essential Utilities, Inc. | 1,863 | 85,847 | ||||||
|
| |||||||
Web Portals/ISP - 1.3% | ||||||||
Alphabet, Inc., Class A† | 875 | 2,339,330 | ||||||
|
| |||||||
Total Common Stocks | ||||||||
(cost $76,447,621) | 99,972,971 | |||||||
|
| |||||||
EXCHANGE-TRADED FUNDS - 9.5% | ||||||||
Invesco QQQ Trust, Series 1 | 23,240 | 8,318,990 | ||||||
iShares Russell Top 200 ETF | 78,490 | 8,087,610 | ||||||
|
| |||||||
Total Exchange-Traded Funds | ||||||||
(cost $12,726,037) | 16,406,600 | |||||||
|
| |||||||
PREFERRED SECURITIES/CAPITAL SECURITIES - 0.1% | ||||||||
Banks-Super Regional - 0.1% | ||||||||
PNC Financial Services Group, Inc. FRS | $ | 250,000 | 250,610 | |||||
|
| |||||||
ASSET BACKED SECURITIES - 2.5% | ||||||||
Diversified Financial Services - 2.5% | ||||||||
BX Commercial Mtg. Trust FRS | 100,000 | 100,102 | ||||||
Carmax Auto Owner Trust | 75,962 | 75,970 | ||||||
CCG Receivables Trust | 98,797 | 98,642 | ||||||
CF Hippolyta LLC | 99,414 | 100,032 | ||||||
Citigroup Mtg. Loan Trust VRS | 196,486 | 206,224 | ||||||
Commonbond Student Loan Trust | 44,621 | 45,674 | ||||||
Commonbond Student Loan Trust | 41,013 | 42,316 | ||||||
CSMC Trust VRS | 51,741 | 52,297 |
Ford Credit Auto Owner Trust | 100,000 | 100,384 | ||||||
GS Mtg. Securities Trust | 66,830 | 67,059 | ||||||
HPEFS Equipment Trust | 100,000 | 99,954 | ||||||
JP Morgan Mtg. Trust VRS | 76,276 | 77,310 | ||||||
JPMorgan Mtg. Trust VRS | 42,275 | 42,910 | ||||||
JPMorgan Mtg. Trust VRS | 172,709 | 175,710 | ||||||
MHC Commercial Mtg. Trust FRS | 100,000 | 100,090 | ||||||
MMAF Equipment Finance LLC | 100,000 | 99,989 | ||||||
Navient Private Education Refi Loan Trust | 196,467 | 195,520 | ||||||
New Residential Mtg. Loan Trust VRS | 81,608 | 88,477 | ||||||
New Residential Mtg. Loan Trust VRS | 67,314 | 71,887 | ||||||
PFS Financing Corp. | 250,000 | 249,621 | ||||||
Santander Drive Auto Receivables Trust | 21,140 | 21,134 | ||||||
Santander Drive Auto Receivables Trust | 250,000 | 250,059 | ||||||
Santander Drive Auto Receivables Trust | 50,000 | 50,030 | ||||||
Santander Drive Auto Receivables Trust | 250,000 | 250,229 | ||||||
Sequoia Mtg. Trust VRS | 95,922 | 97,942 | ||||||
Sequoia Mtg. Trust VRS | 31,602 | 32,087 | ||||||
SLM Private Credit Student Loan Trust FRS | 77,996 | 76,282 | ||||||
SMB Private Education Loan Trust | 250,000 | 249,885 | ||||||
Towd Point Mtg. Trust VRS | 150,000 | 156,210 | ||||||
Toyota Auto Loan Extended Note Trust | 250,000 | 262,096 | ||||||
Trafigura Securitisation Finance PLC | 400,000 | 398,312 | ||||||
Verizon Owner Trust | 200,000 | 202,638 | ||||||
Westlake Automobile Receivables Trust | 93,357 | 93,543 | ||||||
|
| |||||||
Total Asset Backed Securities | ||||||||
(cost $4,214,581) | 4,230,615 | |||||||
|
| |||||||
U.S. CORPORATE BONDS & NOTES - 18.5% | ||||||||
Aerospace/Defense - 0.2% | ||||||||
Lockheed Martin Corp. | 250,000 | 298,832 | ||||||
|
| |||||||
Agricultural Operations - 0.1% | ||||||||
Bunge Ltd. Finance Corp. | 250,000 | 252,511 | ||||||
|
| |||||||
Airlines - 0.0% | ||||||||
American Airlines Pass-Through Trust | 68,346 | 69,892 | ||||||
|
| |||||||
Auto-Cars/Light Trucks - 0.2% | ||||||||
American Honda Finance Corp. | 250,000 | 261,615 | ||||||
|
| |||||||
Banks-Commercial - 0.1% | ||||||||
Fifth Third Bank | 250,000 | 260,441 | ||||||
|
|
Banks-Fiduciary - 0.3% |
| |||||||
Bank of New York Mellon Corp. | 250,000 | 258,092 | ||||||
State Street Corp. | 250,000 | 261,330 | ||||||
|
| |||||||
519,422 | ||||||||
|
| |||||||
Banks-Super Regional - 0.5% |
| |||||||
US Bancorp | 500,000 | 541,587 | ||||||
Wells Fargo & Co. | 250,000 | 273,579 | ||||||
|
| |||||||
815,166 | ||||||||
|
| |||||||
Brewery - 0.5% |
| |||||||
Anheuser-Busch Cos. LLC/Anheuser-Busch InBev Worldwide, Inc. | 500,000 | 603,338 | ||||||
Anheuser-Busch InBev Finance, Inc. | 250,000 | 274,102 | ||||||
|
| |||||||
877,440 | ||||||||
|
| |||||||
Cable/Satellite TV - 0.8% |
| |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 250,000 | 257,930 | ||||||
Comcast Corp. | 250,000 | 272,657 | ||||||
DISH DBS Corp. | 250,000 | 268,820 | ||||||
Sirius XM Radio, Inc. | 250,000 | 254,219 | ||||||
Time Warner Cable LLC | 250,000 | 336,792 | ||||||
|
| |||||||
1,390,418 | ||||||||
|
| |||||||
Casino Hotels - 0.1% |
| |||||||
Boyd Gaming Corp. | 250,000 | 257,813 | ||||||
|
| |||||||
Cellular Telecom - 0.5% |
| |||||||
Crown Castle Towers LLC | 250,000 | 279,006 | ||||||
Sprint Corp. | 250,000 | 279,375 | ||||||
Sprint Spectrum Co. LLC/Sprint Spectrum Co. II LLC/Sprint Spectrum Co. III LLC | 218,750 | 233,625 | ||||||
|
| |||||||
792,006 | ||||||||
|
| |||||||
Chemicals-Diversified - 0.3% |
| |||||||
Westlake Chemical Corp. | 218,000 | 221,622 | ||||||
Westlake Chemical Corp. | 250,000 | 274,371 | ||||||
|
| |||||||
495,993 | ||||||||
|
| |||||||
Chemicals-Specialty - 0.1% |
| |||||||
H.B. Fuller Co. | 250,000 | 254,375 | ||||||
|
| |||||||
Computers - 0.3% |
| |||||||
Apple, Inc. | 300,000 | 302,074 | ||||||
Apple, Inc. | 250,000 | 273,812 | ||||||
|
| |||||||
575,886 | ||||||||
|
| |||||||
Containers-Paper/Plastic - 0.5% |
| |||||||
Graphic Packaging International, Inc. | 500,000 | 515,000 | ||||||
Sealed Air Corp. | 250,000 | 326,595 | ||||||
|
| |||||||
841,595 | ||||||||
|
| |||||||
Data Processing/Management - 0.0% |
| |||||||
Fidelity National Information Services, Inc. | 50,000 | 49,974 | ||||||
|
| |||||||
Diagnostic Equipment - 0.1% |
| |||||||
PerkinElmer, Inc. | 250,000 | 250,198 | ||||||
|
| |||||||
Diversified Banking Institutions - 1.8% |
| |||||||
Bank of America Corp. FRS | 250,000 | 250,851 | ||||||
Bank of America Corp. | 250,000 | 273,057 | ||||||
Bank of America Corp. | 250,000 | 279,631 |
Citigroup, Inc. FRS | 200,000 | 202,308 | ||||||
Citigroup, Inc. | 250,000 | 284,225 | ||||||
Goldman Sachs Group, Inc. | 250,000 | 250,022 | ||||||
Goldman Sachs Group, Inc. | 250,000 | 246,257 | ||||||
JPMorgan Chase & Co. | 250,000 | 249,920 | ||||||
JPMorgan Chase & Co. | 250,000 | 258,647 | ||||||
JPMorgan Chase & Co. | 250,000 | 273,298 | ||||||
Morgan Stanley FRS | 250,000 | 253,323 | ||||||
Morgan Stanley | 250,000 | 304,275 | ||||||
|
| |||||||
3,125,814 | ||||||||
|
| |||||||
E-Commerce/Products - 0.3% |
| |||||||
Amazon.com, Inc. | 500,000 | 605,235 | ||||||
|
| |||||||
Electric-Integrated - 1.9% |
| |||||||
Alliant Energy Finance LLC | 216,000 | 226,444 | ||||||
Black Hills Corp. | 500,000 | 564,712 | ||||||
Black Hills Corp. | 250,000 | 267,075 | ||||||
Florida Power & Light Co. FRS | 100,000 | 100,013 | ||||||
PacifiCorp | 500,000 | 635,902 | ||||||
PPL Electric Utilities Corp. | 250,000 | 295,685 | ||||||
PPL Energy Supply LLC | 1,000,000 | 880,000 | ||||||
Public Service Co. of Colorado | 250,000 | 245,407 | ||||||
|
| |||||||
3,215,238 | ||||||||
|
| |||||||
Electric-Transmission - 0.4% |
| |||||||
Oncor Electric Delivery Co. LLC | 500,000 | 622,843 | ||||||
|
| |||||||
Electronic Components-Semiconductors - 0.2% |
| |||||||
Micron Technology, Inc. | 100,000 | 102,928 | ||||||
NVIDIA Corp. | 250,000 | 248,324 | ||||||
|
| |||||||
351,252 | ||||||||
|
| |||||||
Enterprise Software/Service - 0.2% |
| |||||||
Oracle Corp. | 250,000 | 271,118 | ||||||
|
| |||||||
Finance-Investment Banker/Broker - 0.2% |
| |||||||
Jefferies Group LLC/Jefferies Group Capital Finance, Inc. | 250,000 | 289,743 | ||||||
|
| |||||||
Food-Misc./Diversified - 0.4% |
| |||||||
Nestle Holdings, Inc. | 150,000 | 149,409 | ||||||
Nestle Holdings, Inc. | 250,000 | 250,052 | ||||||
Post Holdings, Inc. | 250,000 | 251,933 | ||||||
|
| |||||||
651,394 | ||||||||
|
| |||||||
Gas-Distribution - 0.2% |
| |||||||
NiSource, Inc. | 250,000 | 274,187 | ||||||
|
| |||||||
Hotels/Motels - 0.2% |
| |||||||
Choice Hotels International, Inc. | 250,000 | 265,915 | ||||||
|
| |||||||
Insurance-Multi-line - 0.1% |
| |||||||
Allstate Corp. FRS | 250,000 | 251,918 | ||||||
|
|
Insurance-Mutual - 0.1% |
| |||||||
MassMutual Global Funding II | 200,000 | 210,924 | ||||||
|
| |||||||
Insurance-Property/Casualty - 0.1% |
| |||||||
Fidelity National Financial, Inc. | 250,000 | 248,368 | ||||||
|
| |||||||
Medical Instruments - 0.4% |
| |||||||
Medtronic, Inc. | 500,000 | 613,732 | ||||||
|
| |||||||
Medical Products - 0.2% |
| |||||||
Hologic, Inc. | 250,000 | 263,125 | ||||||
|
| |||||||
Medical-Biomedical/Gene - 0.6% |
| |||||||
Amgen, Inc. | 250,000 | 255,062 | ||||||
Amgen, Inc. | 200,000 | 202,458 | ||||||
Gilead Sciences, Inc. | 250,000 | 250,012 | ||||||
Gilead Sciences, Inc. | 250,000 | 268,941 | ||||||
|
| |||||||
976,473 | ||||||||
|
| |||||||
Medical-Drugs - 0.3% |
| |||||||
Bristol-Myers Squibb Co. | 500,000 | 555,551 | ||||||
|
| |||||||
Medical-HMO - 0.2% |
| |||||||
UnitedHealth Group, Inc. | 250,000 | 276,580 | ||||||
|
| |||||||
Medical-Hospitals - 0.2% |
| |||||||
HCA, Inc. | 250,000 | 268,755 | ||||||
|
| |||||||
Multimedia - 0.1% |
| |||||||
Walt Disney Co. | 250,000 | 256,403 | ||||||
|
| |||||||
Non-Hazardous Waste Disposal - 0.6% |
| |||||||
Covanta Holding Corp. | 250,000 | 259,157 | ||||||
Republic Services, Inc. | 500,000 | 473,947 | ||||||
Waste Pro USA, Inc. | 250,000 | 252,500 | ||||||
|
| |||||||
985,604 | ||||||||
|
| |||||||
Office Automation & Equipment - 0.3% |
| |||||||
CDW LLC/CDW Finance Corp. | 500,000 | 550,625 | ||||||
|
| |||||||
Office Supplies & Forms - 0.1% |
| |||||||
Avery Dennison Corp. | 250,000 | 250,057 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.3% |
| |||||||
Cimarex Energy Co. | 250,000 | 269,548 | ||||||
W&T Offshore, Inc. | 250,000 | 237,892 | ||||||
|
| |||||||
507,440 | ||||||||
|
| |||||||
Paper & Related Products -0.1% |
| |||||||
Georgia-Pacific LLC | 100,000 | 102,331 | ||||||
|
| |||||||
Pharmacy Services - 0.2% |
| |||||||
CVS Health Corp. | 250,000 | 262,472 | ||||||
CVS Health Corp. | 98,000 | 111,462 | ||||||
|
| |||||||
373,934 | ||||||||
|
| |||||||
Physical Therapy/Rehabilitation Centers - 0.2% |
| |||||||
Encompass Health Corp. | 400,000 | 421,000 | ||||||
|
| |||||||
Pipelines - 1.2% |
| |||||||
Buckeye Partners LP | 250,000 | 255,000 | ||||||
Columbia Pipeline Group, Inc. | 250,000 | 340,428 | ||||||
El Paso Natural Gas Co. LLC | 500,000 | 627,567 | ||||||
NGPL PipeCo LLC | 250,000 | 283,609 | ||||||
ONEOK Partners LP | 250,000 | 267,479 |
Southeast Supply Header LLC | 250,000 | 258,840 | ||||||
|
| |||||||
2,032,923 | ||||||||
|
| |||||||
Real Estate Investment Trusts - 1.4% |
| |||||||
Alexandria Real Estate Equities, Inc. | 250,000 | 271,776 | ||||||
American Tower Corp. | 200,000 | 207,939 | ||||||
CBL & Associates LP | 500,000 | 346,250 | ||||||
CubeSmart LP | 100,000 | 107,119 | ||||||
CubeSmart LP | 250,000 | 284,429 | ||||||
Omega Healthcare Investors, Inc. | 250,000 | 283,736 | ||||||
Physicians Realty LP | 500,000 | 565,269 | ||||||
SBA Tower Trust | 100,000 | 99,700 | ||||||
SBA Tower Trust | 225,000 | 232,985 | ||||||
|
| |||||||
2,399,203 | ||||||||
|
| |||||||
Retail-Automobile - 0.2% |
| |||||||
Lithia Motors, Inc. | 250,000 | 263,125 | ||||||
|
| |||||||
Steel-Specialty - 0.3% |
| |||||||
Allegheny Technologies, Inc. | 500,000 | 562,500 | ||||||
|
| |||||||
Telecom Equipment-Fiber Optics - 0.2% |
| |||||||
Corning, Inc. | 250,000 | 309,908 | ||||||
|
| |||||||
Telecommunication Equipment - 0.1% |
| |||||||
CommScope Technologies LLC | 250,000 | 237,790 | ||||||
|
| |||||||
Transport-Truck - 0.2% |
| |||||||
XPO Logistics, Inc. | 250,000 | 263,595 | ||||||
|
| |||||||
Trucking/Leasing - 0.1% |
| |||||||
Penske Truck Leasing Co. LP/PTL Finance Corp. | 250,000 | 251,260 | ||||||
|
| |||||||
Vitamins & Nutrition Products - 0.1% |
| |||||||
HLF Financing Sarl LLC/Herbalife International, Inc. | 250,000 | 250,000 | ||||||
|
| |||||||
Web Hosting/Design - 0.2% |
| |||||||
VeriSign, Inc. | 250,000 | 284,158 | ||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes | ||||||||
(cost $29,805,860) |
| 31,903,598 | ||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES - 1.1% |
| |||||||
Airlines - 0.2% |
| |||||||
Delta Air Lines/Skymiles | 250,000 | 278,727 | ||||||
|
| |||||||
Banks-Commercial - 0.1% |
| |||||||
ING Groep NV | 250,000 | 253,593 | ||||||
|
| |||||||
Diversified Banking Institutions - 0.4% |
| |||||||
Deutsche Bank AG | 250,000 | 249,735 | ||||||
NatWest Markets PLC | 250,000 | 249,458 | ||||||
UBS Group Funding Switzerland AG | 250,000 | 254,858 | ||||||
|
| |||||||
754,051 | ||||||||
|
| |||||||
Metal-Copper - 0.2% |
| |||||||
Hudbay Minerals, Inc. | 250,000 | 261,836 | ||||||
|
| |||||||
Oil Companies-Integrated - 0.2% |
| |||||||
Suncor Energy, Inc. | 100,000 | 103,486 | ||||||
Suncor Energy, Inc. | 250,000 | 277,080 | ||||||
|
| |||||||
380,566 | ||||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes | ||||||||
(cost $1,889,753) |
| 1,928,773 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES - 6.4% |
| |||||||
Federal Home Loan Mtg. Corp. - 1.3% |
| |||||||
2.00% due 11/01/2035 | 148,238 | 153,508 | ||||||
2.00% due 08/01/2050 | 611,823 | 620,081 | ||||||
2.00% due 05/01/2051 | 193,994 | 195,476 |
2.50% due 08/01/2050 | 237,170 | 245,788 | ||||||
3.00% due 04/01/2035 | 23,033 | 24,554 | ||||||
3.00% due 10/01/2042 | 94,531 | 101,309 | ||||||
3.00% due 05/01/2043 | 64,253 | 69,330 | ||||||
3.00% due 07/01/2045 | 81,117 | 87,139 | ||||||
3.00% due 08/01/2049 | 196,464 | 205,657 | ||||||
3.50% due 07/01/2042 | 56,561 | 61,615 | ||||||
3.50% due 02/01/2044 | 82,001 | 88,654 | ||||||
5.00% due 01/01/2034 | 25,625 | 29,187 | ||||||
5.00% due 04/01/2035 | 22,643 | 25,853 | ||||||
5.00% due 03/01/2048 | 53,775 | 61,681 | ||||||
6.00% due 05/01/2031 | 6,274 | 7,352 | ||||||
7.50% due 12/01/2030 | 8,817 | 9,167 | ||||||
7.50% due 01/01/2031 | 6,424 | 6,715 | ||||||
7.50% due 02/01/2031 | 492 | 543 | ||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | ||||||||
Series K020, Class A2 2.37% due 05/25/2022(2) | 87,114 | 87,938 | ||||||
Federal Home Loan Mtg. Corp. REMIC | ||||||||
Series 4033, Class ED | 2,454 | 2,455 | ||||||
Series 4097, Class HI | 257,478 | 14,563 | ||||||
Series 4579, Class BA | 27,095 | 27,711 | ||||||
Series 4343, Class DI | 43,451 | 1,560 | ||||||
Series 4121, Class UI | 191,201 | 21,267 | ||||||
Series 4135, Class DI | 68,022 | 7,107 | ||||||
Series 4808, Class DL | 30,000 | 32,017 | ||||||
Federal Home Loan Mtg. Corp. REMIC FRS | ||||||||
Series 3994, Class SH 6.52% (6.60% - 1 ML) due 06/15/2041(4)(7)(8) | 388,651 | 41,849 | ||||||
Federal Home Loan Mtg. Corp. STRIPS | ||||||||
Series 2012-276, Class 40 4.00% due 09/15/2042(4) | 33,459 | 36,835 | ||||||
|
| |||||||
2,266,911 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. - 4.0% |
| |||||||
2.00% due 02/01/2032 | 63,916 | 66,053 | ||||||
2.00% due 07/01/2035 | 331,064 | 342,428 | ||||||
2.00% due 10/01/2035 | 213,689 | 221,197 | ||||||
2.00% due 11/01/2035 | 104,238 | 107,888 | ||||||
2.00% due 10/01/2050 | 166,509 | 167,888 | ||||||
2.00% due 12/01/2050 | 222,940 | 224,157 | ||||||
2.00% due 02/01/2051 | 529,448 | 535,134 | ||||||
2.00% due 03/01/2051 | 189,539 | 191,656 | ||||||
2.50% due 06/01/2027 | 46,981 | 49,282 | ||||||
2.50% due 08/01/2028 | 61,119 | 64,266 | ||||||
2.50% due 03/01/2030 | 47,166 | 49,603 | ||||||
2.50% due 03/01/2035 | 110,284 | 116,384 | ||||||
2.50% due 07/01/2049 | 140,764 | 146,221 | ||||||
2.50% due 06/01/2050 | 367,562 | 379,209 | ||||||
2.50% due 07/01/2050 | 174,726 | 181,202 | ||||||
2.50% due 10/01/2050 | 366,439 | 380,368 | ||||||
2.50% due 12/01/2050 | 225,029 | 232,541 | ||||||
2.50% due 03/01/2051 | 283,809 | 293,772 | ||||||
3.00% due 04/01/2027 | 14,022 | 14,861 | ||||||
3.00% due 12/01/2034 | 53,568 | 56,504 | ||||||
3.00% due 10/01/2036 | 62,934 | 67,373 | ||||||
3.00% due 10/01/2042 | 66,385 | 71,726 | ||||||
3.00% due 12/01/2042 | 70,059 | 75,565 | ||||||
3.00% due 04/01/2043 | 91,008 | 97,928 | ||||||
3.00% due 07/01/2046 | 108,997 | 116,735 | ||||||
3.00% due 12/01/2046 | 49,849 | 53,316 | ||||||
3.00% due 10/01/2049 | 67,270 | 70,483 | ||||||
3.00% due 11/01/2049 | 200,366 | 211,334 | ||||||
3.00% due 12/01/2049 | 68,720 | 72,154 | ||||||
3.00% due 01/01/2050 | 103,582 | 108,753 | ||||||
3.00% due 02/01/2050 | 80,377 | 84,312 | ||||||
3.00% due 08/01/2050 | 99,668 | 104,681 | ||||||
3.50% due 08/01/2031 | 36,241 | 39,314 | ||||||
3.50% due 02/01/2033 | 67,805 | 73,570 | ||||||
3.50% due 01/01/2036 | 63,990 | 68,947 | ||||||
3.50% due 06/01/2039 | 28,589 | 30,839 | ||||||
3.50% due 11/01/2042 | 85,717 | 93,789 | ||||||
3.50% due 02/01/2043 | 34,681 | 38,389 | ||||||
3.50% due 05/01/2043 | 88,183 | 97,617 | ||||||
3.50% due 09/01/2045 | 37,087 | 40,569 | ||||||
3.50% due 03/01/2047 | 87,805 | 96,755 | ||||||
3.50% due 10/01/2047 | 23,816 | 25,275 | ||||||
4.00% due 09/01/2038 | 14,064 | 15,173 | ||||||
4.00% due 09/01/2040 | 63,576 | 70,166 | ||||||
4.00% due 10/01/2044 | 98,517 | 108,849 | ||||||
4.00% due 08/01/2046 | 79,818 | 88,349 | ||||||
4.50% due 03/01/2041 | 88,719 | 99,465 | ||||||
4.50% due 09/01/2043 | 193,723 | 219,392 | ||||||
4.50% due 11/01/2045 | 96,840 | 108,788 | ||||||
5.00% due 02/01/2040 | 67,486 | 78,090 | ||||||
5.00% due 07/01/2041 | 81,769 | 93,745 | ||||||
5.00% due 02/01/2044 | 76,756 | 88,005 | ||||||
6.00% due 05/01/2031 | 2,495 | 2,922 | ||||||
6.50% due 09/01/2024 | 1,820 | 2,045 | ||||||
6.50% due 09/01/2025 | 706 | 794 | ||||||
6.50% due 11/01/2025 | 1,362 | 1,530 | ||||||
6.50% due 05/01/2026 | 4,914 | 5,520 | ||||||
6.50% due 11/01/2027 | 103 | 116 | ||||||
6.50% due 01/01/2032 | 2,601 | 2,922 | ||||||
7.00% due 05/01/2029 | 1,995 | 2,185 | ||||||
7.00% due 09/01/2029 | 3,826 | 3,877 | ||||||
7.00% due 01/01/2031 | 526 | 532 | ||||||
7.50% due 01/01/2031 | 4,340 | 4,699 | ||||||
Federal National Mtg. Assoc. REMIC VRS | ||||||||
Series 2015-38, Class AS 1.56% due 06/25/2045(3)(4)(7) | 123,949 | 6,848 | ||||||
Federal National Mtg. Assoc. REMIC | ||||||||
Series 2013-2, Class BI 2.50% due 02/25/2028(4)(7) | 152,055 | 7,812 |
Series 2017-54, Class IO 3.00% due 07/25/2032(4)(7) | 180,822 | 16,161 | ||||||
Series 2016-62, Class IA 3.00% due 10/25/2040(4)(7) | 59,816 | 2,059 | ||||||
Series 2016-92, Class A 3.00% due 04/25/2042(4) | 20,025 | 20,328 | ||||||
Series 2021-1, Class JI 3.00% due 01/25/2051(4)(7) | 226,730 | 31,855 | ||||||
Series 2016-4, Class LI 3.50% due 02/25/2036(4)(7) | 199,358 | 22,194 | ||||||
Series 2017-66, Class C 3.50% due 08/25/2045(4) | 60,000 | 61,786 | ||||||
Series 2015-18, Class IA 4.50% due 04/25/2045(4)(7) | 174,198 | 30,075 | ||||||
