Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Unaudited)
March 31, 2023
Shares/ Principal | Fair Value | ||||
Common Stocks - 70.4% | |||||
Aerospace & Defense - 3.0% | |||||
General Dynamics Corp. | 9,420 | $2,149,738 | |||
Raytheon Technologies Corp. | 42,316 | 4,144,006 | |||
6,293,744 | |||||
Air Freight & Logistics - 1.6% | |||||
United Parcel Service, Inc., Class B | 17,542 | 3,402,973 | |||
Banks - 0.9% | |||||
JPMorgan Chase & Co. | 15,314 | 1,995,567 | |||
Beverages - 1.4% | |||||
PepsiCo, Inc. | 16,706 | 3,045,504 | |||
Biotechnology - 1.2% | |||||
AbbVie, Inc. | 15,686 | 2,499,878 | |||
Building Products - 1.8% | |||||
Carlisle Cos., Inc. | 6,591 | 1,490,028 | |||
Johnson Controls International PLC | 39,615 | 2,385,615 | |||
3,875,643 | |||||
Capital Markets - 0.8% | |||||
Nasdaq, Inc. | 32,669 | 1,786,014 | |||
Chemicals - 6.7% | |||||
Air Products and Chemicals, Inc. | 14,111 | 4,052,820 | |||
Albemarle Corp. | 8,669 | 1,916,196 | |||
Ecolab, Inc. | 11,046 | 1,828,444 | |||
Linde PLC | 15,675 | 5,571,522 | |||
Sherwin-Williams Co. (The) | 3,992 | 897,282 | |||
14,266,264 | |||||
Commercial Services & Supplies - 1.2% | |||||
Cintas Corp. | 5,657 | 2,617,381 | |||
Consumer Discretionary Services - 0.0%† | |||||
24 Hour Fitness Worldwide, Inc. * | 671 | 4 | |||
Consumer Staples Distribution & Retail - 2.5% | |||||
Target Corp. | 18,416 | 3,050,242 | |||
Walmart, Inc. | 15,500 | 2,285,475 | |||
5,335,717 | |||||
Electrical Equipment - 0.6% | |||||
nVent Electric PLC | 29,360 | 1,260,718 | |||
Energy Equipment & Services - 0.1% | |||||
Weatherford International PLC * | 1,897 | 112,587 | |||
Financial Services - 1.9% | |||||
Visa, Inc., Class A | 17,450 | 3,934,277 | |||
Food Products - 1.9% | |||||
McCormick & Co., Inc. | 25,803 | 2,147,068 | |||
Mondelez International, Inc., Class A | 25,695 | 1,791,455 | |||
3,938,523 | |||||
Ground Transportation - 1.5% | |||||
JB Hunt Transport Services, Inc. | 7,900 | 1,386,134 | |||
Norfolk Southern Corp. | 8,240 | 1,746,880 | |||
3,133,014 | |||||
Health Care Equipment & Supplies - 6.8% | |||||
Abbott Laboratories | 27,102 | 2,744,348 | |||
Becton Dickinson and Co. | 14,387 | 3,561,358 |
Shares/ Principal | Fair Value | ||||
Health Care Equipment & Supplies (continued) | |||||
Medtronic PLC | 30,700 | $2,475,034 | |||
Stryker Corp. | 20,142 | 5,749,937 | |||
14,530,677 | |||||
Health Care Providers & Services - 2.2% | |||||
CVS Health Corp. | 7,611 | 565,573 | |||
UnitedHealth Group, Inc. | 8,842 | 4,178,641 | |||
4,744,214 | |||||
Hotels, Restaurants & Leisure - 1.9% | |||||
McDonald's Corp. | 11,327 | 3,167,142 | |||
Starbucks Corp. | 8,800 | 916,344 | |||
4,083,486 | |||||
Household Products - 2.0% | |||||
Colgate-Palmolive Co. | 21,903 | 1,646,010 | |||
Procter & Gamble Co. (The) | 17,821 | 2,649,805 | |||
4,295,815 | |||||
Industrial Conglomerates - 1.6% | |||||
Honeywell International, Inc. | 18,007 | 3,441,498 | |||
Insurance - 0.6% | |||||
Erie Indemnity Co., Class A | 5,569 | 1,290,115 | |||
IT Services - 1.9% | |||||
Accenture PLC, Class A | 13,871 | 3,964,470 | |||
Life Sciences Tools & Services - 1.8% | |||||
Danaher Corp. | 2,360 | 594,814 | |||