Series 2002-16, Class TM 7.00% due 04/25/2032(4) | 35,650 | 41,640 | ||||||
|
| |||||||
6,797,960 | ||||||||
|
| |||||||
Government National Mtg. Assoc. - 1.1% |
| |||||||
3.00% due 02/15/2043 | 99,395 | 106,933 | ||||||
3.00% due 07/20/2045 | 112,399 | 118,418 | ||||||
3.00% due 07/20/2046 | 31,257 | 32,889 | ||||||
3.00% due 08/20/2046 | 66,989 | 70,531 | ||||||
3.00% due 09/20/2046 | 83,042 | 87,384 | ||||||
3.00% due 12/20/2046 | 42,762 | 45,051 | ||||||
3.00% due 02/20/2047 | 53,039 | 55,867 | ||||||
3.00% due 08/20/2047 | 32,452 | 34,037 | ||||||
3.50% due 09/15/2042 | 59,664 | 64,434 | ||||||
3.50% due 05/15/2043 | 35,305 | 38,321 | ||||||
3.50% due 09/20/2045 | 77,182 | 83,767 | ||||||
3.50% due 06/20/2046 | 80,183 | 86,603 | ||||||
3.50% due 04/20/2047 | 59,066 | 62,141 | ||||||
3.50% due 05/20/2047 | 57,617 | 64,101 | ||||||
3.50% due 11/20/2047 | 57,576 | 63,715 | ||||||
3.50% due 02/20/2048 | 64,913 | 68,594 | ||||||
4.00% due 10/20/2044 | 83,453 | 90,316 | ||||||
4.00% due 07/20/2047 | 45,303 | 50,765 | ||||||
4.00% due 01/20/2048 | 121,568 | 132,124 | ||||||
4.50% due 05/15/2039 | 19,345 | 21,882 | ||||||
5.50% due 07/20/2033 | 38,874 | 44,540 | ||||||
6.00% due 07/20/2033 | 29,278 | �� | 34,297 | |||||
6.50% due 12/15/2023 | 1,844 | 2,060 | ||||||
6.50% due 03/20/2027 | 304 | 305 | ||||||
6.50% due 04/20/2027 | 4,508 | 4,690 | ||||||
7.00% due 12/15/2023 | 313 | 323 | ||||||
7.00% due 04/15/2028 | 6,022 | 6,133 | ||||||
7.50% due 09/15/2030 | 3,260 | 3,380 | ||||||
7.50% due 01/15/2031 | 2,126 | 2,191 | ||||||
Government National Mtg. Assoc. REMIC VRS | ||||||||
Series 2018-25, Class IO 0.89% due 06/16/2045(2)(3)(7) | 686,409 | 18,144 | ||||||
Government National Mtg. Assoc. REMIC | ||||||||
Series 2020-185, Class LI 2.00% due 12/20/2050(4)(7) | 956,347 | 108,827 | ||||||
Series 2020-191, Class IM 2.50% due 12/20/2050(4)(7) | 208,454 | 24,705 | ||||||
Series 2017-51, Class AH 2.60% due 05/16/2059(2) | 48,722 | 50,096 | ||||||
Series 2017-190, Class AD 2.60% due 03/16/2060(2) | 52,802 | 54,302 | ||||||
Series 2020-146, Class MI 3.00% due 10/20/2050(4)(7) | 200,852 | 22,117 | ||||||
Series 2020-167, Class IE 3.00% due 11/20/2050(4)(7) | 216,643 | 26,521 | ||||||
Series 2020-167, Class IG 3.00% due 11/20/2050(4)(7) | 322,940 | 40,331 | ||||||
Series 2020-181, Class MI 3.00% due 12/20/2050(4)(7) | 183,444 | 21,394 | ||||||
Series 2021-15, Class IP 3.00% due 01/20/2051(4)(7) | 317,146 | 38,618 | ||||||
Series 2017-87, Class IO 4.00% due 01/20/2046(4)(7) | 65,638 | 4,622 | ||||||
|
| |||||||
1,885,469 | ||||||||
|
| |||||||
Total U.S. Government Agencies | ||||||||
(cost $10,950,416) |
| 10,950,340 | ||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES - 1.6% |
| |||||||
United States Treasury Bonds - 0.2% |
| |||||||
2.38% due 05/15/2051 | 250,000 | 266,016 | ||||||
|
| |||||||
United States Treasury Notes - 1.4% |
| |||||||
0.13% due 10/15/2023 | 550,000 | 548,023 | ||||||
0.25% due 03/15/2024 | 500,000 | 498,223 | ||||||
0.25% due 06/15/2024 | 150,000 | 149,144 | ||||||
0.88% due 06/30/2026 | 200,000 | 199,211 | ||||||
1.63% due 05/15/2031 | 1,000,000 | 1,010,469 | ||||||
|
| |||||||
2,405,070 | ||||||||
|
| |||||||
Total U.S. Government Treasuries | ||||||||
(cost $2,683,584) |
| 2,671,086 | ||||||
|
| |||||||
LOANS(9)(10)(11) - 0.4% |
| |||||||
Computer Software - 0.3% |
| |||||||
Ivanti Software, Inc. FRS | 497,500 | 498,371 | ||||||
|
| |||||||
Pipelines - 0.1% |
| |||||||
BCP Renaissance Parent LLC FRS | 228,114 | 225,955 | ||||||
|
| |||||||
Total Loans | ||||||||
(cost $718,532) |
| 724,326 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| |||||||
(cost $139,685,525) |
| 169,038,919 | ||||||
|
|
REPURCHASE AGREEMENTS - 2.0% |
| |||||||
Agreement with Fixed Income Clearing Corp., bearing interest at 0.00% dated 09/30/2021, to be repurchased 10/01/2021 in the amount of $3,440,000 and collateralized by $3,266,200 of United States Treasury Bonds, bearing interest at 2.38% due 11/15/2049 and having an approximate value of $3,508,870 | 3,440,000 | 3,440,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $143,125,525) | 100.0 | % | 172,478,919 | |||||
Other assets less liabilities | 0.0 | 60,038 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 172,538,957 | ||||
|
|
|
|
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2021, the aggregate value of these securities was $9,944,708 representing 5.8% of net assets. |
(1) | Perpetual maturity - maturity date reflects the next call date. |
(2) | Commercial Mortgage Backed Security |
(3) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(4) | Collateralized Mortgage Obligation |
(5) | Company has filed for bankruptcy protection. |
(6) | Security in default of interest. |
(7) | Interest Only |
(8) | Inverse Floating Rate Security that pays interest that varies inversely to changes in the market interest rates. The interest rate shown is the current interest rate at September 30, 2021. |
(9) | The Portfolio invests in senior loans which generally pay interest at rates which are periodically re-determined by reference to a base lending rate plus a premium. These base lending rates are generally either the lending rate offered by one or more major European banks, such as the London Inter-Bank Offered Rate (“LIBOR”) or the prime rate offered by one or more major United States banks, or the certificate of deposit rate. Senior loans are generally considered to be restrictive in that the Portfolio is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan. |
(10) | Senior loans in the Portfolio are generally subject to mandatory and/or optional prepayment. Because of these mandatory prepayment conditions and because there may be significant economic incentives for a borrower to prepay, prepayments may occur. As a result, the actual remaining maturity may be substantially less than the stated maturities shown. |
(11) | All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated. |
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
REMIC - Real Estate Mortgage Investment Conduit
STRIPS - Separate trading of registered interest and principal of securities
FRS - Floating Rate Security
VRS - Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 2021 and unless noted otherwise, the dates are the original maturity dates.
Index Legend
1 ML - 1 Month USD LIBOR
3 ML - 3 Month USD LIBOR
SOFR-Secured Overnight Financing Rate
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2021 (see Note 1):
Level 1- Unadjusted Quoted Prices | Level 2- Other Observable Inputs | Level 3- Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks | $ | 99,873,600 | $ | 99,371 | ** | $ | — | $ | 99,972,971 | |||||||
Exchange-Traded Funds | 16,406,600 | — | — | 16,406,600 | ||||||||||||
Preferred Securities/Capital Securities | — | 250,610 | — | 250,610 | ||||||||||||
Asset Backed Securities | — | 4,230,615 | — | 4,230,615 | ||||||||||||
U.S. Corporate Bonds & Notes | — | 31,903,598 | — | 31,903,598 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 1,928,773 | — | 1,928,773 | ||||||||||||
U.S. Government Agencies | — | 10,950,340 | — | 10,950,340 | ||||||||||||
U.S. Government Treasuries | — | 2,671,086 | — | 2,671,086 | ||||||||||||
Loans | — | 724,326 | — | 724,326 | ||||||||||||
Repurchase Agreements | — | 3,440,000 | — | 3,440,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 116,280,200 | $ | 56,198,719 | $ | — | $ | 172,478,919 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 1). |
At the beginning of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no Level 3 investments at the end of the reporting period. There were no Level 3 transfers during the period.
See Notes to Portfolio of Investments
Anchor Series Trust SA Wellington Capital Appreciation Portfolio
PORTFOLIO OF INVESTMENTS - September 30, 2021 - (unaudited)
Security Description | Shares/ Principal Amount | Value (Note 1) | ||||||
COMMON STOCKS - 98.2% |
| |||||||
Applications Software - 1.0% |
| |||||||
IronSource, Ltd.† Class A | 1,916,821 | $ | 20,835,844 | |||||
|
| |||||||
Brewery - 1.5% |
| |||||||
Constellation Brands, Inc., Class A | 144,604 | 30,466,617 | ||||||
|
| |||||||
Building Products-Air & Heating - 1.5% |
| |||||||
Johnson Controls International PLC | 430,765 | 29,326,481 | ||||||
|
| |||||||
Building-Mobile Home/Manufactured Housing - 1.2% |
| |||||||
Thor Industries, Inc. | 192,515 | 23,633,141 | ||||||
|
| |||||||
Building-Residential/Commercial - 1.1% |
| |||||||
Lennar Corp., Class A | 223,335 | 20,922,023 | ||||||
|
| |||||||
Commercial Services - 1.5% |
| |||||||
CoStar Group, Inc.† | 357,320 | 30,750,959 | ||||||
|
| |||||||
Commercial Services-Finance - 0.6% |
| |||||||
Multiplan Corp.† | 1,859,935 | 10,471,434 | ||||||
Payoneer Global, Inc.† | 174,700 | 1,493,685 | ||||||
|
| |||||||
11,965,119 | ||||||||
|
| |||||||
Communications Software - 1.1% |
| |||||||
RingCentral, Inc., Class A† | 104,798 | 22,793,565 | ||||||
|
| |||||||
Computer Data Security - 0.9% |
| |||||||
Varonis Systems, Inc.† | 295,710 | 17,993,953 | ||||||
|
| |||||||
Computer Services - 1.1% |
| |||||||
Leidos Holdings, Inc. | 220,415 | 21,188,494 | ||||||
|
| |||||||
Computer Software - 1.7% |
| |||||||
MongoDB, Inc.† | 57,088 | 26,917,563 | ||||||
ZoomInfo Technologies, Inc., Class A† | 118,800 | 7,269,372 | ||||||
|
| |||||||
34,186,935 | ||||||||
|
| |||||||
Data Processing/Management - 1.5% |
| |||||||
Fair Isaac Corp.† | 75,991 | 30,239,099 | ||||||
|
| |||||||
Diagnostic Equipment - 1.1% |
| |||||||
Danaher Corp. | 75,113 | 22,867,402 | ||||||
|
| |||||||
Distribution/Wholesale - 1.0% |
| |||||||
Copart, Inc.† | 145,421 | 20,172,801 | ||||||
|
| |||||||
Drug Delivery Systems - 3.0% |
| |||||||
DexCom, Inc.† | 111,038 | 60,722,241 | ||||||
|
| |||||||
E-Commerce/Products - 6.4% |
| |||||||
Amazon.com, Inc.† | 38,111 | 125,196,159 | ||||||
The Honest Company, Inc. Lock-Up Shares†(3) | 206,383 | 2,123,474 | ||||||
|
| |||||||
127,319,633 | ||||||||
|
| |||||||
E-Commerce/Services - 5.1% |
| |||||||
Airbnb, Inc., Class A† | 279,098 | 46,818,689 | ||||||
Booking Holdings, Inc.† | 12,734 | 30,228,861 | ||||||
Match Group, Inc.† | 159,771 | 25,082,449 | ||||||
|
| |||||||
102,129,999 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 3.8% |
| |||||||
Advanced Micro Devices, Inc.† | 571,321 | 58,788,931 | ||||||
Marvell Technology, Inc. | 293,417 | 17,695,979 | ||||||
|
| |||||||
76,484,910 | ||||||||
|
| |||||||
Energy-Alternate Sources - 1.0% |
| |||||||
SolarEdge Technologies, Inc.† | 78,255 | 20,754,791 | ||||||
|
| |||||||
Enterprise Software/Service - 8.5% |
| |||||||
Guidewire Software, Inc.† | 198,689 | 23,618,161 | ||||||
Paycom Software, Inc.† | 112,433 | 55,738,660 | ||||||
salesforce.com, Inc.† | 213,142 | 57,808,373 | ||||||
Workday, Inc., Class A† | 136,557 | 34,124,229 | ||||||
|
| |||||||
171,289,423 | ||||||||
|
| |||||||
Finance-Credit Card - 3.2% |
| |||||||
Mastercard, Inc., Class A | 184,768 | 64,240,138 | ||||||
|
| |||||||
Finance-Investment Banker/Broker - 1.0% |
| |||||||
Tradeweb Markets, Inc., Class A | 242,693 | 19,604,741 | ||||||
|
| |||||||
Finance-Other Services - 0.5% |
| |||||||
Coinbase Global, Inc., Class A† | 39,596 | 9,007,298 | ||||||
|
| |||||||
Internet Content-Entertainment - 11.3% |
| |||||||
Facebook, Inc., Class A† | 320,288 | 108,702,544 | ||||||
Snap, Inc., Class A† | 762,172 | 56,301,646 | ||||||
Spotify Technology SA† | 192,437 | 43,363,753 | ||||||
Twitter, Inc.† | 300,399 | 18,141,096 | ||||||
|
| |||||||
226,509,039 | ||||||||
|
| |||||||
Internet Gambling - 1.8% |
| |||||||
DraftKings, Inc., Class A† | 751,387 | 36,186,798 | ||||||
|
| |||||||
Lighting Products & Systems - 0.7% |
| |||||||
Universal Display Corp. | 85,442 | 14,607,164 | ||||||
|
| |||||||
Machinery-General Industrial - 1.0% |
| |||||||
Middleby Corp.† | 111,283 | 18,974,864 | ||||||
|
| |||||||
Medical Products - 4.7% |
| |||||||
ABIOMED, Inc.† | 65,465 | 21,310,167 | ||||||
Align Technology, Inc.† | 87,232 | 58,046,790 | ||||||
Inspire Medical Systems, Inc.† | 65,816 | 15,327,230 | ||||||
|
| |||||||
94,684,187 | ||||||||
|
| |||||||
Medical-Biomedical/Gene - 3.2% |
| |||||||
Ascendis Pharma A/S ADR† | 53,159 | 8,473,013 | ||||||
Exact Sciences Corp.† | 192,611 | 18,384,720 | ||||||
Illumina, Inc.† | 80,040 | 32,465,024 | ||||||
Kodiak Sciences, Inc.† | 46,275 | 4,441,475 | ||||||
|
| |||||||
63,764,232 | ||||||||
|
| |||||||
Medical-Drugs - 0.2% |
| |||||||
Reata Pharmaceuticals, Inc., Class A† | 31,178 | 3,136,819 | ||||||
|
| |||||||
Medical-Outpatient/Home Medical - 0.9% |
| |||||||
Oak Street Health, Inc.† | 420,756 | 17,894,753 | ||||||
|
| |||||||
Medical-Wholesale Drug Distribution - 1.4% |
| |||||||
GoodRx Holdings, Inc., Class A† | 690,220 | 28,312,824 | ||||||
|
| |||||||
Networking Products - 2.2% |
| |||||||
Arista Networks, Inc.† | 126,670 | 43,528,879 | ||||||
|
| |||||||
Patient Monitoring Equipment - 1.6% |
| |||||||
Insulet Corp.† | 114,140 | 32,442,012 | ||||||
|
| |||||||
Racetracks - 0.8% |
| |||||||
Penn National Gaming, Inc.† | 230,267 | 16,685,147 | ||||||
|
| |||||||
Recreational Vehicles - 0.7% |
| |||||||
Polaris, Inc. | 123,284 | 14,752,163 | ||||||
|
| |||||||
Retail-Apparel/Shoe - 4.9% |
| |||||||
Lululemon Athletica, Inc.† | 152,717 | 61,804,570 | ||||||
Ross Stores, Inc. | 335,002 | 36,464,968 | ||||||
|
| |||||||
98,269,538 | ||||||||
|
| |||||||
Retail-Misc./Diversified - 1.4% |
| |||||||
Five Below, Inc.† | 155,696 | 27,528,610 | ||||||
|
| |||||||
Retail-Perfume & Cosmetics - 1.0% |
| |||||||
Ulta Beauty, Inc.† | 54,590 | 19,702,623 | ||||||
|
|
Retail-Restaurants - 1.6% |
| |||||||
Chipotle Mexican Grill, Inc.† | 18,103 | 32,902,565 | ||||||
|
| |||||||
Schools - 0.9% |
| |||||||
Chegg, Inc.† | 263,332 | 17,911,843 | ||||||
|
| |||||||
Semiconductor Equipment - 0.9% |
| |||||||
MKS Instruments, Inc. | 120,384 | 18,167,149 | ||||||
|
| |||||||
Technology Services - 0.0% |
| |||||||
Magic Leap, Inc., Class A†(1)(3) | 186 | 2,214 | ||||||
|
| |||||||
Veterinary Diagnostics - 0.8% |
| |||||||
Elanco Animal Health, Inc.† | 493,266 | 15,730,253 | ||||||
|
| |||||||
Web Portals/ISP - 6.9% |
| |||||||
Alphabet, Inc., Class A† | 51,995 | 139,009,672 | ||||||
|
| |||||||
Total Common Stocks | ||||||||
(cost $1,640,294,451) |
| 1,969,598,955 | ||||||
|
| |||||||
CONVERTIBLE PREFERRED SECURITIES - 0.0% |
| |||||||
Advertising Services - 0.0% |
| |||||||
Nanigans, Inc., Series B†(1)(3) | ||||||||
(cost $1,384,662) | 126,818 | 0 | ||||||
|
| |||||||
Total Long-Term Investment Securities | ||||||||
(cost $1,641,679,113) |
| 1,969,598,955 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 0.4% |
| |||||||
Bank of America Securities LLC Joint Repurchase Agreement(2) | $ | 1,925,000 | 1,925,000 | |||||
Barclays Capital, Inc. Joint Repurchase Agreement(2) | 1,335,000 | 1,335,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(2) | 1,155,000 | 1,155,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(2) | 2,060,000 | 2,060,000 | ||||||
RBS Securities, Inc. Joint Repurchase Agreement(2) | 2,045,000 | 2,045,000 | ||||||
|
| |||||||
Total Repurchase Agreements | ||||||||
(cost $8,520,000) | 8,520,000 | |||||||
|
| |||||||
TOTAL INVESTMENTS | ||||||||
(cost $1,650,199,113) | 98.6 | % | 1,978,118,955 | |||||
Other assets less liabilities | 1.4 | 28,639,459 | ||||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 2,006,758,414 | ||||
|
|
|
|
† | Non-income producing security |
(1) | Securities classified as Level 3 (see Note 1). |
(2) | See Note 2 for details of Joint Repurchase Agreements. |
(3) | Denotes a restricted security that: (a) cannot be offered for public sale without first being registered, or being able to take advantage of an exemption from registration, under the Securities Act of 1933, as amended (the “1933 Act”); (b) is subject to a contractual restriction on public sales; or (c) is otherwise subject to a restriction on sales by operation of applicable law. Restricted securities are valued pursuant to Note 1. Certain restricted securities held by the Portfolio may not be sold except in exempt transactions or in a public offering registered under the 1933 Act. The Portfolio has no right to demand registration of these securities. The risk of investing in certain restricted securities is greater than the risk of investing in the securities of widely held, publicly traded companies. To the extent applicable, lack of a secondary market and resale restrictions may result in the inability of a Portfolio to sell a security at a fair price and may substantially delay the sale of the security. In addition, certain restricted securities may exhibit greater price volatility than securities for which secondary markets exist. As of September 30, 2021, the Portfolio held the following restricted securities: |
Description | Acquisition Date | Shares | Acquisition Cost | Value | Value Per Share | % of Net Assets | ||||||||||||||||||
Common Stocks | ||||||||||||||||||||||||
The Honest Co., Inc., Lock-up Shares | 08/20/2014 | 206,383 | $ | 2,641,712 | $ | 2,123,474 | $ | 10.29 | 0.11 | % | ||||||||||||||
Magic Leap, Inc., Class A | 12/28/2015 | 186 | 2,157,962 | 2,214 | 11.90 | 0.00 | ||||||||||||||||||
Convertible Preferred Securities | ||||||||||||||||||||||||
Nanigans, Inc., Series B | 03/16/2015 | 126,818 | 1,384,662 | 0 | 0.00 | 0.00 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
$ | 2,125,688 | 0.11 | % | |||||||||||||||||||||
|
|
|
|
ADR - American Depositary Receipt
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2021 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks: | ||||||||||||||||
E-Commerce/Products | $ | 125,196,159 | $ | 2,123,474 | $ | — | $ | 127,319,633 | ||||||||
Technology Services | — | — | 2,214 | 2,214 | ||||||||||||
Other Industries | 1,842,277,108 | — | — | 1,842,277,108 | ||||||||||||
Convertible Preferred Securities | — | — | 0 | 0 | ||||||||||||
Repurchase Agreements | — | 8,520,000 | — | 8,520,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 1,967,473,267 | $ | 10,643,474 | $ | 2,214 | $ | 1,978,118,955 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amount represents unrealized appreciation/depreciation as of the end of the reporting period |
At the beginning and end of the reporting period, Level 3 investments in securities were not considered a material portion of the Portfolio. There were no material Level 3 transfers during the reporting period.