West Pharmaceutical Services, Inc. | 9,385 | 3,251,621 | |||
3,846,435 | |||||
Machinery - 1.5% | |||||
Donaldson Co., Inc. | 14,758 | 964,288 | |||
Dover Corp. | 15,136 | 2,299,764 | |||
3,264,052 | |||||
Oil, Gas & Consumable Fuels - 2.4% | |||||
Chevron Corp. | 13,180 | 2,150,449 | |||
EOG Resources, Inc. | 12,726 | 1,458,781 | |||
Exxon Mobil Corp. | 12,870 | 1,411,324 | |||
5,020,554 | |||||
Pharmaceuticals - 1.8% | |||||
Johnson & Johnson | 17,171 | 2,661,505 | |||
Pfizer, Inc. | 29,701 | 1,211,801 | |||
3,873,306 | |||||
Semiconductors & Semiconductor Equipment - 4.3% | |||||
Analog Devices, Inc. | 24,637 | 4,858,909 | |||
Texas Instruments, Inc. | 23,408 | 4,354,122 | |||
9,213,031 | |||||
Software - 9.2% | |||||
Microsoft Corp. | 48,264 | 13,914,511 | |||
Roper Technologies, Inc. | 12,905 | 5,687,105 | |||
19,601,616 | |||||
Specialty Retail - 2.6% | |||||
Lowe's Cos., Inc. | 14,738 | 2,947,158 |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
March 31, 2023
Shares/ Principal | Fair Value | ||||
Specialty Retail (continued) | |||||
Ross Stores, Inc. | 23,482 | $2,492,145 | |||
5,439,303 | |||||
Technology Hardware, Storage & Peripherals - 0.2% | |||||
Apple, Inc. | 2,900 | 478,210 | |||
Textiles, Apparel & Luxury Goods - 1.4% | |||||
NIKE, Inc., Class B | 24,363 | 2,987,878 | |||
Trading Companies & Distributors - 1.1% | |||||
WW Grainger, Inc. | 3,439 | 2,368,818 | |||
Total Common Stocks | |||||
(Cost - $67,344,721) | 149,941,286 | ||||
U.S. Treasury Securities and Agency Bonds - 7.8% | |||||
Federal Farm Credit Banks Funding Corp., 2.10%, 2/25/36 | $140,000 | 105,257 | |||
U.S. Treasury Bond | |||||
1.13%, 5/15/40 | 465,000 | 308,789 | |||
1.13%, 8/15/40 | 1,175,000 | 775,317 | |||
1.75%, 8/15/41 | 1,680,000 | 1,214,259 | |||
2.50%, 5/15/46†† | 915,000 | 724,351 | |||
2.25%, 8/15/46 | 795,000 | 598,082 | |||
2.75%, 8/15/47 | 150,000 | 124,266 | |||
2.75%, 11/15/47 | 319,000 | 264,459 | |||
3.13%, 5/15/48 | 100,000 | 88,945 | |||
3.00%, 8/15/48 | 330,000 | 287,113 | |||
2.88%, 5/15/49 | 100,000 | 85,242 | |||
1.25%, 5/15/50 | 1,020,000 | 590,126 | |||
2.38%, 5/15/51 | 275,000 | 210,214 | |||
1.88%, 11/15/51 | 405,000 | 274,498 | |||
U.S. Treasury Inflation Indexed Note, 0.63%, 1/15/26 | 610,649 | 597,100 | |||
U.S. Treasury Note | |||||
0.38%, 12/31/25 | 900,000 | 819,703 | |||
1.88%, 2/28/27 | 1,580,000 | 1,472,918 | |||
2.75%, 4/30/27 | 2,200,000 | 2,118,274 | |||
3.25%, 6/30/27 | 1,800,000 | 1,767,234 | |||
3.13%, 8/31/27 | 1,900,000 | 1,856,731 | |||
1.88%, 2/15/32 | 1,785,000 | 1,565,361 | |||
2.88%, 5/15/32 | 845,000 | 803,410 | |||
Total U.S. Treasury Securities and Agency Bonds | |||||
(Cost - $17,856,387) | 16,651,649 | ||||
Corporate Bonds and Notes - 6.6% | |||||
Aerospace & Defense - 0.1% | |||||
Boeing Co. (The) | |||||
5.15%, 5/1/30 | 150,000 | 150,981 | |||
3.65%, 3/1/47 | 100,000 | 72,435 | |||
223,416 | |||||
Agriculture - 0.1% | |||||
Altria Group, Inc., 3.40%, 5/6/30 | $100,000 | 88,899 |
Shares/ Principal | Fair Value | ||||
Agriculture (continued) | |||||
Imperial Brands Finance PLC, 4.25%, 7/21/25(a) | $200,000 | $193,467 | |||
282,366 | |||||