See Notes to Portfolio of Investments
Anchor Series Trust SA Wellington Government and Quality Bond Portfolio
PORTFOLIO OF INVESTMENTS - September 30, 2021 - (unaudited)
Security Description | Principal Amount | Value (Note 1) | ||||||
ASSET BACKED SECURITIES - 7.7% |
| |||||||
Diversified Financial Services - 7.7% |
| |||||||
Aaset Trust | $ | 686,408 | $ | 682,713 | ||||
Aligned Data Centers Issuer LLC | 4,010,000 | 4,028,109 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 452,868 | 454,084 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 423,415 | 426,081 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 324,262 | 327,360 | ||||||
Angel Oak Mtg. Trust I LLC VRS | 658,193 | 661,783 | ||||||
Apidos CLO FRS | 3,600,000 | 3,603,139 | ||||||
ARI Fleet Lease Trust | 192,270 | 192,847 | ||||||
Bain Capital Credit CLO, Ltd. FRS | 1,540,000 | 1,539,587 | ||||||
BANK | 7,380,000 | 7,450,055 | ||||||
Battalion CLO, Ltd. FRS | 910,000 | 909,514 | ||||||
Bayview Koitere Fund Trust VRS | 1,092,514 | 1,118,604 | ||||||
Benefit Street Partners, Ltd. FRS | 795,000 | 796,296 | ||||||
BFLD Trust FRS | 2,140,000 | 2,162,685 | ||||||
BlueMountain CLO XXXI, Ltd. FRS | 2,000,000 | 1,998,990 | ||||||
BX Commercial Mtg. Trust FRS | 4,455,000 | 4,457,795 | ||||||
BXHPP Trust FRS | 4,335,000 | 4,337,719 | ||||||
Canadian Pacer Auto Receivables Trust | 22,693 | 22,764 | ||||||
Castlelake Aircraft Structured Trust | 943,246 | 943,234 | ||||||
CF Hippolyta LLC | 1,442,349 | 1,451,314 | ||||||
CF Hippolyta LLC | 3,065,302 | 3,106,099 | ||||||
Chesapeake Funding II LLC | 1,235,221 | 1,241,674 | ||||||
Chesapeake Funding II LLC | 438,127 | 439,557 | ||||||
CIFC Funding, Ltd. FRS | 2,000,000 | 1,998,992 | ||||||
Cloud Pass-Through Trust VRS | 99,224 | 99,573 | ||||||
COLT Mtg. Loan Trust VRS | 610,743 | 611,065 | ||||||
Columbia Cent, Ltd. FRS | 1,777,129 | 1,778,048 | ||||||
Columbia Cent, Ltd. FRS | 3,510,000 | 3,509,115 | ||||||
COMM Mtg. Trust | 1,020,000 | 1,031,204 | ||||||
Credit Acceptance Auto Loan Trust | �� | 5,205,000 | 5,250,725 | |||||
Enterprise Fleet Financing LLC | 767,863 | 776,596 | ||||||
Enterprise Fleet Financing LLC | 151,849 | 152,458 | ||||||
FirstKey Homes Trust | 4,880,000 | 4,870,922 | ||||||
Flagstar Mtg. Trust VRS | 2,185,000 | 2,214,720 | ||||||
Flagstar Mtg. Trust VRS | 1,452,768 | 1,490,791 | ||||||
Ford Credit Auto Lease Trust | 1,585,000 | 1,580,330 |
Ford Credit Auto Owner Trust | 835,000 | 833,874 | ||||||
Ford Credit Auto Owner Trust | 725,000 | 725,037 | ||||||
GreatAmerica Leasing Receivables Funding LLC | 204,850 | 205,356 | ||||||
Horizon Aircraft Finance, Ltd. | 746,999 | 744,994 | ||||||
Horizon Aircraft Finance, Ltd. | 421,853 | 422,866 | ||||||
LIFE Mtg. Trust FRS | 895,000 | 895,841 | ||||||
MACH 1, Ltd. | 446,023 | 444,984 | ||||||
Madison Park Funding, Ltd. FRS | 7,976,989 | 7,976,319 | ||||||
Magnetite, Ltd. FRS | 5,467,962 | 5,472,774 | ||||||
Magnetite, Ltd. FRS | 2,878,000 | 2,878,768 | ||||||
Master Credit Card Trust FRS | 4,730,000 | 4,754,400 | ||||||
MetLife Securitization Trust VRS | 685,894 | 703,617 | ||||||
Mill City Mtg. Loan Trust VRS | 67,569 | 67,778 | ||||||
Mill City Mtg. Loan Trust VRS | 653,633 | 664,234 | ||||||
MMAF Equipment Finance LLC | 2,960,000 | 3,087,408 | ||||||
OHA Credit Funding 3, Ltd. FRS | 4,550,000 | 4,548,853 | ||||||
OneMain Direct Auto Receivables Trust | 533,545 | 534,749 | ||||||
Rockland Park CLO, Ltd. FRS | 1,825,000 | 1,824,540 | ||||||
Rockland Park CLO, Ltd. FRS | 2,750,000 | 2,748,611 | ||||||
RR 16, Ltd. FRS | 2,740,000 | 2,738,619 | ||||||
SCF Equipment Leasing LLC | 5,815,000 | 5,800,492 | ||||||
SFAVE Commercial Mtg. Securities Trust VRS | 1,340,000 | 1,475,689 | ||||||
SoFi Consumer Loan Program Trust | 1,500,000 | 1,499,888 | ||||||
SoFi Consumer Loan Program Trust | 490,596 | 493,663 | ||||||
Sound Point, Ltd. FRS | 4,700,000 | 4,707,153 | ||||||
STARR II | 526,011 | 526,247 | ||||||
STARR III | 19,620 | 19,444 | ||||||
Symphony CLO XVII, Ltd. FRS | 1,146,294 | 1,147,006 | ||||||
Towd Point Mtg. Trust VRS | 164,346 | 164,723 | ||||||
Towd Point Mtg. Trust VRS | 1,190,525 | 1,216,495 | ||||||
Towd Point Mtg. Trust VRS | 599,491 | 611,724 | ||||||
Treman Park, Ltd. FRS | 4,043,318 | 4,046,480 | ||||||
Vantage Data Centers Issuer LLC | 773,542 | 798,789 |
Vantage Data Centers LLC | 3,280,000 | 3,269,114 | ||||||
Venture XIII CLO, Ltd. FRS | 2,905,000 | 2,904,268 | ||||||
|
| |||||||
Total Asset Backed Securities |
| 138,671,339 | ||||||
|
| |||||||
U.S. CORPORATE BONDS & NOTES - 15.1% |
| |||||||
Apparel Manufacturers - 0.4% |
| |||||||
VF Corp. | 995,000 | 1,056,131 | ||||||
VF Corp. | 5,740,000 | 6,035,903 | ||||||
|
| |||||||
7,092,034 | ||||||||
|
| |||||||
Banks-Commercial - 0.3% |
| |||||||
PNC Bank NA | 865,000 | 933,523 | ||||||
Truist Financial Corp. | 4,700,000 | 4,821,966 | ||||||
|
| |||||||
5,755,489 | ||||||||
|
| |||||||
Banks-Fiduciary - 0.7% |
| |||||||
Bank of New York Mellon Corp. | 2,250,000 | 2,322,822 | ||||||
National Securities Clearing Corp. | 8,905,000 | 8,773,942 | ||||||
State Street Corp. | 1,495,000 | 1,516,808 | ||||||
|
| |||||||
12,613,572 | ||||||||
|
| |||||||
Banks-Super Regional - 0.4% |
| |||||||
US Bancorp | 400,000 | 508,011 | ||||||
Wells Fargo & Co. | 2,760,000 | 2,806,045 | ||||||
Wells Fargo & Co. | 1,780,000 | 1,906,864 | ||||||
Wells Fargo & Co. | 1,770,000 | 1,841,988 | ||||||
Wells Fargo & Co. | 585,000 | 715,629 | ||||||
|
| |||||||
7,778,537 | ||||||||
|
| |||||||
Brewery - 0.1% |
| |||||||
Anheuser-Busch InBev Worldwide, Inc. | 1,725,000 | 2,058,569 | ||||||
|
| |||||||
Cable/Satellite TV - 0.6% |
| |||||||
Comcast Corp. | 850,000 | 744,864 | ||||||
Comcast Corp. | 3,011,000 | 2,878,920 | ||||||
Comcast Corp. | 1,675,000 | 1,582,185 | ||||||
Comcast Corp. | 2,535,000 | 2,811,111 | ||||||
Comcast Corp. | 1,524,000 | 1,736,106 | ||||||
Comcast Corp. | 200,000 | 234,995 | ||||||
|
| |||||||
9,988,181 | ||||||||
|
| |||||||
Computer Services - 0.2% |
| |||||||
International Business Machines Corp. | 3,775,000 | 4,167,913 | ||||||
|
| |||||||
Computers - 0.1% |
| |||||||
Apple, Inc. | 1,050,000 | 1,141,770 | ||||||
|
| |||||||
Diversified Banking Institutions - 4.1% |
| |||||||
Bank of America Corp. | 4,575,000 | 4,593,215 | ||||||
Bank of America Corp. | 5,285,000 | 5,206,118 | ||||||
Bank of America Corp. | 1,547,000 | 1,594,214 | ||||||
Bank of America Corp. | 5,015,000 | 5,331,079 | ||||||
Bank of America Corp. | 1,950,000 | 2,047,169 | ||||||
Bank of America Corp. | 2,245,000 | 2,459,907 | ||||||
Bank of America Corp. | 2,645,000 | 2,958,500 | ||||||
Bank of America Corp. | 2,200,000 | 2,377,883 |
Goldman Sachs Group, Inc. | 7,705,000 | 7,681,249 | ||||||
Goldman Sachs Group, Inc. | 3,380,000 | 3,345,620 | ||||||
Goldman Sachs Group, Inc. | 1,995,000 | 2,015,389 | ||||||
Goldman Sachs Group, Inc. | 2,075,000 | 2,215,412 | ||||||
Goldman Sachs Group, Inc. | 2,565,000 | 2,836,308 | ||||||
JPMorgan Chase & Co. | 2,895,000 | 2,789,592 | ||||||
JPMorgan Chase & Co. | 7,900,000 | 8,002,605 | ||||||
JPMorgan Chase & Co. | 4,520,000 | 5,201,741 | ||||||
Morgan Stanley | 1,505,000 | 1,441,617 | ||||||
Morgan Stanley | 4,975,000 | 5,483,865 | ||||||
Morgan Stanley | 6,125,000 | 6,605,864 | ||||||
|
| |||||||
74,187,347 | ||||||||
|
| |||||||
Electric-Distribution - 0.4% |
| |||||||
Mid-Atlantic Interstate Transmission LLC | 3,646,000 | 4,081,263 | ||||||
Oglethorpe Power Corp. | 2,660,000 | 3,338,083 | ||||||
|
| |||||||
7,419,346 | ||||||||
|
| |||||||
Electric-Integrated - 1.5% |
| |||||||
Georgia Power Co. | 1,905,000 | 2,026,650 | ||||||
Georgia Power Co. | 455,000 | 529,381 | ||||||
Georgia Power Co. | 625,000 | 757,135 | ||||||
NextEra Energy Capital Holdings, Inc. | 5,560,000 | 5,558,624 | ||||||
Niagara Mohawk Power Corp. | 3,820,000 | 3,705,497 | ||||||
San Diego Gas & Electric Co. | 1,052,000 | 1,235,193 | ||||||
SCE Recovery Funding LLC | 1,495,000 | 1,446,572 | ||||||
SCE Recovery Funding LLC | 630,000 | 602,161 | ||||||
SCE Recovery Funding LLC | 365,000 | 345,995 | ||||||
South Carolina Electric & Gas Co. | 265,000 | 330,537 | ||||||
South Carolina Electric & Gas Co. | 1,195,000 | 1,614,749 | ||||||
South Carolina Electric & Gas Co. | 2,400,000 | 3,339,994 | ||||||
Southern California Edison Co. | 885,000 | 888,002 | ||||||
Southern California Edison Co. | 430,000 | 467,209 | ||||||
Westar Energy, Inc. | 3,200,000 | 3,324,914 | ||||||
|
| |||||||
26,172,613 | ||||||||
|
| |||||||
Electronic Components-Semiconductors - 0.2% |
| |||||||
Intel Corp. | 3,560,000 | 3,550,998 | ||||||
|
| |||||||
Enterprise Software/Service - 0.3% |
| |||||||
Oracle Corp. | 3,810,000 | 3,805,405 | ||||||
Oracle Corp. | 910,000 | 922,183 | ||||||
|
| |||||||
4,727,588 | ||||||||
|
| |||||||
Gas-Distribution - 0.4% |
| |||||||
Boston Gas Co. | 995,000 | 1,036,151 | ||||||
Boston Gas Co. | 1,655,000 | 1,761,058 | ||||||
Brooklyn Union Gas Co. | 1,170,000 | 1,253,310 | ||||||
KeySpan Gas East Corp. | 3,525,000 | 3,666,438 | ||||||
|
| |||||||
7,716,957 | ||||||||
|
|
Insurance-Life/Health - 1.4% |
| |||||||
Athene Global Funding | 8,470,000 | 8,661,642 | ||||||
Brighthouse Financial Global Funding | 600,000 | 603,458 | ||||||
Brighthouse Financial Global Funding | 6,290,000 | 6,315,163 | ||||||
Equitable Financial Life Global Funding | 3,405,000 | 3,359,322 | ||||||
Equitable Financial Life Global Funding | 5,985,000 | 5,941,392 | ||||||
|
| |||||||
24,880,977 | ||||||||
|
| |||||||
Insurance-Multi-line - 0.4% |
| |||||||
Metropolitan Life Global Funding I | 965,000 | 977,397 | ||||||
Metropolitan Life Global Funding I | 1,330,000 | 1,461,843 | ||||||
Nationwide Mutual Insurance Co. | 3,815,000 | 4,334,827 | ||||||
|
| |||||||
6,774,067 | ||||||||
|
| |||||||
Insurance-Mutual - 0.3% |
| |||||||
New York Life Global Funding | 4,655,000 | 4,905,423 | ||||||
Northwestern Mutual Life Insurance Co. | 294,000 | 318,303 | ||||||
|
| |||||||
5,223,726 | ||||||||
|
| |||||||
Medical Labs & Testing Services - 0.3% |
| |||||||
Roche Holdings, Inc. | 5,080,000 | 5,311,678 | ||||||
|
| |||||||
Medical-Drugs - 0.2% |
| |||||||
Novartis Capital Corp. | 3,700,000 | 3,968,314 | ||||||
|
| |||||||
Medical-HMO - 0.4% |
| |||||||
Kaiser Foundation Hospitals | 3,915,000 | 3,952,405 | ||||||
UnitedHealth Group, Inc. | 1,155,000 | 1,156,237 | ||||||
UnitedHealth Group, Inc. | 1,165,000 | 1,282,774 | ||||||
UnitedHealth Group, Inc. | 825,000 | 1,012,175 | ||||||
|
| |||||||
7,403,591 | ||||||||
|
| |||||||
Medical-Hospitals - 1.5% |
| |||||||
Bon Secours Mercy Health, Inc. | 840,000 | 834,729 | ||||||
Children’s National Medical Center | 1,890,000 | 1,859,397 | ||||||
CommonSpirit Health | 6,100,000 | 6,795,369 | ||||||
Dignity Health | 1,242,000 | 1,339,493 | ||||||
Mercy Health | 2,700,000 | 2,955,344 | ||||||
Mercy Health | 2,645,000 | 3,030,092 | ||||||
Piedmont Healthcare, Inc. | 6,525,000 | 6,393,602 | ||||||
Stanford Health Care | 2,000,000 | 2,196,037 | ||||||
Sutter Health | 1,740,000 | 1,752,728 | ||||||
|
| |||||||
27,156,791 | ||||||||
|
| |||||||
Multimedia - 0.0% |
| |||||||
NBCUniversal Media LLC | 505,000 | 608,046 | ||||||
|
| |||||||
Oil Companies-Integrated - 0.1% |
| |||||||
Exxon Mobil Corp. | 845,000 | 884,271 | ||||||
|
| |||||||
Real Estate Investment Trusts - 0.3% |
| |||||||
SBA Tower Trust | 1,555,000 | 1,550,331 | ||||||
SBA Tower Trust | 810,000 | 819,870 |
SBA Tower Trust | 1,030,000 | 1,066,555 | ||||||
SBA Tower Trust | 1,495,000 | 1,513,936 | ||||||
|
| |||||||
4,950,692 | ||||||||
|
| |||||||
Schools - 0.1% |
| |||||||
Stanford University | 1,970,000 | 2,252,222 | ||||||
|
| |||||||
Special Purpose Entity - 0.0% |
| |||||||
Postal Square LP | 451,750 | 467,962 | ||||||
|
| |||||||
Telephone-Integrated - 0.2% |
| |||||||
Verizon Communications, Inc. | 470,000 | 532,123 | ||||||
Verizon Communications, Inc. | 2,000,000 | 2,365,291 | ||||||
|
| |||||||
2,897,414 | ||||||||
|
| |||||||
Tobacco - 0.2% |
| |||||||
Philip Morris International, Inc. | 3,000,000 | 3,197,060 | ||||||
|
| |||||||
Transport-Rail - 0.0% |
| |||||||
Burlington Northern Santa Fe LLC | 500,000 | 629,446 | ||||||
|
| |||||||
Transport-Services - 0.0% |
| |||||||
Federal Express Corp. | 123,098 | 125,053 | ||||||
|
| |||||||
Total U.S. Corporate Bonds & Notes |
| 271,102,224 | ||||||
|
| |||||||
FOREIGN CORPORATE BONDS & NOTES - 9.7% |
| |||||||
Banks-Commercial - 4.0% |
| |||||||
Bank of Montreal | 4,000,000 | 4,024,969 | ||||||
Banque Federative du Credit Mutuel SA | 11,525,000 | 11,535,202 | ||||||
Canadian Imperial Bank of Commerce FRS | 2,845,000 | 2,859,285 | ||||||
Cooperatieve Rabobank UA | 4,015,000 | 3,955,710 | ||||||
Credit Suisse AG | 860,000 | 861,687 | ||||||
Danske Bank A/S | 10,225,000 | 10,140,038 | ||||||
Danske Bank A/S | 1,350,000 | 1,428,137 | ||||||
DNB Bank ASA | 3,860,000 | 3,860,063 | ||||||
DNB Boligkreditt AS | 1,780,000 | 1,799,776 | ||||||
ING Groep NV | 2,045,000 | 2,289,762 | ||||||
National Australia Bank, Ltd. | 8,200,000 | 8,232,040 | ||||||
NBK SPC, Ltd. | 6,250,000 | 6,171,875 | ||||||
NBK SPC, Ltd. | 7,345,000 | 7,431,891 | ||||||
Standard Chartered PLC | 3,310,000 | 3,298,476 | ||||||
Toronto-Dominion Bank | 4,000,000 | 4,026,691 | ||||||
|
| |||||||
71,915,602 | ||||||||
|
| |||||||
Building Societies - 0.1% |
| |||||||
Nationwide Building Society | 1,180,000 | 1,200,491 | ||||||
|
| |||||||
Diversified Banking Institutions - 3.1% |
| |||||||
Bank of Nova Scotia | 6,570,000 | 6,966,739 | ||||||
BNP Paribas SA | 2,955,000 | 2,932,577 | ||||||
BNP Paribas SA | 1,905,000 | 1,996,499 | ||||||
BNP Paribas SA | 390,000 | 396,680 | ||||||
BNP Paribas SA | 2,025,000 | 2,159,289 |
Credit Agricole SA | 5,165,000 | 5,511,613 | ||||||
Credit Agricole SA | 1,175,000 | 1,235,779 | ||||||
Credit Suisse Group AG FRS | 3,725,000 | 3,782,172 | ||||||
Credit Suisse Group AG | 2,655,000 | 2,895,507 | ||||||
HSBC Holdings PLC | 4,815,000 | 4,780,464 | ||||||
HSBC Holdings PLC | 3,795,000 | 3,760,693 | ||||||
HSBC Holdings PLC | 5,475,000 | 5,544,604 | ||||||
HSBC Holdings PLC | 7,310,000 | 7,684,433 | ||||||
HSBC Holdings PLC | 670,000 | 796,041 | ||||||
Societe Generale SA | 1,355,000 | 1,365,892 | ||||||
UBS Group AG | 4,760,000 | 4,703,757 | ||||||
|
| |||||||
56,512,739 | ||||||||
|
| |||||||
Investment Companies - 0.3% |
| |||||||
Temasek Financial I, Ltd. | 6,160,000 | 5,927,645 | ||||||
|
| |||||||
Oil Companies-Exploration & Production - 0.0% |
| |||||||
BG Energy Capital PLC | 670,000 | 671,003 | ||||||
|
| |||||||
Oil Companies-Integrated - 0.4% |
| |||||||
Qatar Petroleum | 2,660,000 | 2,634,464 | ||||||
Qatar Petroleum | 2,215,000 | 2,213,937 | ||||||
Shell International Finance BV | 1,000,000 | 1,079,842 | ||||||
Statoil ASA | 211,000 | 216,728 | ||||||
|
| |||||||
6,144,971 | ||||||||
|
| |||||||
Pipelines - 0.8% |
| |||||||
Galaxy Pipeline Assets Bidco, Ltd. | 15,405,000 | 15,117,676 | ||||||
|
| |||||||
Real Estate Investment Trusts - 0.2% |
| |||||||
Scentre Group Trust 1/Scentre Group Trust 2 | 3,282,000 | 3,558,526 | ||||||
|
| |||||||
Telecom Services - 0.6% |
| |||||||
NBN Co., Ltd. | 6,485,000 | 6,447,381 | ||||||
NTT Finance Corp. | 4,270,000 | 4,243,710 | ||||||
|
| |||||||
10,691,091 | ||||||||
|
| |||||||
Telephone-Integrated - 0.2% |
| |||||||
Ooredoo International Finance, Ltd. | 3,010,000 | 3,064,902 | ||||||
|
| |||||||
Total Foreign Corporate Bonds & Notes |
| 174,804,646 | ||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS - 1.1% |
| |||||||
Electric-Distribution - 0.2% |
| |||||||
Hydro-Quebec | 3,000,000 | 3,067,372 | ||||||
|
| |||||||
Sovereign - 0.9% |
| |||||||
Kingdom of Saudi Arabia | 1,775,000 | 1,776,899 | ||||||
Kingdom of Saudi Arabia | 2,110,000 | 2,174,524 | ||||||
Republic of Chile | 6,925,000 | 6,750,074 | ||||||
Republic of Chile | 2,110,000 | 2,112,637 | ||||||
State of Qatar | 3,335,000 | 3,508,127 | ||||||
|
| |||||||
16,322,261 | ||||||||
|
| |||||||
Total Foreign Government Obligations |
| 19,389,633 | ||||||
|
|
MUNICIPAL BONDS & NOTES - 1.9% |
| |||||||
Bay Area Toll Authority | 70,000 | 123,140 | ||||||
Chicago Transit Authority | 2,385,000 | 3,372,251 | ||||||
Chicago Transit Authority | 60,000 | 60,571 | ||||||
Chicago Transit Authority | 145,000 | 205,205 | ||||||
City of San Antonio, Texas Electric & Gas Systems | 515,000 | 516,009 | ||||||
County of Broward, Florida Airport System | 435,000 | 457,596 | ||||||
Foothill-Eastern Transportation Corridor Agency | 2,670,000 | 2,813,443 | ||||||
Golden State Tobacco Securitization Corp. | 100,000 | 101,272 | ||||||
Golden State Tobacco Securitization Corp. | 505,000 | 514,176 | ||||||
Golden State Tobacco Securitization Corp. | 200,000 | 202,502 | ||||||
Illinois Municipal Electric Agency | 1,910,000 | 2,492,032 | ||||||
Kansas Development Finance Authority | 1,555,000 | 1,524,743 | ||||||
Kansas Development Finance Authority | 685,000 | 765,284 | ||||||
Metropolitan Transportation Authority | 1,130,000 | 1,542,240 | ||||||
Metropolitan Transportation Authority | 100,000 | 114,688 | ||||||
Metropolitan Transportation Authority | 815,000 | 1,168,762 | ||||||
Municipal Electric Authority of Georgia | 1,435,000 | 2,154,628 | ||||||
Oregon School Boards Association | 2,534,152 | 2,854,204 | ||||||
Philadelphia Authority for Industrial Development | 2,845,000 | 3,653,394 | ||||||
Port Authority of New York & New Jersey | 2,645,000 | 2,663,689 | ||||||
Sales Tax Securitization Corp. | 2,870,000 | 3,661,967 | ||||||
State of Wisconsin | 1,907,000 | 2,187,343 | ||||||
Utility Debt Securitization Authority | 1,405,000 | 1,446,658 | ||||||
|
| |||||||
Total Municipal Bonds & Notes |
| 34,595,797 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCIES - 30.5% |
| |||||||
Federal Home Loan Mtg. Corp. - 3.1% |
| |||||||
2.50% due 10/01/2031 | 3,027,408 | 3,167,120 | ||||||
3.00% due 11/01/2046 | 17,653,227 | 18,896,309 | ||||||
3.00% due 12/01/2046 | 4,718,717 | 5,053,591 | ||||||
4.00% due 09/01/2026 | 299,051 | 317,257 | ||||||
4.00% due 12/01/2040 | 2,025,084 | 2,233,148 | ||||||
6.00% due 12/01/2039 | 102,334 | 115,679 | ||||||
7.50% due 05/01/2027 | 368 | 409 | ||||||
Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. | 2,800,000 | 3,052,282 | ||||||
Federal Home Loan Mtg. Corp. REMIC |
| |||||||
Series 4146, Class AB 1.13% due 12/15/2027(2) | 1,767,782 | 1,786,361 | ||||||
Series 4142, Class PT 1.25% due 12/15/2027(2) | 1,271,832 | 1,290,077 | ||||||
Series 4122, Class AB 1.50% due 10/15/2042(2) | 333,092 | 333,045 | ||||||
Series 4166, Class PB 1.75% due 03/15/2041(2) | 360,590 | 368,141 |
Series 4000, Class GA 2.00% due 07/15/2031(2) | 305,150 | 312,937 | ||||||
Series 4654, Class KA 3.00% due 06/15/2045(2) | 3,886,320 | 4,033,873 | ||||||
Series 4758, Class CA 3.00% due 07/15/2047(2) | 2,416,829 | 2,577,943 | ||||||
Federal Home Loan Mtg. Corp. SCRT |
| |||||||
Series 2021-1, Class MTU 2.50% due 09/25/2060(2) | 9,081,986 | 9,390,486 | ||||||
Series 2019-3, Class MA 3.50% due 10/25/2058(2) | 1,457,065 | 1,527,715 | ||||||
|
| |||||||
54,456,373 | ||||||||
|
| |||||||
Federal National Mtg. Assoc. - 4.0% |
| |||||||
2.00% due 09/01/2031 | 192,042 | 198,465 | ||||||
2.00% due 11/01/2031 | 262,266 | 271,022 | ||||||
2.00% due 12/01/2031 | 930,501 | 961,640 | ||||||
2.47% due 05/01/2025 | 3,118,453 | 3,275,995 | ||||||
2.50% due 03/01/2030 | 3,036,031 | 3,176,987 | ||||||
2.68% due 05/01/2025 | 5,853,013 | 6,182,896 | ||||||
2.99% due 10/01/2025 | 2,012,928 | 2,155,718 | ||||||
3.00% due 05/01/2027 | 288,501 | 304,404 | ||||||
3.00% due 06/01/2027 | 140,815 | 149,125 | ||||||
3.00% due 08/01/2027 | 77,152 | 81,665 | ||||||
3.00% due 10/01/2046 | 5,845,585 | 6,254,417 | ||||||
3.01% due 12/01/2024 | 3,501,743 | 3,726,668 | ||||||
3.07% due 02/01/2025 | 700,000 | 747,652 | ||||||
3.09% due 10/01/2025 | 961,762 | 1,033,273 | ||||||
3.12% due 05/01/2033 | 2,577,272 | 2,819,951 | ||||||
4.00% due 09/01/2026 | 1,798,728 | 1,909,899 | ||||||
4.00% due 01/01/2046 | 2,768,234 | 3,017,132 | ||||||
4.00% due 02/01/2046 | 2,982,679 | 3,253,323 | ||||||
4.50% due 11/01/2026 | 267,587 | 280,698 | ||||||
4.50% due 01/01/2027 | 204,231 | 213,855 | ||||||
4.50% due 05/01/2039 | 16,094 | 17,968 | ||||||
4.50% due 06/01/2039 | 50,494 | 54,667 | ||||||
4.50% due 08/01/2039 | 4,766 | 5,341 | ||||||
4.50% due 11/01/2040 | 186,518 | 201,698 | ||||||
4.50% due 12/01/2040 | 135,378 | 151,668 | ||||||
4.50% due 07/01/2041 | 222,736 | 247,085 | ||||||
4.50% due 06/01/2043 | 142,690 | 157,097 | ||||||
4.50% due 10/01/2043 | 197,833 | 214,110 | ||||||
5.50% due 03/01/2038 | 184,996 | 215,685 | ||||||
5.50% due 06/01/2038 | 21,699 | 25,299 | ||||||
5.50% due 08/01/2038 | 20,193 | 23,404 | ||||||
5.50% due 09/01/2039 | 8,939 | 10,322 | ||||||
5.50% due 06/01/2040 | 5,100 | 5,751 | ||||||
6.50% due 02/01/2038 | 33,294 | 38,651 | ||||||
6.50% due 10/01/2039 | 35,872 | 41,724 | ||||||
Federal National Mtg. Assoc. Multifamily REMIC FRS | 259,629 | 259,696 | ||||||
Federal National Mtg. Assoc. Multifamily REMIC Trust VRS | 9,037,297 | 9,531,160 | ||||||
Federal National Mtg. Assoc. REMIC |
| |||||||
Series 2013-9, Class PT 1.25% due 02/25/2028(2) | 1,082,439 | 1,094,996 | ||||||
Series 2012-103, Class HB 1.50% due 09/25/2027(2) | 3,694,233 | 3,761,556 | ||||||
Series 2019-41, Class AC 2.50% due 03/25/2053(2) | 2,225,911 | 2,290,441 | ||||||
Series 2017-51, Class AP 3.00% due 10/25/2045(2) | 9,677,305 | 10,072,749 | ||||||
Series 2019-6, Class GJ 3.00% due 02/25/2049(2) | 590,229 | 620,311 | ||||||
Series 2018-77, Class PA 3.50% due 02/25/2048(2) | 2,071,522 | 2,162,995 | ||||||
Series 2019-22, Class BA 3.50% due 12/25/2058(2) | 704,511 | 763,066 | ||||||
|
| |||||||
71,982,225 | ||||||||
|
| |||||||
Government National Mtg. Assoc. - 6.9% |
| |||||||
2.00% due October 30 TBA | 8,550,000 | 8,667,563 | ||||||
2.00% due November 30 TBA | 16,900,000 | 17,100,027 | ||||||
2.50% due October 30 TBA | 19,600,000 | 20,221,688 | ||||||
2.50% due November 30 TBA | 9,650,000 | 9,938,746 | ||||||
3.00% due October 30 TBA | 14,375,000 | 15,012,891 | ||||||
3.00% due November 30 TBA | 14,375,000 | 14,987,619 | ||||||
4.00% due 02/15/2041 | 363,404 | 397,480 | ||||||
4.00% due 09/15/2041 | 400,024 | 443,390 | ||||||
4.00% due 08/15/2042 | 115,811 | 131,203 | ||||||
4.00% due October 30 TBA | 24,250,000 | 25,726,787 | ||||||
4.50% due 05/15/2040 | 278,347 | 314,849 | ||||||
4.50% due 06/15/2040 | 228,381 | 257,324 | ||||||
4.50% due 07/15/2040 | 354,238 | 399,967 | ||||||
4.50% due 05/15/2042 | 107,508 | 120,473 | ||||||
4.50% due October 30 TBA | 3,025,000 | 3,224,934 | ||||||
5.00% due 07/15/2033 | 465,146 | 539,717 | ||||||
5.00% due 10/15/2033 | 29,088 | 33,276 | ||||||
5.00% due 11/15/2033 | 4,983 | 5,685 | ||||||
5.00% due 12/15/2033 | 8,743 | 9,995 | ||||||
5.00% due 01/15/2034 | 66,698 | 75,520 | ||||||
5.00% due 02/15/2034 | 28,186 | 31,914 | ||||||
5.00% due 03/15/2034 | 1,379 | 1,559 | ||||||
5.00% due 05/15/2034 | 5,055 | 5,833 | ||||||
5.00% due 06/15/2035 | 3,081 | 3,580 | ||||||
5.00% due 09/15/2035 | 43,252 | 49,560 | ||||||
5.00% due 11/15/2035 | 16,434 | 18,772 | ||||||
5.00% due 12/15/2035 | 9,965 | 11,427 | ||||||
5.00% due 02/15/2036 | 6,359 | 7,199 | ||||||
5.00% due 09/15/2036 | 1,744 | 1,974 | ||||||
5.00% due 07/15/2038 | 28,180 | 31,907 | ||||||
5.00% due 08/15/2038 | 11,819 | 13,685 | ||||||
5.00% due 11/15/2038 | 35,603 | 41,057 | ||||||
5.00% due 12/15/2038 | 137,685 | 159,417 | ||||||
5.00% due 06/15/2039 | 164,573 | 190,690 | ||||||
5.00% due 08/15/2039 | 33,524 | 38,585 | ||||||
5.00% due 04/15/2041 | 106,898 | 123,784 | ||||||
5.50% due 10/15/2032 | 712 | 794 | ||||||
5.50% due 02/15/2033 | 52,171 | 58,175 |
5.50% due 05/15/2033 | 26,631 | 30,696 | ||||||
5.50% due 06/15/2033 | 32,460 | 37,299 | ||||||
5.50% due 07/15/2033 | 5,302 | 5,921 | ||||||
5.50% due 08/15/2033 | 406 | 452 | ||||||
5.50% due 09/15/2033 | 1,781 | 2,053 | ||||||
5.50% due 11/15/2033 | 39,525 | 44,237 | ||||||
5.50% due 01/15/2034 | 7,826 | 9,072 | ||||||
5.50% due 02/15/2034 | 15,387 | 17,777 | ||||||
5.50% due 03/15/2034 | 255,160 | 288,253 | ||||||
5.50% due 04/15/2034 | 12,883 | 14,955 | ||||||
5.50% due 05/15/2034 | 22,348 | 25,146 | ||||||
5.50% due 06/15/2034 | 2,444 | 2,725 | ||||||
5.50% due 07/15/2034 | 3,948 | 4,405 | ||||||
5.50% due 08/15/2034 | 7,002 | 7,813 | ||||||
5.50% due 09/15/2034 | 126,018 | 140,473 | ||||||
5.50% due 10/15/2034 | 68,517 | 76,422 | ||||||
5.50% due 04/15/2036 | 20,391 | 22,768 | ||||||
6.00% due 06/15/2028 | 6,639 | 7,429 | ||||||
6.00% due 08/15/2028 | 18,095 | 20,312 | ||||||
6.00% due 09/15/2028 | 22,806 | 25,548 | ||||||
6.00% due 12/15/2028 | 21,442 | 24,062 | ||||||
6.00% due 04/15/2029 | 1,303 | 1,463 | ||||||
6.00% due 01/15/2032 | 2,018 | 2,274 | ||||||
6.00% due 02/15/2032 | 198 | 222 | ||||||
6.00% due 07/15/2032 | 5,269 | 5,922 | ||||||
6.00% due 09/15/2032 | 5,399 | 6,051 | ||||||
6.00% due 10/15/2032 | 106,309 | 120,078 | ||||||
6.00% due 11/15/2032 | 6,756 | 7,572 | ||||||
6.00% due 01/15/2033 | 1,617 | 1,815 | ||||||
6.00% due 02/15/2033 | 5,220 | 6,140 | ||||||
6.00% due 03/15/2033 | 10,825 | 12,303 | ||||||
6.00% due 04/15/2033 | 24,825 | 27,829 | ||||||
6.00% due 05/15/2033 | 43,314 | 48,489 | ||||||
6.00% due 12/15/2033 | 11,560 | 13,658 | ||||||
6.00% due 08/15/2034 | 2,400 | 2,743 | ||||||
6.00% due 09/15/2034 | 45,975 | 51,590 | ||||||
6.00% due 10/15/2034 | 18,557 | 20,841 | ||||||
6.00% due 05/15/2036 | 10,247 | 11,904 | ||||||
6.00% due 06/15/2036 | 130,652 | 153,974 | ||||||
6.00% due 07/15/2036 | 1,402,019 | 1,655,792 | ||||||
6.00% due 08/15/2036 | 49,097 | 58,042 | ||||||
6.00% due 12/15/2036 | 66,311 | 77,613 | ||||||
6.00% due 02/15/2037 | 31,823 | 37,582 | ||||||
6.00% due 08/15/2037 | 25,977 | 30,601 | ||||||
6.00% due 01/15/2038 | 120,695 | 140,972 | ||||||
6.00% due 03/15/2038 | 59,109 | 68,629 | ||||||
6.00% due 07/15/2038 | 41,234 | 48,699 | ||||||
6.00% due 08/15/2038 | 106,170 | 124,296 | ||||||
6.00% due 09/15/2038 | 153,541 | 179,067 | ||||||
6.00% due 10/15/2038 | 265,892 | 309,825 | ||||||
6.00% due 11/15/2038 | 54,102 | 63,735 | ||||||
6.00% due 12/15/2038 | 88,844 | 103,439 | ||||||
6.00% due 01/15/2039 | 91,419 | 105,125 | ||||||
6.00% due 02/15/2039 | 56,584 | 65,103 | ||||||
6.00% due 04/15/2039 | 67,739 | 75,939 | ||||||
6.00% due 12/15/2039 | 58,817 | 69,289 | ||||||
6.00% due 03/15/2040 | 177,632 | 199,437 | ||||||
6.00% due 04/15/2040 | 23,054 | 27,159 | ||||||
6.00% due 06/15/2041 | 77,814 | 91,856 | ||||||
6.50% due 06/15/2023 | 366 | 409 | ||||||
6.50% due 07/15/2023 | 3,488 | 3,898 | ||||||
6.50% due 08/15/2023 | 434 | 485 | ||||||
6.50% due 10/15/2023 | 621 | 693 | ||||||
6.50% due 11/15/2023 | 3,414 | 3,815 | ||||||
6.50% due 12/15/2023 | 11,060 | 12,358 | ||||||
6.50% due 02/15/2027 | 491 | 549 | ||||||
6.50% due 12/15/2027 | 1,007 | 1,126 | ||||||
6.50% due 01/15/2028 | 9,098 | 10,166 | ||||||
6.50% due 02/15/2028 | 4,039 | 4,513 | ||||||
6.50% due 03/15/2028 | 9,224 | 10,312 | ||||||
6.50% due 04/15/2028 | 6,093 | 6,810 | ||||||
6.50% due 05/15/2028 | 23,229 | 25,956 | ||||||
6.50% due 06/15/2028 | 28,411 | 31,770 | ||||||
6.50% due 07/15/2028 | 21,639 | 24,179 | ||||||
6.50% due 08/15/2028 | 14,104 | 15,762 | ||||||
6.50% due 09/15/2028 | 21,395 | 23,909 | ||||||
6.50% due 10/15/2028 | 18,690 | 20,893 | ||||||
6.50% due 11/15/2028 | 24,952 | 27,908 | ||||||
6.50% due 12/15/2028 | 22,621 | 25,312 | ||||||
6.50% due 02/15/2029 | 2,426 | 2,710 | ||||||
6.50% due 03/15/2029 | 10,561 | 11,801 | ||||||
6.50% due 04/15/2029 | 2,458 | 2,747 | ||||||
6.50% due 05/15/2029 | 42,424 | 47,405 | ||||||
6.50% due 06/15/2029 | 4,537 | 5,069 | ||||||
6.50% due 03/15/2031 | 1,103 | 1,232 | ||||||
6.50% due 04/15/2031 | 227 | 260 | ||||||
6.50% due 05/15/2031 | 36,388 | 40,738 | ||||||
6.50% due 06/15/2031 | 7,059 | 7,888 | ||||||
6.50% due 07/15/2031 | 26,225 | 29,305 | ||||||
6.50% due 08/15/2031 | 8,300 | 9,275 | ||||||
6.50% due 09/15/2031 | 44,250 | 49,549 | ||||||
6.50% due 10/15/2031 | 15,284 | 17,285 | ||||||
6.50% due 11/15/2031 | 13,758 | 15,373 | ||||||
6.50% due 01/15/2032 | 80,837 | 90,520 | ||||||
6.50% due 02/15/2032 | 30,651 | 34,262 | ||||||
6.50% due 04/15/2032 | 10,356 | 11,572 | ||||||
6.50% due 05/15/2032 | 975 | 1,089 | ||||||
7.00% due 11/15/2031 | 7,527 | 8,324 | ||||||
7.00% due 03/15/2032 | 8,435 | 9,693 | ||||||
7.00% due 01/15/2033 | 10,434 | 12,079 | ||||||
7.00% due 05/15/2033 | 29,483 | 34,005 | ||||||
7.00% due 07/15/2033 | 17,613 | 20,104 | ||||||
7.00% due 11/15/2033 | 28,043 | 32,469 | ||||||
8.00% due 10/15/2029 | 301 | 302 | ||||||
8.00% due 12/15/2029 | 267 | 268 | ||||||
8.00% due 01/15/2030 | 3,955 | 4,045 | ||||||
8.00% due 03/15/2030 | 93 | 93 | ||||||
8.00% due 04/15/2030 | 12,648 | 12,739 | ||||||
8.00% due 08/15/2030 | 826 | 830 | ||||||
8.00% due 09/15/2030 | 14,655 | 14,948 | ||||||
8.00% due 11/15/2030 | 1,364 | 1,445 | ||||||
8.00% due 02/15/2031 | 29,505 | 32,167 | ||||||
8.00% due 03/15/2031 | 7,404 | 7,435 | ||||||
Government National Mtg. Assoc. REMIC |
| |||||||
Series 2005-74, Class HA 7.50% due 09/16/2035(2) | 8,416 | 8,919 |
Series 2005-74, Class HB 7.50% due 09/16/2035(2) | 99,940 | 110,701 | ||||||
Series 2005-74, Class HC 7.50% due 09/16/2035(2) | 56,742 | 64,520 | ||||||
|
| |||||||
124,237,921 | ||||||||
|
| |||||||
Uniform Mtg. Backed Securities - 16.5% |
| |||||||
1.50% due October 15 TBA | 13,555,000 | 13,684,196 | ||||||
1.50% due November 15 TBA | 13,555,000 | 13,667,782 | ||||||
2.00% due October 15 TBA | 17,185,000 | 17,692,495 | ||||||
2.00% due October 30 TBA | 54,120,000 | 54,229,931 | ||||||
2.00% due November 30 TBA | 36,605,000 | 36,613,579 | ||||||
2.50% due October 30 TBA | 80,076,000 | 82,515,816 | ||||||
2.50% due November 30 TBA | 39,435,000 | 40,559,513 | ||||||
3.00% due October 30 TBA | 14,320,000 | 14,977,825 | ||||||
3.00% due November 30 TBA | 22,495,000 | 23,502,980 | ||||||
|
| |||||||
297,444,117 | ||||||||
|
| |||||||
Total U.S. Government Agencies |
| 548,120,636 | ||||||
|
| |||||||
U.S. GOVERNMENT TREASURIES - 33.8% |
| |||||||
United States Treasury Bonds - 9.8% |
| |||||||
1.38% due 08/15/2050 | 2,155,000 | 1,813,230 | ||||||
1.63% due 11/15/2050 | 10,730,000 | 9,611,314 | ||||||
1.75% due 08/15/2041 | 3,000,000 | 2,860,781 | ||||||
1.88% due 02/15/2041 | 5,155,000 | 5,030,958 | ||||||
1.88% due 02/15/2051 | 13,320,000 | 12,666,487 | ||||||
2.00% due 08/15/2051 | 9,720,000 | 9,524,081 | ||||||
2.25% due 05/15/2041 | 27,460,000 | 28,489,750 | ||||||
2.25% due 08/15/2049(5) | 2,805,000 | 2,899,559 | ||||||
2.38% due 05/15/2051 | 6,265,000 | 6,666,352 | ||||||
2.50% due 02/15/2045 | 7,555,000 | 8,140,808 | ||||||
2.50% due 05/15/2046 | 915,000 | 987,807 | ||||||
2.75% due 08/15/2047 | 2,965,000 | 3,357,052 | ||||||
2.75% due 11/15/2047 | 7,783,000 | 8,820,632 | ||||||
2.88% due 05/15/2043 | 24,845,000 | 28,449,466 | ||||||
2.88% due 08/15/2045 | 6,205,000 | 7,139,143 | ||||||
2.88% due 05/15/2049 | 8,265,000 | 9,643,253 | ||||||
3.00% due 08/15/2048 | 6,735,000 | 8,004,916 | ||||||
3.00% due 02/15/2049 | 1,325,000 | 1,579,907 | ||||||
3.38% due 05/15/2044 | 2,895,000 | 3,590,705 | ||||||
3.63% due 02/15/2044 | 13,550,000 | 17,406,457 | ||||||
|
| |||||||
176,682,658 | ||||||||
|
| |||||||
United States Treasury Notes - 24.0% |
| |||||||
0.13% due 01/31/2023 | 510,000 | 509,761 | ||||||
0.13% due 02/28/2023 | 16,660,000 | 16,646,984 | ||||||
0.13% due 03/31/2023 | 6,000,000 | 5,994,375 | ||||||
0.13% due 04/30/2023 | 23,000,000 | 22,968,555 | ||||||
0.13% due 05/15/2023 | 1,625,000 | 1,622,588 | ||||||
0.13% due 07/31/2023 | 3,200,000 | 3,193,000 | ||||||
0.25% due 06/15/2023 | 10,000,000 | 10,002,344 | ||||||
0.25% due 03/15/2024 | 5,200,000 | 5,181,516 | ||||||
0.25% due 05/15/2024 | 11,245,000 | 11,189,214 | ||||||
0.25% due 05/31/2025 | 16,910,000 | 16,619,359 | ||||||
0.25% due 06/30/2025 | 33,840,000 | 33,227,972 | ||||||
0.25% due 07/31/2025 | 6,000,000 | 5,883,281 | ||||||
0.25% due 08/31/2025 | 16,550,000 | 16,206,070 | ||||||
0.25% due 09/30/2025 | 9,070,000 | 8,872,302 | ||||||
0.38% due 04/15/2024 | 10,800,000 | 10,786,500 | ||||||
0.38% due 08/15/2024 | 1,980,000 | 1,972,575 | ||||||
0.38% due 11/30/2025 | 21,835,000 | 21,411,094 | ||||||
0.38% due 12/31/2025 | 18,300,000 | 17,924,707 | ||||||
0.38% due 01/31/2026 | 8,125,000 | 7,947,583 | ||||||
0.50% due 02/28/2026 | 10,500,000 | 10,318,711 | ||||||
0.63% due 08/15/2030 | 1,831,000 | 1,701,614 | ||||||
0.75% due 03/31/2026 | 12,620,000 | 12,526,336 | ||||||
0.75% due 04/30/2026 | 7,225,000 | 7,166,579 | ||||||
0.75% due 05/31/2026 | 6,080,000 | 6,026,563 | ||||||
0.88% due 06/30/2026 | 25,270,000 | 25,170,302 | ||||||
0.88% due 11/15/2030 | 11,315,000 | 10,726,266 | ||||||
1.13% due 02/15/2031 | 1,690,000 | 1,635,339 | ||||||
1.25% due 03/31/2028 | 8,380,000 | 8,374,108 | ||||||
1.25% due 08/15/2031 | 8,430,000 | 8,215,298 | ||||||
1.50% due 10/31/2024 | 12,385,000 | 12,745,907 | ||||||
1.63% due 10/31/2026 | 23,730,000 | 24,445,608 | ||||||
1.63% due 05/15/2031 | 2,165,000 | 2,187,665 | ||||||
1.75% due 06/30/2024 | 3,905,000 | 4,041,980 | ||||||
2.63% due 06/30/2023 | 13,360,000 | 13,915,275 | ||||||
2.63% due 12/31/2023 | 15,000,000 | 15,762,305 | ||||||
2.88% due 09/30/2023 | 14,325,000 | 15,059,156 | ||||||
2.88% due 10/31/2023 | 32,065,000 | 33,769,706 | ||||||
|
| |||||||
431,948,498 | ||||||||
|
| |||||||
Total U.S. Government Treasuries |
| 608,631,156 | ||||||
|
| |||||||
Total Long-Term Investment Securities |
| 1,795,315,431 | ||||||
|
| |||||||
REPURCHASE AGREEMENTS - 24.1% |
| |||||||
Bank of America Securities LLC Joint Repurchase Agreement(6) | 98,345,000 | 98,345,000 | ||||||
Barclays Capital, Inc. Joint Repurchase Agreement(6) | 68,170,000 | 68,170,000 | ||||||
BNP Paribas SA Joint Repurchase Agreement(6) | 59,080,000 | 59,080,000 | ||||||
Deutsche Bank AG Joint Repurchase Agreement(6) | 104,545,000 | 104,545,000 | ||||||
RBS Securities, Inc. Joint Repurchase Agreement(6) | 104,530,000 | 104,530,000 | ||||||
|
| |||||||
Total Repurchase Agreements |
| 434,670,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS | 123.9 | % | 2,229,985,431 | |||||
Liabilities in excess of other assets | (23.9 | ) | (429,583,407 | ) | ||||
|
|
|
| |||||
NET ASSETS | 100.0 | % | $ | 1,800,402,024 | ||||
|
|
|
|
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2021, the aggregate value of these securities was $349,913,572 representing 19.4% of net assets. |
(1) | Certain variable rate securities are not based on a published reference rate and spread but are determined by the issuer or agent and are based on current market conditions. These securities do not indicate a reference rate and spread in their description above. |
(2) | Collateralized Mortgage Obligation |
(3) | Collateralized Loan Obligation |
(4) | Commercial Mortgage Backed Security |
(5) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
(6) | See Note 2 for details of Joint Repurchase Agreements. |
REMIC - Real Estate Mortgage Investment Conduit
SCRT - Seasoned Credit Risk Transfer Trust
TBA - Securities purchased on a forward commitment basis with an approximate principal amount and no definite maturity date. The actual principal amount and maturity date will be determined upon settlement date.
FRS - Floating Rate Security
VRS - Variable Rate Security
The rates shown on FRS and VRS are the current interest rates at September 30, 2021 and unless noted otherwise, the dates shown are the original maturity dates.
Index Legend
1 ML - 1 Month USD LIBOR
3 ML- 3 Month USD LIBOR
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | ||||||||||||
33 | Short | U.S. Treasury Ultra 10 Year Notes | December 2021 | $ | 4,880,578 | $ | 4,793,250 | $ | 87,328 | |||||||||
|
| |||||||||||||||||
Unrealized (Depreciation) | ||||||||||||||||||
160 | Long | U.S. Treasury 5 Year Notes | December 2021 | $ | 19,713,070 | $ | 19,638,750 | $ | (74,320 | ) | ||||||||
|
| |||||||||||||||||
Net Unrealized Appreciation (Depreciation) |
| $ | 13,008 | |||||||||||||||
|
| |||||||||||||||||
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2021 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Asset Backed Securities | $ | — | $ | 138,671,339 | $ | — | $ | 138,671,339 | ||||||||
U.S. Corporate Bonds & Notes | — | 271,102,224 | — | 271,102,224 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 174,804,646 | — | 174,804,646 | ||||||||||||
Foreign Government Obligations | — | 19,389,633 | — | 19,389,633 | ||||||||||||
Municipal Bond & Notes | — | 34,595,797 | — | 34,595,797 | ||||||||||||
U.S. Government Agencies | — | 548,120,636 | — | 548,120,636 | ||||||||||||
U.S. Government Treasuries | — | 608,631,156 | — | 608,631,156 | ||||||||||||
Repurchase Agreements | — | 434,670,000 | — | 434,670,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | — | $ | 2,229,985,431 | $ | — | $ | 2,229,985,431 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 87,328 | $ | — | $ | — | $ | 87,328 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 74,320 | $ | — | $ | — | $ | 74,320 | ||||||||
|
|
|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
See Notes to Portfolio of Investments
Anchor Series Trust SA Wellington Strategic Multi-Asset Portfolio
PORTFOLIO OF INVESTMENTS - September 30, 2021 - (unaudited)
Security Description | Shares/ Principal Amount(1) | Value (Note 1) | ||||||||||
COMMON STOCKS - 62.2% | ||||||||||||
Aerospace/Defense-Equipment - 0.5% | ||||||||||||
L3Harris Technologies, Inc. | 3,244 | 714,459 | ||||||||||
|
| |||||||||||
Applications Software - 1.3% | ||||||||||||
Intuit, Inc. | 1,288 | 694,889 | ||||||||||
Roper Technologies, Inc. | 2,757 | 1,229,980 | ||||||||||
|
| |||||||||||
1,924,869 | ||||||||||||
|
| |||||||||||
Audio/Video Products - 1.1% | ||||||||||||
Sony Group Corp. | 14,200 | 1,581,332 | ||||||||||
|
| |||||||||||
Auto-Cars/Light Trucks - 1.0% | ||||||||||||
Ferrari NV | 4,620 | 967,158 | ||||||||||
Ford Motor Co.† | 32,887 | 465,680 | ||||||||||
|
| |||||||||||
1,432,838 | ||||||||||||
|
| |||||||||||
Banks-Commercial - 2.3% | ||||||||||||
HDFC Bank, Ltd. ADR | 3,547 | 259,250 | ||||||||||
ICICI Bank, Ltd. ADR | 41,867 | 790,030 | ||||||||||
KBC Group NV | 21,846 | 1,961,232 | ||||||||||
Sberbank of Russia PJSC ADR | 13,200 | 247,500 | ||||||||||
|
| |||||||||||
3,258,012 | ||||||||||||
|
| |||||||||||
Building Products-Air & Heating - 0.8% | ||||||||||||
Daikin Industries, Ltd. | 5,000 | 1,075,443 | ||||||||||
|
| |||||||||||
Building-Heavy Construction - 1.0% | ||||||||||||
Cellnex Telecom SA* | 24,012 | 1,480,146 | ||||||||||
|
| |||||||||||
Building-Residential/Commercial - 0.6% | ||||||||||||
Lennar Corp., Class A | 8,863 | 830,286 | ||||||||||
|
| |||||||||||
Cable/Satellite TV - 1.0% | ||||||||||||
Charter Communications, Inc., Class A† | 2,058 | 1,497,319 | ||||||||||
|
| |||||||||||
Commercial Services-Finance - 3.3% | ||||||||||||
Affirm Holdings, Inc.† | 2,638 | 314,265 | ||||||||||
Allfunds Group Plc† | 15,836 | 304,536 | ||||||||||
Global Payments, Inc. | 10,397 | 1,638,359 | ||||||||||
IHS Markit, Ltd. | 9,825 | 1,145,791 | ||||||||||
PayPal Holdings, Inc.† | 723 | 188,132 | ||||||||||
S&P Global, Inc. | 1,901 | 807,716 | ||||||||||
Square, Inc., Class A† | 1,400 | 335,776 | ||||||||||
|
| |||||||||||
4,734,575 | ||||||||||||
|
| |||||||||||
Communications Software - 0.6% | ||||||||||||
RingCentral, Inc., Class A† | 3,948 | 858,690 | ||||||||||
|
| |||||||||||
Computer Data Security - 0.5% | �� | |||||||||||
Varonis Systems, Inc.† | 12,696 | 772,552 | ||||||||||
|
| |||||||||||
Computers - 0.6% | ||||||||||||
Apple, Inc. | 6,517 | 922,156 | ||||||||||
|
| |||||||||||
Consulting Services - 0.6% | ||||||||||||
Booz Allen Hamilton Holding Corp. | 10,518 | 834,603 | ||||||||||
|
| |||||||||||
Cosmetics & Toiletries - 0.5% | ||||||||||||
Proya Cosmetics Co., Ltd., Class A | 26,500 | 711,574 | ||||||||||
|
| |||||||||||
Data Processing/Management - 0.7% | ||||||||||||
Fidelity National Information Services, Inc. | 8,051 | 979,646 | ||||||||||
|
| |||||||||||
Decision Support Software - 0.2% | ||||||||||||
MSCI, Inc. | 450 | 273,753 | ||||||||||
|
| |||||||||||
Diagnostic Equipment - 0.7% | ||||||||||||
Danaher Corp. | 800 | 243,552 | ||||||||||
Thermo Fisher Scientific, Inc. | 1,371 | 783,294 | ||||||||||
|
| |||||||||||
1,026,846 | ||||||||||||
|
| |||||||||||
Distribution/Wholesale - 1.7% | ||||||||||||
Copart, Inc.† | 7,495 | 1,039,706 | ||||||||||
LKQ Corp.† | 28,653 | 1,441,819 | ||||||||||
|
| |||||||||||
2,481,525 | ||||||||||||
|
| |||||||||||
Diversified Banking Institutions - 3.3% | ||||||||||||
JPMorgan Chase & Co. | 15,749 | 2,577,954 | ||||||||||
Mitsubishi UFJ Financial Group, Inc. | 193,100 | 1,127,403 | ||||||||||
UniCredit SpA | 79,104 | 1,046,352 | ||||||||||
|
| |||||||||||
4,751,709 | ||||||||||||
|
| |||||||||||
Diversified Manufacturing Operations - 1.1% | ||||||||||||
Siemens AG | 9,457 | 1,554,512 | ||||||||||
|
| |||||||||||
Drug Delivery Systems - 0.5% | ||||||||||||
DexCom, Inc.† | 1,202 | 657,326 | ||||||||||
|
| |||||||||||
E-Commerce/Products - 3.1% | ||||||||||||
Alibaba Group Holding, Ltd. ADR† | 999 | 147,902 | ||||||||||
Amazon.com, Inc.† | 652 | 2,141,846 | ||||||||||
Chewy, Inc., Class A† | 7,024 | 478,405 | ||||||||||
Coupang, Inc.† | 16,756 | 466,655 | ||||||||||
Sea, Ltd. ADR† | 2,160 | 688,457 | ||||||||||
Wayfair, Inc., Class A† | 1,997 | 510,253 | ||||||||||
|
| |||||||||||
4,433,518 | ||||||||||||
|
| |||||||||||
E-Commerce/Services - 1.8% | ||||||||||||
Airbnb, Inc., Class A† | 3,616 | 606,584 | ||||||||||
Match Group, Inc.† | 5,954 | 934,719 | ||||||||||
Uber Technologies, Inc.† | 22,179 | 993,619 | ||||||||||
|
| |||||||||||
2,534,922 | ||||||||||||
|
| |||||||||||
Electric-Integrated - 0.6% | ||||||||||||
Iberdrola SA | 79,802 | 797,027 | ||||||||||
|
| |||||||||||
Electronic Components-Semiconductors - 1.6% | ||||||||||||
Advanced Micro Devices, Inc.† | 7,292 | 750,347 | ||||||||||
Marvell Technology, Inc. | 25,282 | 1,524,757 | ||||||||||
|
| |||||||||||
2,275,104 | ||||||||||||
|
| |||||||||||
Electronic Connectors - 0.5% | ||||||||||||
TE Connectivity, Ltd. | 5,300 | 727,266 | ||||||||||
|
| |||||||||||
Enterprise Software/Service - 2.5% | ||||||||||||
Avalara, Inc.† | 5,263 | 919,814 | ||||||||||
salesforce.com, Inc.† | 9,962 | 2,701,894 | ||||||||||
|
| |||||||||||
3,621,708 | ||||||||||||
|
| |||||||||||
Entertainment Software - 0.7% | ||||||||||||
Electronic Arts, Inc. | 2,400 | 341,400 | ||||||||||
ROBLOX Corp., Class A† | 2,400 | 181,320 | ||||||||||
Zynga, Inc., Class A† | 61,858 | 465,791 | ||||||||||
|
| |||||||||||
988,511 | ||||||||||||
|
| |||||||||||
Environmental Consulting & Engineering - 0.3% | ||||||||||||
Tetra Tech, Inc. | 2,595 | 387,537 | ||||||||||
|
| |||||||||||
Finance-Credit Card - 1.0% | ||||||||||||
Visa, Inc., Class A | 6,414 | 1,428,719 | ||||||||||
|
| |||||||||||
Finance-Investment Banker/Broker - 1.4% | ||||||||||||
Charles Schwab Corp. | 16,861 | 1,228,155 | ||||||||||
XP, Inc., Class A† | 20,028 | 804,525 | ||||||||||
|
| |||||||||||
2,032,680 | ||||||||||||
|
| |||||||||||
Finance-Leasing Companies - 0.5% | ||||||||||||
AerCap Holdings NV† | 11,150 | 644,582 | ||||||||||
|
| |||||||||||
Human Resources - 0.6% | ||||||||||||
Recruit Holdings Co., Ltd. | 13,304 | 811,215 | ||||||||||
|
| |||||||||||
Industrial Automated/Robotic - 1.1% | ||||||||||||
Keyence Corp. | 2,630 | 1,575,857 | ||||||||||
|
| |||||||||||
Insurance Brokers - 0.7% | ||||||||||||
Marsh & McLennan Cos., Inc. | 6,938 | 1,050,621 | ||||||||||
|
|
Insurance-Life/Health - 0.8% | ||||||||||||
Dai-ichi Life Holdings, Inc. | 16,600 | 361,449 | ||||||||||
Prudential PLC | 39,106 | 759,151 | ||||||||||
|
| |||||||||||
1,120,600 | ||||||||||||
|
| |||||||||||
Internet Content-Entertainment - 0.8% | ||||||||||||
Facebook, Inc., Class A† | 1,090 | 369,935 | ||||||||||
Netflix, Inc.† | 1,205 | 735,460 | ||||||||||
|
| |||||||||||
1,105,395 | ||||||||||||
|
| |||||||||||
Internet Content-Information/News - 0.6% | ||||||||||||
Tencent Holdings, Ltd. | 14,700 | 861,923 | ||||||||||
|
| |||||||||||
Machinery-General Industrial - 0.9% | ||||||||||||
Middleby Corp.† | 1,938 | 330,448 | ||||||||||
Westinghouse Air Brake Technologies Corp. | 10,876 | 937,620 | ||||||||||
|
| |||||||||||
1,268,068 | ||||||||||||
|
| |||||||||||
Medical Instruments - 0.4% | ||||||||||||
Intuitive Surgical, Inc.† | 628 | 624,326 | ||||||||||
|
| |||||||||||
Medical Labs & Testing Services - 0.3% | ||||||||||||
WuXi AppTec Co., Ltd.* | 16,651 | 388,695 | ||||||||||
|
| |||||||||||
Medical Products - 0.7% | ||||||||||||
Baxter International, Inc. | 13,095 | 1,053,231 | ||||||||||
|
| |||||||||||
Medical-Biomedical/Gene - 1.6% | ||||||||||||
Argenx SE ADR† | 1,832 | 553,264 | ||||||||||
Ascendis Pharma A/S ADR† | 3,701 | 589,902 | ||||||||||
Illumina, Inc.† | 643 | 260,807 | ||||||||||
Moderna, Inc.† | 346 | 133,162 | ||||||||||
Seagen, Inc.† | 4,041 | 686,162 | ||||||||||
|
| |||||||||||
2,223,297 | ||||||||||||
|
| |||||||||||
Medical-Drugs - 1.7% | ||||||||||||
AstraZeneca PLC | 11,304 | 1,360,828 | ||||||||||
Eisai Co., Ltd. | 5,607 | 422,237 | ||||||||||
Eli Lilly & Co. | 3,092 | 714,407 | ||||||||||
|
| |||||||||||
2,497,472 | ||||||||||||
|
| |||||||||||
Medical-HMO - 1.0% | ||||||||||||
Anthem, Inc. | 1,003 | 373,919 | ||||||||||
UnitedHealth Group, Inc. | 2,634 | 1,029,209 | ||||||||||
|
| |||||||||||
1,403,128 | ||||||||||||
|
| |||||||||||
Metal-Diversified - 0.9% | ||||||||||||
Anglo American PLC | 38,106 | 1,314,461 | ||||||||||
|
| |||||||||||
Oil Companies-Exploration & Production - 2.1% | ||||||||||||
ConocoPhillips | 24,789 | 1,679,951 | ||||||||||
Occidental Petroleum Corp. | 42,294 | 1,251,056 | ||||||||||
|
| |||||||||||
2,931,007 | ||||||||||||
|
| |||||||||||
Oil Refining & Marketing - 0.8% | ||||||||||||
Reliance Industries, Ltd. GDR* | 16,698 | 1,137,134 | ||||||||||
|
| |||||||||||
Pharmacy Services - 0.3% | ||||||||||||
CVS Health Corp. | 4,793 | 406,734 | ||||||||||
|
| |||||||||||
Private Equity - 0.7% | ||||||||||||
Ares Management Corp., Class A | 4,722 | 348,625 | ||||||||||
Intermediate Capital Group PLC | 26,303 | 722,748 | ||||||||||
|
| |||||||||||
1,071,373 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trusts - 1.6% | ||||||||||||
Alexandria Real Estate Equities, Inc. | 4,828 | 922,486 | ||||||||||
Prologis, Inc. | 10,317 | 1,294,061 | ||||||||||
|
| |||||||||||
2,216,547 | ||||||||||||
|
| |||||||||||
Rental Auto/Equipment - 0.5% | ||||||||||||
Localiza Rent a Car SA | 66,700 | 667,153 | ||||||||||
|
| |||||||||||
Research & Development - 0.1% | ||||||||||||
Hangzhou Tigermed Consulting Co., Ltd.* | 8,674 | 184,023 | ||||||||||
|
| |||||||||||
Retail-Apparel/Shoe - 1.8% | ||||||||||||
Burlington Stores, Inc.† | 4,561 | 1,293,363 | ||||||||||
Li Ning Co., Ltd. | 56,500 | 651,779 | ||||||||||
Zalando SE†* | 6,815 | 626,255 | ||||||||||
|
| |||||||||||
2,571,397 | ||||||||||||
|
| |||||||||||
Retail-Drug Store - 0.2% | ||||||||||||
Yifeng Pharmacy Chain Co., Ltd. | 29,448 | 237,212 | ||||||||||
|
| |||||||||||
Schools - 0.1% | ||||||||||||
Chegg, Inc.† | 2,110 | 143,522 | ||||||||||
|
| |||||||||||
Semiconductor Equipment - 0.4% | ||||||||||||
ASML Holding NV | 721 | 531,862 | ||||||||||
|
| |||||||||||
Theaters - 0.5% | ||||||||||||
Live Nation Entertainment, Inc.† | 7,434 | 677,460 | ||||||||||
|
| |||||||||||
Transport-Truck - 0.4% | ||||||||||||
Old Dominion Freight Line, Inc. | 1,833 | 524,201 | ||||||||||
|
| |||||||||||
Web Portals/ISP - 1.5% | ||||||||||||
Alphabet, Inc., Class C† | 801 | 2,134,913 | ||||||||||
|
| |||||||||||
Wireless Equipment - 1.2% | ||||||||||||
Motorola Solutions, Inc. | 4,577 | 1,063,329 | ||||||||||
Samsung SDI Co., Ltd. | 1,195 | 718,865 | ||||||||||
|
| |||||||||||
1,782,194 | ||||||||||||
|
| |||||||||||
Total Common Stocks | 88,740,766 | |||||||||||
|
| |||||||||||
EXCHANGE-TRADED FUNDS - 0.8% | ||||||||||||
iShares MSCI Japan ETF | 2,182 | 153,286 | ||||||||||
iShares MSCI ACWI ETF | 9,049 | 904,176 | ||||||||||
|
| |||||||||||
Total Exchange-Traded Funds | 1,057,462 | |||||||||||
|
| |||||||||||
U.S. CORPORATE BONDS & NOTES - 1.7% | ||||||||||||
Banks-Super Regional - 0.0% | ||||||||||||
PNC Financial Services Group, Inc. | $ | 65,000 | 68,091 | |||||||||
|
| |||||||||||
Cable/Satellite TV - 0.1% | ||||||||||||
Comcast Corp. | EUR | 100,000 | 115,244 | |||||||||
|
| |||||||||||
Computer Services - 0.1% | ||||||||||||
International Business Machines Corp. | 100,000 | 101,634 | ||||||||||
|
| |||||||||||
Computers - 0.1% | ||||||||||||
Apple, Inc. | 150,000 | 148,273 | ||||||||||
|
| |||||||||||
Diversified Banking Institutions - 0.5% | ||||||||||||
Bank of America Corp. | 100,000 | 101,475 | ||||||||||
Goldman Sachs Group, Inc. | 105,000 | 105,038 | ||||||||||
Goldman Sachs Group, Inc. | GBP | 200,000 | 269,764 | |||||||||
JPMorgan Chase & Co. | 70,000 | 71,178 | ||||||||||
Morgan Stanley | 130,000 | 130,087 | ||||||||||
|
| |||||||||||
677,542 | ||||||||||||
|
|
Electric-Integrated - 0.1% | ||||||||||||
NextEra Energy Capital Holdings, Inc. | 140,000 | 140,491 | ||||||||||
|
| |||||||||||
Finance-Investment Banker/Broker - 0.1% | ||||||||||||
Charles Schwab Corp. | 80,000 | 80,378 | ||||||||||
|
| |||||||||||
Finance-Other Services - 0.1% | ||||||||||||
Intercontinental Exchange, Inc. | 55,000 | 55,232 | ||||||||||
Nasdaq, Inc. | 45,000 | 45,002 | ||||||||||
|
| |||||||||||
100,234 | ||||||||||||
|
| |||||||||||
Food-Confectionery - 0.1% | ||||||||||||
Mondelez International, Inc. | EUR | 100,000 | 114,511 | |||||||||
|
| |||||||||||
Insurance-Life/Health - 0.1% | ||||||||||||
Equitable Financial Life Global Funding | 160,000 | 160,168 | ||||||||||
Principal Life Global Funding II | 25,000 | 25,033 | ||||||||||
|
| |||||||||||
185,201 | ||||||||||||
|
| |||||||||||
Medical-Biomedical/Gene - 0.1% | ||||||||||||
Gilead Sciences, Inc. | 115,000 | 115,006 | ||||||||||
|
| |||||||||||
Medical-Drugs - 0.1% | ||||||||||||
AbbVie, Inc. | 80,000 | 81,640 | ||||||||||
Bristol-Myers Squibb Co. | 120,000 | 120,022 | ||||||||||
|
| |||||||||||
201,662 | ||||||||||||
|
| |||||||||||
Medical-HMO - 0.1% | ||||||||||||
Anthem, Inc. | 150,000 | 150,145 | ||||||||||
UnitedHealth Group, Inc. | 15,000 | 15,091 | ||||||||||
|
| |||||||||||
165,236 | ||||||||||||
|
| |||||||||||
Real Estate Investment Trusts - 0.0% | ||||||||||||
American Tower Corp. | 45,000 | 44,992 | ||||||||||
|
| |||||||||||
Retail-Restaurants - 0.0% | ||||||||||||
Starbucks Corp. | 30,000 | 30,180 | ||||||||||
|
| |||||||||||
Telephone-Integrated - 0.1% | ||||||||||||
AT&T, Inc. | 80,000 | 79,291 | ||||||||||
Verizon Communications, Inc. | 105,000 | 106,495 | ||||||||||
|
| |||||||||||
185,786 | ||||||||||||
|
| |||||||||||
Total U.S. Corporate Bonds & Notes | 2,474,461 | |||||||||||
|
| |||||||||||
FOREIGN CORPORATE BONDS & NOTES - 0.2% | ||||||||||||
Diversified Financial Services - 0.1% | ||||||||||||
GE Capital Canada Funding Co. | CAD | 157,000 | 125,496 | |||||||||
|
| |||||||||||
Electric-Distribution - 0.0% | ||||||||||||
E.ON SE | EUR | 50,000 | 58,235 | |||||||||
|
| |||||||||||
Finance-Auto Loans - 0.1% | ||||||||||||
FCA Bank SpA | EUR | 100,000 | 116,981 | |||||||||
|
| |||||||||||
Total Foreign Corporate Bonds & Notes | 300,712 | |||||||||||
|
| |||||||||||
FOREIGN GOVERNMENT OBLIGATIONS - 21.9% | ||||||||||||
Sovereign - 21.9% | ||||||||||||
Commonwealth of Australia | AUD | 112,000 | 80,791 | |||||||||
Commonwealth of Australia | AUD | 187,000 | 117,193 | |||||||||
Commonwealth of Australia | AUD | 60,000 | 44,462 | |||||||||
Commonwealth of Australia | AUD | 173,000 | 138,173 | |||||||||
Commonwealth of Australia | AUD | 35,000 | 27,507 | |||||||||
Commonwealth of Australia | AUD | 103,000 | 83,841 | |||||||||
Commonwealth of Australia | AUD | 374,000 | 310,242 | |||||||||
Commonwealth of Australia | AUD | 25,000 | 21,179 | |||||||||
Commonwealth of Australia | AUD | 46,000 | 40,232 | |||||||||
Federal Republic of Germany | EUR | 31,000 | 36,677 | |||||||||
Federal Republic of Germany | EUR | 294,000 | 350,141 | |||||||||
Federal Republic of Germany | EUR | 520,000 | 620,787 |
Federal Republic of Germany | EUR | 103,000 | 121,610 | |||||||||
Federal Republic of Germany | EUR | 147,000 | 170,173 | |||||||||
Federal Republic of Germany | EUR | 22,000 | 23,783 | |||||||||
Federal Republic of Germany | EUR | 86,000 | 125,724 | |||||||||
Federal Republic of Germany | EUR | 751,000 | 887,719 | |||||||||
Federal Republic of Germany | EUR | 131,000 | 285,418 | |||||||||
Government of Canada | CAD | 179,000 | 141,264 | |||||||||
Government of Canada | CAD | 209,000 | 163,226 | |||||||||
Government of Canada | CAD | 79,000 | 60,206 | |||||||||
Government of Canada | CAD | 258,000 | 199,981 | |||||||||
Government of Canada | CAD | 138,000 | 99,862 | |||||||||
Government of Canada | CAD | 96,000 | 77,082 | |||||||||
Government of Canada | CAD | 196,000 | 157,846 | |||||||||
Government of Canada | CAD | 116,000 | 97,792 | |||||||||
Government of Canada | CAD | 19,000 | 17,422 | |||||||||
Government of Canada | CAD | 141,000 | 144,416 | |||||||||
Government of Canada | CAD | 15,000 | 15,974 | |||||||||
Government of France | EUR | 483,000 | 565,138 | |||||||||
Government of France | EUR | 190,000 | 223,365 | |||||||||
Government of France | EUR | 267,000 | 315,233 | |||||||||
Government of France | EUR | 764,000 | 902,573 | |||||||||
Government of France | EUR | 975,000 | 1,123,265 | |||||||||
Government of France | EUR | 175,000 | 193,345 | |||||||||
Government of France | EUR | 229,000 | 282,570 | |||||||||
Government of France | EUR | 46,000 | 59,424 | |||||||||
Government of France | EUR | 61,000 | 81,788 | |||||||||
Government of France | EUR | 49,000 | 71,178 | |||||||||
Government of France | EUR | 35,000 | 52,034 | |||||||||
Government of France | EUR | 45,000 | 98,036 | |||||||||
Government of France | EUR | 153,000 | 305,111 | |||||||||
Government of Japan | JPY | 3,100,000 | 28,109 | |||||||||
Government of Japan | JPY | 20,900,000 | 189,594 | |||||||||
Government of Japan | JPY | 149,050,000 | 1,351,809 | |||||||||
Government of Japan | JPY | 70,550,000 | 637,368 | |||||||||
Government of Japan | JPY | 58,700,000 | 522,606 | |||||||||
Government of Japan | JPY | 17,100,000 | 155,642 | |||||||||
Government of Japan | JPY | 31,100,000 | 261,688 | |||||||||
Government of Japan | JPY | 43,100,000 | 349,900 | |||||||||
Government of Japan | JPY | 62,400,000 | 566,469 | |||||||||
Government of Japan | JPY | 71,250,000 | 652,636 | |||||||||
Government of Japan | JPY | 52,550,000 | 476,281 | |||||||||
Government of Japan | JPY | 2,200,000 | 20,120 | |||||||||
Government of Japan | JPY | 91,850,000 | 866,920 | |||||||||
Government of Japan | JPY | 57,300,000 | 607,690 |
Government of Japan | JPY | 5,400,000 | 61,402 | |||||||||
Government of Japan | JPY | 9,800,000 | 112,887 | |||||||||
Government of Japan | JPY | 17,300,000 | 179,668 | |||||||||
Government of Japan | JPY | 44,600,000 | 530,034 | |||||||||
Government of Japan | JPY | 96,700,000 | 1,160,887 | |||||||||
Government of Malaysia | MYR | 122,000 | 27,331 | |||||||||
Government of Malaysia | MYR | 75,000 | 18,177 | |||||||||
Government of Malaysia | MYR | 70,000 | 16,773 | |||||||||
Government of Malaysia | MYR | 180,000 | 44,851 | |||||||||
Government of Malaysia | MYR | 173,000 | 45,184 | |||||||||
Kingdom of Belgium | EUR | 225,000 | 265,922 | |||||||||
Kingdom of Belgium | EUR | 279,000 | 349,567 | |||||||||
Kingdom of Belgium | EUR | 93,000 | 129,496 | |||||||||
Kingdom of Belgium | EUR | 81,000 | 156,296 | |||||||||
Kingdom of Denmark | DKK | 570,000 | 92,960 | |||||||||
Kingdom of Denmark | DKK | 327,000 | 88,798 | |||||||||
Kingdom of Norway | NOK | 377,000 | 41,764 | |||||||||
Kingdom of Norway | NOK | 564,000 | 65,737 | |||||||||
Kingdom of Spain | EUR | 265,000 | 310,708 | |||||||||
Kingdom of Spain | EUR | 674,000 | 790,307 | |||||||||
Kingdom of Spain | EUR | 160,000 | 185,447 | |||||||||
Kingdom of Spain | EUR | 149,000 | 175,483 | |||||||||
Kingdom of Spain | EUR | 390,000 | 453,611 | |||||||||
Kingdom of Spain | EUR | 120,000 | 137,098 | |||||||||
Kingdom of Spain | EUR | 114,000 | 151,381 | |||||||||
Kingdom of Spain | EUR | 102,000 | 157,136 | |||||||||
Kingdom of Spain | EUR | 50,000 | 88,810 | |||||||||
Kingdom of Spain | EUR | 24,000 | 33,218 | |||||||||
Kingdom of Spain | EUR | 20,000 | 38,580 | |||||||||
Kingdom of Sweden | SEK | 750,000 | 83,313 | |||||||||
Kingdom of the Netherlands | EUR | 102,000 | 120,009 | |||||||||
Kingdom of the Netherlands | EUR | 191,000 | 226,621 | |||||||||
Kingdom of the Netherlands | EUR | 115,000 | 134,133 | |||||||||
Kingdom of the Netherlands | EUR | 186,000 | 207,803 | |||||||||
Kingdom of the Netherlands | EUR | 35,000 | 36,312 | |||||||||
Republic of Austria | EUR | 35,000 | 40,400 | |||||||||
Republic of Austria | EUR | 48,000 | 50,557 | |||||||||
Republic of Austria | EUR | 159,000 | 195,515 | |||||||||
Republic of Austria | EUR | 52,000 | 61,857 | |||||||||
Republic of Austria | EUR | 17,000 | 17,404 | |||||||||
Republic of Austria | EUR | 4,000 | 7,401 | |||||||||
Republic of Austria | EUR | 83,000 | 122,662 | |||||||||
Republic of Finland | EUR | 27,000 | 31,421 | |||||||||
Republic of Finland | EUR | 35,000 | 35,396 |
Republic of Finland | EUR | 48,000 | 58,776 | |||||||||
Republic of Finland | EUR | 33,000 | 42,690 | |||||||||
Republic of Ireland | EUR | 67,000 | 76,148 | |||||||||
Republic of Ireland | EUR | 77,000 | 97,332 | |||||||||
Republic of Ireland | EUR | 31,000 | 41,276 | |||||||||
Republic of Ireland | EUR | 25,000 | 34,182 | |||||||||
Republic of Ireland | EUR | 39,000 | 54,478 | |||||||||
Republic of Italy | EUR | 425,000 | 495,762 | |||||||||
Republic of Italy | EUR | 859,000 | 991,446 | |||||||||
Republic of Italy | EUR | 90,000 | 103,185 | |||||||||
Republic of Italy | EUR | 71,000 | 80,246 | |||||||||
Republic of Italy | EUR | 149,000 | 176,059 | |||||||||
Republic of Italy | EUR | 472,000 | 548,906 | |||||||||
Republic of Italy | EUR | 139,000 | 152,886 | |||||||||
Republic of Italy | EUR | 68,000 | 83,090 | |||||||||
Republic of Italy | EUR | 96,000 | 108,177 | |||||||||
Republic of Italy | EUR | 44,000 | 54,882 | |||||||||
Republic of Italy | EUR | 33,000 | 37,289 | |||||||||
Republic of Italy | EUR | 41,000 | 49,565 | |||||||||
Republic of Italy | EUR | 271,000 | 336,422 | |||||||||
Republic of Italy | EUR | 40,000 | 45,454 | |||||||||
Republic of Italy | EUR | 5,000 | 6,956 | |||||||||
Republic of Italy | EUR | 107,000 | 146,898 | |||||||||
Republic of Italy | EUR | 151,000 | 220,405 | |||||||||
Republic of Italy | EUR | 68,000 | 114,780 | |||||||||
Republic of Italy | EUR | 35,000 | 64,023 | |||||||||
Republic of Poland | PLN | 199,000 | 46,737 | |||||||||
Republic of Poland | PLN | 375,000 | 99,061 | |||||||||
Republic of Singapore | SGD | 29,000 | 24,080 | |||||||||
Republic of Singapore | SGD | 35,000 | 28,646 | |||||||||
Republic of Singapore | SGD | 41,000 | 35,314 | |||||||||
Republic of Singapore | SGD | 74,000 | 61,269 | |||||||||
State of Israel | ILS | 531,000 | 171,721 | |||||||||
State of Israel | ILS | 238,000 | 69,792 | |||||||||
United Kingdom Gilt Treasury | GBP | 324,000 | 435,811 | |||||||||
United Kingdom Gilt Treasury | GBP | 756,000 | 943,773 | |||||||||
United Kingdom Gilt Treasury | GBP | 99,000 | 131,566 | |||||||||
United Kingdom Gilt Treasury | GBP | 93,000 | 94,593 | |||||||||
United Kingdom Gilt Treasury | GBP | 486,000 | 654,967 | |||||||||
United Kingdom Gilt Treasury | GBP | 96,000 | 131,311 | |||||||||
United Kingdom Gilt Treasury | GBP | 40,000 | 51,858 | |||||||||
United Kingdom Gilt Treasury | GBP | 115,000 | 157,204 | |||||||||
United Kingdom Gilt Treasury | GBP | 101,000 | 192,051 |
United Kingdom Gilt Treasury | GBP | 45,000 | 86,004 | |||||||||
United Kingdom Gilt Treasury | GBP | 207,000 | 415,848 | |||||||||
United Kingdom Gilt Treasury | GBP | 34,000 | 73,479 | |||||||||
United Mexican States | MXN | 1,519,400 | 70,191 | |||||||||
United Mexican States | MXN | 154,100 | 7,516 | |||||||||
United Mexican States | MXN | 1,183,600 | 60,953 | |||||||||
United Mexican States | MXN | 1,914,000 | 101,654 | |||||||||
United Mexican States | MXN | 543,800 | 31,916 | |||||||||
|
| |||||||||||
Total Foreign Government Obligations | 31,299,560 | |||||||||||
|
| |||||||||||
U.S. GOVERNMENT TREASURIES - 10.7% | ||||||||||||
United States Treasury Bonds - 2.7% | ||||||||||||
1.38% due 11/15/2040 | 682,000 | 611,189 | ||||||||||
1.75% due 08/15/2041 | 586,000 | 558,806 | ||||||||||
1.88% due 02/15/2051 | 513,000 | 487,831 | ||||||||||
2.00% due 02/15/2050 | 775,000 | 759,228 | ||||||||||
2.00% due 08/15/2051 | 188,000 | 184,211 | ||||||||||
2.88% due 05/15/2043 | 43,000 | 49,238 | ||||||||||
3.00% due 02/15/2048 | 323,500 | 383,676 | ||||||||||
3.75% due 08/15/2041 | 157,000 | 203,076 | ||||||||||
4.50% due 02/15/2036 | 173,000 | 236,050 | ||||||||||
5.00% due 05/15/2037 | 271,000 | 392,019 | ||||||||||
|
| |||||||||||
3,865,324 | ||||||||||||
|
| |||||||||||
United States Treasury Notes - 8.0% | ||||||||||||
0.13% due 11/30/2022 | 1,568,000 | 1,567,755 | ||||||||||
0.13% due 01/31/2023 | 517,000 | 516,758 | ||||||||||
0.25% due 09/30/2025 | 1,408,000 | 1,377,310 | ||||||||||
0.38% due 03/31/2022 | 680,000 | 681,062 | ||||||||||
0.38% due 01/31/2026 | 1,164,000 | 1,138,583 | ||||||||||
0.50% due 03/31/2025(2) | 2,085,000 | 2,072,865 | ||||||||||
0.50% due 02/28/2026 | 495,000 | 486,453 | ||||||||||
0.75% due 04/30/2026 | 339,000 | 336,259 | ||||||||||
1.25% due 08/15/2031 | 1,257,000 | 1,224,986 | ||||||||||
2.00% due 12/31/2021 | 412,000 | 413,988 | ||||||||||
2.13% due 06/30/2022 | 361,000 | 366,514 | ||||||||||
2.38% due 08/15/2024 | 211,000 | 222,300 | ||||||||||
2.38% due 05/15/2029 | 141,000 | 151,228 | ||||||||||
2.50% due 05/15/2024 | 768,000 | 809,280 | ||||||||||
2.75% due 02/15/2028 | 48,000 | 52,479 | ||||||||||
|
| |||||||||||
11,417,820 | ||||||||||||
|
| |||||||||||
Total U.S. Government Treasuries | 15,283,144 | |||||||||||
|
| |||||||||||
Total Long-Term Investment Securities | 139,156,105 | |||||||||||
|
| |||||||||||
REPURCHASE AGREEMENTS - 2.6% | ||||||||||||
Bank of America Securities LLC Joint Repurchase Agreement(3) | 835,000 | 835,000 | ||||||||||
Barclays Capital, Inc. Joint Repurchase Agreement(3) | 580,000 | 580,000 | ||||||||||
BNP Paribas SA Joint Repurchase Agreement(3) | 500,000 | 500,000 | ||||||||||
Deutsche Bank AG Joint Repurchase Agreement(3) | 905,000 | 905,000 | ||||||||||
RBS Securities, Inc. Joint Repurchase Agreement(3) | 890,000 | 890,000 | ||||||||||
|
| |||||||||||
Total Repurchase Agreements | 3,710,000 | |||||||||||
|
| |||||||||||
TOTAL INVESTMENTS | 100.1 | % | 142,866,105 | |||||||||
Liabilities in excess of other assets | (0.1 | ) | (109,490 | ) | ||||||||
|
|
|
| |||||||||
NET ASSETS | 100.0 | % | $ | 142,756,615 | ||||||||
|
|
|
|
† | Non-income producing security |
* | Securities exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. The Portfolio has no right to demand registration of these securities. At September 30, 2021, the aggregate value of these securities was $10,011,096 representing 7.0% of net assets. |
(1) | Denominated in United States dollars unless otherwise indicated. |
(2) | The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts. |
(3) | See Note 2 for details of Joint Repurchase Agreements. |
ADR - American Depositary Receipt
ETF - Exchange-Traded Fund
GDR - Global Depositary Receipt
Currency Legend
AUD - | Australian Dollar | |
CAD - | Canadian Dollar | |
DKK - | Danish Krone | |
EUR - | Euro Currency | |
GBP - | British Sterling Pound | |
ILS - | Israeli New Shekel | |
JPY - | Japanese Yen | |
MXN - | Mexican Peso | |
MYR - | Malaysian Ringgit | |
NOK - | Norwegian Krone | |
PLN - | Poland Zloty | |
SEK - | Swedish Krona | |
SGD - | Singapore Dollar |
Futures Contracts
Number of Contracts | Type | Description | Expiration Month | Notional Basis* | Notional Value* | Unrealized Appreciation | ||||||||||||
6 | Short | Euro-BUND | December 2021 | $ | 1,187,951 | $ | 1,180,266 | $ | 7,685 | |||||||||
5 | Short | Long Gilt | December 2021 | 859,203 | 843,136 | 16,067 | ||||||||||||
1 | Short | U.S. Treasury Ultra 10 Year Notes | December 2021 | 147,875 | 145,250 | 2,625 | ||||||||||||
|
| |||||||||||||||||
$ | 26,377 | |||||||||||||||||
|
| |||||||||||||||||
Unrealized (Depreciation) | ||||||||||||||||||
1 | Long | Australian 10 Year Bonds | December 2021 | $ | 104,305 | $ | 102,278 | $ | (2,027 | ) | ||||||||
5 | Long | Euro-BOBL | December 2021 | 786,589 | 781,481 | (5,108 | ) | |||||||||||
2 | Long | Euro-BTP | December 2021 | 354,697 | 352,023 | (2,674 | ) | |||||||||||
1 | Long | Euro-BUXL | December 2021 | 236,555 | 235,539 | (1,016 | ) | |||||||||||
3 | Long | Euro-Schatz | December 2021 | 390,231 | 389,918 | (313 | ) | |||||||||||
4 | Long | U.S. Treasury 2 Year Notes | December 2021 | 881,313 | 880,219 | (1,094 | ) | |||||||||||
2 | Long | U.S. Treasury 5 Year Notes | December 2021 | 247,172 | 245,484 | (1,688 | ) | |||||||||||
4 | Long | U.S. Treasury Ultra Bonds | December 2021 | 790,536 | 764,250 | (26,286 | ) | |||||||||||
|
| |||||||||||||||||
$ | (40,206 | ) | ||||||||||||||||
|
| |||||||||||||||||
Net Unrealized Appreciation (Depreciation) |
| $ | (13,829 | ) | ||||||||||||||
|
|
* | Notional basis refers to the contractual amount agreed upon at inception of the open contract; notional value represents the current value of the open contract. |
Forward Foreign Currency Contracts
Counterparty | Contract to Deliver | In Exchange For | Delivery Date | Unrealized Appreciation | Unrealized (Depreciation) | |||||||||||||||||||
Bank of America, N.A. | EUR | 106,000 | USD | 125,392 | 10/06/2021 | $ | 2,603 | $ | — | |||||||||||||||
KRW | 29,540,000 | USD | 24,918 | 10/06/2021 | — | (29 | ) | |||||||||||||||||
NZD | 70,000 | USD | 49,786 | 10/06/2021 | 1,461 | — | ||||||||||||||||||
TWD | 985,000 | USD | 35,572 | 10/06/2021 | 202 | — | ||||||||||||||||||
TWD | 985,000 | USD | 35,461 | 11/04/2021 | — | — | ||||||||||||||||||
USD | 25,298 | KRW | 29,540,000 | 10/06/2021 | — | (351 | ) | |||||||||||||||||
USD | 6,361 | NZD | 9,000 | 10/06/2021 | — | (148 | ) | |||||||||||||||||
USD | 35,406 | TWD | 985,000 | 10/06/2021 | — | (35 | ) | |||||||||||||||||
USD | 38,777 | ZAR | 580,000 | 10/06/2021 | — | (271 | ) | |||||||||||||||||
USD | 24,905 | KRW | 29,540,000 | 11/04/2021 | 25 | — | ||||||||||||||||||
ZAR | 730,000 | USD | 50,034 | 10/06/2021 | 1,570 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
5,861 | (834 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Barclays Bank PLC | AUD | 1,109,000 | USD | 811,155 | 10/06/2021 | 9,400 | — | |||||||||||||||||
CAD | 1,539,000 | USD | 1,219,641 | 10/06/2021 | 4,591 | — | ||||||||||||||||||
DKK | 324,000 | USD | 50,531 | 11/04/2021 | 36 | — | ||||||||||||||||||
EUR | 65,000 | USD | 75,439 | 10/06/2021 | 143 | — | ||||||||||||||||||
EUR | 14,219,000 | USD | 16,510,872 | 11/04/2021 | 30,725 | — | ||||||||||||||||||
GBP | 1,874,000 | USD | 2,581,836 | 10/06/2021 | 56,805 | — | ||||||||||||||||||
GBP | 2,703,000 | USD | 3,634,062 | 11/04/2021 | — | (8,107 | ) | |||||||||||||||||
ILS | 714,000 | USD | 222,209 | 11/04/2021 | 699 | — | ||||||||||||||||||
NOK | 408,000 | USD | 46,976 | 10/06/2021 | 304 | — | ||||||||||||||||||
PLN | 588,000 | USD | 147,440 | 11/04/2021 | — | (393 | ) | |||||||||||||||||
SEK | 220,000 | USD | 25,182 | 10/06/2021 | 51 | — | ||||||||||||||||||
TRY | 2,505,000 | USD | 296,590 | 10/06/2021 | 15,612 | — | ||||||||||||||||||
TRY | 1,812,000 | USD | 200,642 | 11/04/2021 | 457 | — | ||||||||||||||||||
USD | 59,246 | AUD | 81,000 | 10/06/2021 | — | (687 | ) | |||||||||||||||||
USD | 16,250,738 | EUR | 14,001,000 | 10/06/2021 | — | (32,093 | ) | |||||||||||||||||
USD | 3,633,913 | GBP | 2,703,000 | 10/06/2021 | 8,114 | — | ||||||||||||||||||
USD | 222,174 | ILS | 714,000 | 10/06/2021 | — | (704 | ) | |||||||||||||||||
USD | 25,127 | JPY | 2,800,000 | 10/06/2021 | 31 | — | ||||||||||||||||||
USD | 75,254 | MXN | 1,530,000 | 10/06/2021 | — | (1,157 | ) | |||||||||||||||||
USD | 147,442 | PLN | 588,000 | 10/06/2021 | 398 | — | ||||||||||||||||||
USD | 126,772 | TRY | 1,127,000 | 10/06/2021 | — | (360 | ) | |||||||||||||||||
USD | 75,480 | EUR | 65,000 | 11/04/2021 | — | (143 | ) | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
127,366 | (43,644 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
BNP Paribas SA | EUR | 13,641,000 | USD | 16,163,057 | 10/06/2021 | 361,433 | — | |||||||||||||||||
GBP | 211,000 | USD | 292,124 | 10/06/2021 | 7,823 | — | ||||||||||||||||||
MYR | 657,000 | USD | 158,198 | 10/06/2021 | 1,312 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
370,568 | — | |||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Citibank N.A. | CAD | 35,000 | USD | 27,488 | 11/04/2021 | — | (143 | ) | ||||||||||||||||
CHF | 209,000 | USD | 227,803 | 10/06/2021 | 3,531 | — | ||||||||||||||||||
DKK | 911,000 | USD | 144,972 | 10/06/2021 | 3,067 | — | ||||||||||||||||||
DKK | 911,000 | USD | 142,223 | 11/04/2021 | 243 | — | ||||||||||||||||||
EUR | 22,000 | USD | 25,834 | 10/06/2021 | 349 | — | ||||||||||||||||||
GBP | 255,000 | USD | 349,551 | 10/06/2021 | 5,964 | — | ||||||||||||||||||
JPY | 925,662,000 | USD | 8,428,092 | 10/06/2021 | 110,794 | — | ||||||||||||||||||
JPY | 14,881,000 | USD | 133,052 | 11/04/2021 | — | (683 | ) | |||||||||||||||||
NOK | 1,148,000 | USD | 132,583 | 10/06/2021 | 1,261 | — | ||||||||||||||||||
SEK | 220,000 | USD | 25,509 | 10/06/2021 | 378 | — | ||||||||||||||||||
USD | 92,009 | AUD | 125,000 | 10/06/2021 | — | (1,640 | ) |
USD | 27,678 | CAD | 35,000 | 10/06/2021 | — | (45 | ) | |||||||||||||||||
USD | 142,157 | DKK | 911,000 | 10/06/2021 | — | (252 | ) | |||||||||||||||||
USD | 52,001 | EUR | 44,000 | 10/06/2021 | — | (1,031 | ) | |||||||||||||||||
USD | 25,929 | GBP | 19,000 | 10/06/2021 | — | (329 | ) | |||||||||||||||||
USD | 47,135 | NOK | 408,000 | 10/06/2021 | — | (464 | ) | |||||||||||||||||
USD | 51,135 | SEK | 440,000 | 10/06/2021 | — | (873 | ) | |||||||||||||||||
USD | 59,452 | ZAR | 880,000 | 10/06/2021 | — | (1,029 | ) | |||||||||||||||||
USD | 25,124 | NOK | 220,000 | 11/04/2021 | 37 | — | ||||||||||||||||||
ZAR | 580,000 | USD | 40,510 | 10/06/2021 | 2,004 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
127,628 | (6,489 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Deutsche Bank AG | PLN | 588,000 | USD | 153,155 | 10/06/2021 | 5,315 | — | |||||||||||||||||
|
|
|
| |||||||||||||||||||||
Goldman Sachs International | MXN | 3,580,000 | USD | 174,379 | 10/06/2021 | 1,001 | — | |||||||||||||||||
MXN | 5,946,000 | USD | 288,375 | 11/04/2021 | 1,627 | — | ||||||||||||||||||
TRY | 215,000 | USD | 24,347 | 10/06/2021 | 232 | — | ||||||||||||||||||
TRY | 1,378,000 | USD | 152,670 | 11/04/2021 | 432 | — | ||||||||||||||||||
USD | 340,278 | MXN | 6,976,000 | 10/06/2021 | — | (2,433 | ) | |||||||||||||||||
USD | 179,876 | TRY | 1,593,000 | 10/06/2021 | — | (1,194 | ) | |||||||||||||||||
USD | 167,295 | ZAR | 2,520,000 | 10/06/2021 | 7 | — | ||||||||||||||||||
USD | 170,469 | EUR | 147,000 | 11/04/2021 | — | (93 | ) | |||||||||||||||||
USD | 83,599 | GBP | 62,000 | 11/04/2021 | — | (57 | ) | |||||||||||||||||
USD | 173,626 | MXN | 3,580,000 | 11/04/2021 | — | (980 | ) | |||||||||||||||||
ZAR | 360,000 | USD | 24,375 | 10/06/2021 | 474 | — | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||
3,773 | (4,757 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
JPMorgan Chase Bank N.A | CHF | 25,000 | USD | 27,053 | 10/06/2021 | 226 | — | |||||||||||||||||
EUR | 43,000 | USD | 50,879 | 10/06/2021 | 1,069 | — | ||||||||||||||||||
ILS | 79,000 | USD | 24,479 | 11/04/2021 | — | (30 | ) | |||||||||||||||||
NOK | 220,000 | USD | 25,301 | 10/06/2021 | 135 | — | ||||||||||||||||||
NZD | 70,000 | USD | 49,086 | 10/06/2021 | 762 | — | ||||||||||||||||||
SEK | 430,000 | USD | 49,935 | 10/06/2021 | 816 | — | ||||||||||||||||||
USD | 77,147 | AUD | 105,000 | 10/06/2021 | — | (1,237 | ) | |||||||||||||||||
USD | 54,355 | CHF | 50,000 | 10/06/2021 | — | (701 | ) | |||||||||||||||||
USD | 101,437 | EUR | 86,000 | 10/06/2021 | — | (1,815 | ) | |||||||||||||||||
USD | 25,550 | JPY | 2,800,000 | 10/06/2021 | — | (391 | ) | |||||||||||||||||
USD | 51,327 | SEK | 440,000 | 10/06/2021 | — | (1,066 | ) | |||||||||||||||||
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|
|
| |||||||||||||||||||||
3,008 | (5,240 | ) | ||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||
Morgan Stanley & Co. International PLC | AUD | 35,000 | USD | 25,127 | 10/06/2021 | — | (176 | ) | ||||||||||||||||
CAD | 35,000 | USD | 27,417 | 10/06/2021 | — | (215 | ) | |||||||||||||||||
CHF | 139,000 | USD | 148,984 | 11/04/2021 | — | (277 | ) | |||||||||||||||||
EUR | 304,000 | USD | 360,314 | 10/06/2021 | 8,162 | — | ||||||||||||||||||
ILS | 714,000 | USD | 222,570 | 10/06/2021 | 1,101 | — | ||||||||||||||||||
JPY | 2,850,000 | USD | 25,481 | 10/06/2021 | — | (127 | ) | |||||||||||||||||
JPY | 961,338,000 | USD | 8,596,592 | 11/04/2021 | — | (42,940 | ) | |||||||||||||||||
NOK | 1,368,000 | USD | 155,580 | 11/04/2021 | — | (874 | ) | |||||||||||||||||
SEK | 760,000 | USD | 88,352 | 10/06/2021 | 1,537 | — | ||||||||||||||||||
SEK | 800,000 | USD | 91,111 | 11/04/2021 | — | (292 | ) | |||||||||||||||||
SGD | 211,000 | USD | 157,046 | 10/06/2021 | 1,648 | — | ||||||||||||||||||
SGD | 211,000 | USD | 155,016 | 11/03/2021 | — | (374 | ) | |||||||||||||||||
USD | 197,015 | CHF | 184,000 | 10/06/2021 | 430 | — | ||||||||||||||||||
USD | 250,840 | EUR | 212,000 | 10/06/2021 | — | (5,261 | ) | |||||||||||||||||
USD | 8,594,886 | JPY | 961,338,000 | 10/06/2021 | 42,969 | — | ||||||||||||||||||
USD | 155,610 | NOK | 1,368,000 | 10/06/2021 | 878 | — | ||||||||||||||||||
USD | 91,092 | SEK | 800,000 | 10/06/2021 | 292 | — | ||||||||||||||||||
USD | 155,025 | SGD | 211,000 | 10/06/2021 | 373 | — | ||||||||||||||||||
USD | 120,752 | ZAR | 1,830,000 | 10/06/2021 | 741 | — |
USD | 25,486 | JPY | 2,850,000 | 11/04/2021 | 127 | — | ||||||||||||||||||||
USD | 1,139 | SEK | 10,000 | 11/04/2021 | 4 | — | ||||||||||||||||||||
ZAR | 4,140,000 | USD | 283,439 | 10/06/2021 | 8,586 | — | ||||||||||||||||||||
ZAR | 1,830,000 | USD | 120,275 | 11/04/2021 | — | (746 | ) | |||||||||||||||||||
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|
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| |||||||||||||||||||||||
66,848 | (51,282 | ) | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
Royal Bank of Canada | GBP | 98,000 | USD | 131,994 | 11/04/2021 | — | (56 | ) | ||||||||||||||||||
MXN | 5,946,000 | USD | 294,784 | 10/06/2021 | 6,821 | — | ||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
6,821 | (56 | ) | ||||||||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
Standard Chartered Bank | AUD | 112,000 | USD | 81,130 | 11/04/2021 | 149 | — | |||||||||||||||||||
GBP | 145,000 | USD | 199,226 | 10/06/2021 | 3,853 | — | ||||||||||||||||||||
MYR | 657,000 | USD | 156,731 | 11/03/2021 | 164 | — | ||||||||||||||||||||
USD | 157,677 | EUR | 133,000 | 10/06/2021 | — | (3,611 | ) | |||||||||||||||||||
USD | 156,922 | MYR | 657,000 | 10/06/2021 | — | (36 | ) | |||||||||||||||||||
|
|
|
| |||||||||||||||||||||||
4,166 | (3,647 | ) | ||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||
State Street Bank & Trust Company | CAD | 70,000 | USD | 55,253 | 10/06/2021 | — | (13 | ) | ||||||||||||||||||
CAD | 129,000 | USD | 101,062 | 11/04/2021 | — | (780 | ) | |||||||||||||||||||
EUR | 317,000 | USD | 374,815 | 10/06/2021 | 7,605 | — | ||||||||||||||||||||
GBP | 256,000 | USD | 350,169 | 10/06/2021 | 5,234 | — | ||||||||||||||||||||
JPY | 44,826,000 | USD | 408,292 | 10/06/2021 | 5,520 | — | ||||||||||||||||||||
NZD | 73,000 | USD | 51,209 | 10/06/2021 | 814 | — | ||||||||||||||||||||
USD | 51,564 | AUD | 70,000 | 10/06/2021 | — | (958 | ) | |||||||||||||||||||
USD | 74,576 | CAD | 95,000 | 10/06/2021 | 427 | — | ||||||||||||||||||||
USD | 26,002 | EUR | 22,000 | 10/06/2021 | — | (517 | ) | |||||||||||||||||||
USD | 25,711 | GBP | 19,000 | 10/06/2021 | — | (111 | ) | |||||||||||||||||||
USD | 58,111 | JPY | 6,400,000 | 10/06/2021 | — | (605 | ) | |||||||||||||||||||
USD | 50,266 | MXN | 1,020,000 | 10/06/2021 | — | (867 | ) | |||||||||||||||||||
USD | 79,559 | SEK | 685,000 | 10/06/2021 | — | (1,312 | ) | |||||||||||||||||||
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| |||||||||||||||||||||||
19,600 | (5,163 | ) | ||||||||||||||||||||||||
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UBS AG | SEK | 735,000 | USD | 84,127 | 10/06/2021 | 169 | — | |||||||||||||||||||
USD | 38,546 | JPY | 4,300,000 | 11/04/2021 | 98 | — | ||||||||||||||||||||
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|
|
| |||||||||||||||||||||||
267 | — | |||||||||||||||||||||||||
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|
|
| |||||||||||||||||||||||
Unrealized Appreciation (Depreciation) | $ | 741,221 | $ | (121,112 | ) | |||||||||||||||||||||
|
|
|
|
AUD - | Australian Dollar | |
CAD - | Canadian Dollar | |
CHF - | Swiss Franc | |
DKK - | Danish Krone | |
EUR - | Euro Currency | |
GBP - | British Sterling Pound | |
ILS - | Israeli New Shekel | |
JPY - | Japanese Yen | |
MXN - | Mexican Peso | |
MYR - | Malaysian Ringgit | |
NOK - | Norwegian Krone | |
NZD - | New Zealand Dollar | |
PLN - | Polish Zloty | |
SEK - | Swedish Krona | |
SGD - | Singapore Dollar | |
TRY - | Turkish Lira | |
USD - | United States Dollar | |
ZAR - | South African Rand |
The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2021 (see Note 1):
Level 1 - Unadjusted Quoted Prices | Level 2 - Other Observable Inputs | Level 3 - Significant Unobservable Inputs | Total | |||||||||||||
ASSETS: | ||||||||||||||||
Investments at Value:* | ||||||||||||||||
Common Stocks: | ||||||||||||||||
Medical-Biomedical/Gene | $ | 1,670,033 | $ | 553,264 | $ | — | $ | 2,223,297 | ||||||||
Other Industries | 62,382,192 | 24,135,277 | ** | — | 86,517,469 | |||||||||||
Exchange-Traded Funds | 1,057,462 | — | — | 1,057,462 | ||||||||||||
U.S. Corporate Bonds & Notes | — | 2,474,461 | — | 2,474,461 | ||||||||||||
Foreign Corporate Bonds & Notes | — | 300,712 | — | 300,712 | ||||||||||||
Foreign Government Obligations | — | 31,299,560 | — | 31,299,560 | ||||||||||||
U.S. Government Treasuries | — | 15,283,144 | — | 15,283,144 | ||||||||||||
Repurchase Agreements | — | 3,710,000 | — | 3,710,000 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments at Value | $ | 65,109,687 | $ | 77,756,418 | $ | — | $ | 142,866,105 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 26,377 | $ | — | $ | — | $ | 26,377 | ||||||||
Forward Foreign Currency Contracts | — | 741,221 | — | 741,221 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 26,377 | $ | 741,221 | $ | — | $ | 767,598 | ||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Other Financial Instruments:+ | ||||||||||||||||
Futures Contracts | $ | 40,206 | $ | — | $ | — | $ | 40,206 | ||||||||
Forward Foreign Currency Contracts | — | 121,112 | $ | — | 121,112 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | 40,206 | $ | 121,112 | $ | — | $ | 161,318 | ||||||||
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|
|
|
|
|
|
* | For a detailed presentation of investments, please refer to the Portfolio of Investments. |
+ | Amounts represent unrealized appreciation/depreciation as of the end of the reporting period. |
** | Represents foreign equity securities that have been fair valued in accordance with pricing procedures approved by the Board (see Note 1). |
See Notes to Portfolio of Investments
NOTES TO PORTFOLIO OF INVESTMENTS — September 30, 2021 — (unaudited)
Note 1. Security Valuation
In accordance with the authoritative guidance on fair value measurements and disclosures under accounting principles generally accepted in the United States of America (“GAAP”), the Portfolios disclose the fair value of their investments in a hierarchy that prioritizes the inputs to valuation techniques used to measure the fair value. In accordance with GAAP, fair value is defined as the price that the Portfolios would receive upon selling an asset or transferring a liability in a timely transaction to an independent third party in the principal or most advantageous market. GAAP establishes a three-tier hierarchy to provide more transparency around the inputs used to measure fair value and to establish classification of fair value measurements for disclosure purposes. Inputs refer broadly to the assumptions that market participants would use in pricing the asset or liability, including assumptions about risk. Inputs may be observable or unobservable. Observable inputs are inputs that reflect the assumptions market participants would use in pricing the asset or liability developed based on market data obtained from sources independent of the reporting entity. Unobservable inputs are inputs that reflect the reporting entity’s own assumptions about the assumptions market participants would use in pricing the asset or liability developed based on the best information available in the circumstances. The three-tiers are as follows:
Level 1 – Unadjusted quoted prices in active markets for identical securities
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, referenced indices, quoted prices in inactive markets, adjusted quoted prices in active markets, adjusted quoted prices on foreign equity securities that were adjusted in accordance with pricing procedures approved by the Board of Trustees (the “Board”), etc.)
Level 3 – Significant unobservable inputs (includes inputs that reflect the Portfolios’ own assumptions about the assumptions market participants would use in pricing the security, developed based on the best information available under the circumstances)
Changes in valuation techniques may result in transfers in or out of an investment’s assigned Level within the hierarchy. The methodology used for valuing investments is not necessarily an indication of the risk associated with investing in those investments and the determination of the significance of a particular input to the fair value measurement in its entirety requires judgment and consideration of factors specific to each security.
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 recently issued 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 summary of each Portfolio’s asset and liabilities classified in the fair value hierarchy as of September 30, 2021 is reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Stocks are generally valued based upon closing sales prices reported on recognized securities exchanges on which the securities are principally traded and are generally categorized as Level 1. Stocks listed on the NASDAQ are valued using the NASDAQ Official Closing Price (“NOCP”). Generally, the NOCP will be the last sale price unless the reported trade for the stock is outside the range of the bid/ask price. In such cases, the NOCP will be normalized to the nearer of the bid or ask price. For listed securities having no sales reported and for unlisted securities, such securities will be valued based upon the last reported bid price.
As of the close of regular trading on the New York Stock Exchange (“NYSE”), securities traded primarily on security exchanges outside the United States are valued at the last sale price on such exchanges on the day of valuation, or if there is no sale on the day of valuation, at the last-reported bid price. If a security’s price is available from more than one exchange, the Portfolios use the exchange that is the primary market for the security. Such securities are
generally categorized as Level 1. However, depending on the foreign market, closing prices may be up to 15 hours old when they are used to price a Portfolio’s shares, and the Portfolio may determine that certain closing prices do not reflect the fair value of the security. This determination will be based on review of a number of factors, including developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. If a Portfolio determines that closing prices do not reflect the fair value of the securities, the Portfolio will adjust the previous closing prices in accordance with pricing procedures approved by the Board to reflect what it believes to be the fair value of the securities as of the close of regular trading on the NYSE. The Portfolios may also fair value securities in other situations, for example, when a particular foreign market is closed but a Portfolio is open. For foreign equity securities and foreign equity futures contracts, the Portfolios use an outside pricing service to provide it with closing market prices and information used for adjusting those prices, and when so adjusted, such securities and futures are generally categorized as Level 2.
Bonds, debentures and other debt securities are valued at evaluated bid prices obtained for the day of valuation from a Board-approved pricing service, and are generally categorized as Level 2. The pricing service may use valuation models or matrix pricing which considers information with respect to comparable bond and note transactions, quotations from bond dealers, or by reference to other securities that are considered comparable in such characteristics as rating, interest rate, and maturity date, option adjusted spread models, prepayments projections, interest rate spreads, and yield curves to determine current value. If a price is unavailable from a Board-approved pricing service, the securities may be priced at the mean of two independent quotes obtained from brokers.
Senior floating rate loans (“Loans”) are valued at the average of available bids in the market for such Loans, as provided by a Board-approved loan pricing service, and are generally categorized as Level 2.
Investments in registered investment companies that do not trade on an exchange are valued at the end of day net asset value per share. Investments in registered investment companies that trade on an exchange are valued at the last sales price or official closing price as of the close of the customary trading session on the exchange where the security is principally traded. Registered investment companies are generally categorized as Level 1.
Futures contracts traded on national securities exchanges are valued at the quoted daily settlement price established by the exchange on which they trade reported by a Board-approved pricing service, and are generally categorized as Level 1. Option contracts traded on national securities exchanges are valued at the mean of the last bid and ask price reported by a Board-approved pricing service as of the close of the exchange for which they are traded, and are generally categorized as Level 1. Option contracts traded in the over-the-counter (“OTC”) market are valued at the mid valuation provided by a Board-approved pricing service, and are generally categorized as Level 2. Forward foreign currency contracts (“forward contracts”) are valued at the 4:00 p.m. Eastern Time forward rate and are generally categorized as Level 2.
Other securities are valued on the basis of last sale or bid price (if a last sale price is not available) in what is, in the opinion of the Adviser, the broadest and most representative market, that may be either a securities exchange or over-the-counter market, and are generally categorized as Level 1 or Level 2.
The Board is responsible for the share valuation process and has adopted policies and procedures (the “PRC procedures”) for valuing the securities and other assets held by the Portfolios, including procedures for the fair valuation of securities and other assets for which market quotations are not readily available or are unreliable. The PRC Procedures provide for the establishment of a pricing review committee, which is responsible for, among other things, making certain determinations in connection with the Trust’s fair valuation procedures. Securities for which market quotations are not readily available or the values of which may be significantly impacted by the occurrence of developments or significant events are generally categorized as Level 3. There is no single standard for making fair value determinations, which may result in prices that vary from those of other funds.
Note 2. Repurchase Agreements
As of September 30, 2021, the following Portfolios held an undivided interest in a joint repurchase agreement with Bank of America Securities LLC:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 1.78 | % | $ | 1,925,000 | ||||
SA Wellington Government and Quality Bond | 90.90 | 98,345,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.77 | 835,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated September 30, 2021, bearing interest at a rate of 0.04% per annum, with a principal amount of $108,195,000, a repurchase price of $108,195,120, and a maturity date of October 1, 2021. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 0.50 | % | 05/31/2027 | $ | 114,068,000 | $ | 110,289,571 |
As of September 30, 2021, the following Portfolios held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 1.78 | % | $ | 1,335,000 | ||||
SA Wellington Government and Quality Bond | 90.89 | 68,170,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.77 | 580,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated September 30, 2021, bearing interest at a rate of 0.05% per annum, with a principal amount of $75,000,000, a repurchase price of $75,000,104, and a maturity date of October 1, 2021. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 2.38 | % | 08/15/2024 | $ | 72,427,000 | $ | 76,514,181 |
As of September 30, 2021, the following Portfolios held an undivided interest in a joint repurchase agreement with BNP Paribas SA:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 1.78 | % | $ | 1,155,000 | ||||
SA Wellington Government and Quality Bond | 90.89 | 59,080,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.77 | 500,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated September 30, 2021, bearing interest at a rate of 0.05% per annum, with a principal amount of $65,000,000, a repurchase price of $65,000,090, and a maturity date of October 1, 2021. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Bonds | 2.25 | % | 08/15/2046 | $ | 63,882,100 | $ | 66,214,209 |
As of September 30, 2021, the following Portfolios held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 1.79 | % | $ | 2,060,000 | ||||
SA Wellington Government and Quality Bond | 90.91 | 104,545,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.79 | 905,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated September 30, 2021, bearing interest at a rate of 0.03% per annum, with a principal amount of $115,000,000, a repurchase price of $115,000,096, and a maturity date of October 1, 2021. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 3.13 | % | 11/15/2028 | $ | 103,356,000 | $ | 117,237,090 |
As of September 30, 2021, the following Portfolios held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:
Portfolio | Percentage Ownership | Principal Amount | ||||||
SA Wellington Capital Appreciation | 1.78 | % | $ | 2,045,000 | ||||
SA Wellington Government and Quality Bond | 90.90 | 104,530,000 | ||||||
SA Wellington Strategic Multi-Asset | 0.77 | 890,000 |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated September 30, 2021, bearing interest at a rate of 0.04% per annum, with a principal amount of $115,000,000, a repurchase price of $115,000,128, and a maturity date of October 1, 2021. The repurchase agreement is collateralized by the following:
Type of Collateral | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||
U.S. Treasury Notes | 2.50 | % | 08/15/2023 | $ | 112,295,000 | $ | 117,342,743 |
Note 3. Derivative Instruments
Forward Foreign Currency Contracts: During the period, the SA Wellington Strategic Multi-Asset Portfolio used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates to manage and/or gain exposure to certain foreign currencies and/or to attempt to enhance return.
A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by the Portfolio as unrealized appreciation or depreciation. On the settlement date, the Portfolio records either realized gains or losses 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.
Risks to the Portfolios of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio’s loss will generally consist of the net amount of contractual payments that a Portfolio has not yet received though the Portfolio’s maximum risk due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported in the Portfolio of Investments. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other Portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of the Portfolio’s Portfolio of Investments.
Futures: During the period, SA Wellington Government and Quality Bond and the SA Wellington Strategic Multi-Asset Portfolios used futures contracts to attempt to increase or decrease exposure to equity, bond and currency markets and to manage duration and yield curve positioning.
A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. When a contract is closed, the Portfolios record 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.
The primary risk to the Portfolios of entering into futures contracts is market risk. Market risk is the risk that there will be an unfavorable change in the interest rate, value or currency rate of the underlying security(ies). Futures contracts involve, to varying degrees, risk of loss in excess of the variation margin. There may also be trading restrictions or limitations imposed by an exchange, and government regulations may restrict trading in futures contracts. While the Portfolios will generally only purchase exchange-traded futures, due to market conditions, there may not always be a liquid secondary market for a futures contract and, as a result, a Portfolio may be unable to close out its futures contracts at a time which is advantageous. In addition, if a Portfolio has insufficient cash to meet margin requirements, the Portfolio may need to sell other investments, including at disadvantageous times. There is generally minimal counterparty risk to the Portfolios since futures contracts are generally exchange-traded.
Future contracts outstanding at the end of the period, if any, are reported on a schedule at the end of each Portfolio’s Portfolio of Investments.
Master Agreements: Certain Portfolios that hold derivative instruments and other financial instruments may be a party to ISDA (International Swaps and Derivatives Association, Inc.) Master Agreements or similar agreements (“Master Agreements”) with certain counterparties that govern such instruments. Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. Collateral can be in the form of cash or securities as agreed to by the Portfolio and applicable counterparty. Collateral requirements are generally determined based on a Portfolio’s net position with each counterparty. Master Agreements may also include certain provisions that require a Portfolio to post additional collateral upon the occurrence of certain events, such as when a Portfolio’s net assets fall below a specified level. In addition, Master Agreements typically specify certain standard termination events, such as failure of a party to pay or deliver, credit support defaults and other events of default. Termination events applicable to a Portfolio may also occur upon a decline in a Portfolio’s net assets below a specified level over a certain period of time. Additional termination events applicable to counterparties may occur upon a decline in a counterparty’s long-term and short-term credit ratings below a specified level, or upon a decline in the ratings of a counterparty’s credit support provider. Upon the occurrence of a termination event, the other party may elect to terminate early and cause settlement of all instruments outstanding pursuant to a particular Master Agreement, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by one or more of a Portfolio’s counterparties to elect early termination could cause the Portfolio to accelerate the payment of liabilities, which settlement amounts could be in excess of the amount of assets that are already posted as collateral. Typically, the Master Agreement will permit a single net payment in the event of default. Note, however, that bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events. As a result, the early termination with respect to derivative instruments subject to Master Agreements that are in a net liability position could be material to a Portfolio’s financial statements.
ADDITIONAL INFORMATION
Additional information is available in the Trust’s Annual and Semiannual reports, which may be obtained without charge from the EDGAR database on the Securities and Exchange Commission’s website at http://www.sec.gov.