Airlines - 0.1% | |||||
Delta Air Lines, Inc. / SkyMiles IP Ltd., 4.50%, 10/20/25(a) | 276,000 | 271,281 | |||
United Airlines 2020-1 Class B Pass-Through Trust, 4.88%, 1/15/26 | 36,175 | 34,728 | |||
306,009 | |||||
Banks - 2.1% | |||||
Banco de Chile, 2.99%, 12/9/31(a) | 200,000 | 164,000 | |||
Banco Santander SA, 2.75%, 12/3/30 | 200,000 | 155,912 | |||
Bank of America Corp. | |||||
3.86%, (3 Month US Libor + 0.94%), 7/23/24(b) | 200,000 | 198,836 | |||
3.50%, 4/19/26 | 500,000 | 480,386 | |||
2.59%, (SOFR + 2.15%), 4/29/31(b) | 100,000 | 84,593 | |||
BNP Paribas SA, 2.82%, (3 Month US Libor + 1.11%), 11/19/25(a),(b) | 200,000 | 189,983 | |||
BPCE SA, 2.05%, (SOFR + 1.09%), 10/19/27(a),(b) | 250,000 | 218,330 | |||
Citigroup, Inc. | |||||
4.04%, (3 Month US Libor + 1.02%), 6/1/24(b) | 200,000 | 199,312 | |||
2.57%, (SOFR + 2.11%), 6/3/31(b) | 100,000 | 84,321 | |||
3.06%, (SOFR + 1.35%), 1/25/33(b) | 200,000 | 168,915 | |||
Deutsche Bank AG/New York NY, 5.37%, 9/9/27 | 150,000 | 146,844 | |||
Goldman Sachs Group, Inc. (The) | |||||
1.95%, (SOFR + 0.91%), 10/21/27(b) | 50,000 | 44,565 | |||
1.99%, (SOFR + 1.09%), 1/27/32(b) | 300,000 | 238,985 | |||
2.38%, (SOFR + 1.25%), 7/21/32(b) | 200,000 | 162,123 | |||
HSBC Holdings PLC | |||||
0.98%, (SOFR + 0.71%), 5/24/25(b) | 200,000 | 188,174 | |||
1.59%, (SOFR + 1.29%), 5/24/27(b) | 200,000 | 176,121 | |||
JPMorgan Chase & Co., 4.49%, (3 Month Term SOFR + 3.79%), 3/24/31(b) | 400,000 | 388,392 | |||
Mitsubishi UFJ Financial Group, Inc., 5.06%, (US 1 Year CMT T-Note + 1.55%), 9/12/25(b) | 200,000 | 198,551 | |||
Morgan Stanley, 2.24%, (SOFR + 1.18%), 7/21/32(b) | 500,000 | 400,959 | |||
Nordea Bank Abp, 4.75%, 9/22/25(a) | 200,000 | 198,898 | |||
Societe Generale SA, 1.79%, (US 1 Year CMT T-Note + 1.00%), 6/9/27(a),(b) | 200,000 | 173,257 | |||
US Bancorp, 5.73%, (SOFR + 1.43%), 10/21/26(b) | 100,000 | 100,363 |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
March 31, 2023
Shares/ Principal | Fair Value | ||||
Banks (continued) | |||||
Wells Fargo & Co., 4.54%, (SOFR + 1.56%), 8/15/26(b) | $100,000 | $98,096 | |||
4,459,916 | |||||
Beverages - 0.1% | |||||
Anheuser-Busch Cos., LLC / Anheuser-Busch InBev Worldwide, Inc., 4.70%, 2/1/36 | 100,000 | 99,476 | |||
Biotechnology - 0.2% | |||||
Amgen, Inc., 5.25%, 3/2/33 | 100,000 | 102,669 | |||
Biogen, Inc., 2.25%, 5/1/30 | 100,000 | 84,146 | |||
Royalty Pharma PLC, 2.15%, 9/2/31 | 300,000 | 236,994 | |||
423,809 | |||||
Computers - 0.0%† | |||||
Apple, Inc., 2.65%, 5/11/50 | 100,000 | 70,198 | |||
Cosmetics & Personal Care - 0.1% | |||||
Kenvue, Inc., 5.05%, 3/22/28(a) | 150,000 | 154,829 | |||
Diversified Finanancial Services - 0.1% | |||||
AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 3.40%, 10/29/33 | 150,000 | 121,707 | |||
Electric - 0.9% | |||||
Colbun SA, 3.15%, 3/6/30(a) | 200,000 | 169,961 | |||
Comision Federal de Electricidad, 3.35%, 2/9/31(a) | 200,000 | 158,205 | |||
Dominion Energy, Inc., 3.38%, 4/1/30 | 100,000 | 90,503 | |||
Duke Energy Carolinas LLC, 6.10%, 6/1/37 | 100,000 | 108,458 | |||
Duke Energy Corp., 3.75%, 9/1/46 | 100,000 | 77,395 | |||
Duke Energy Ohio, Inc., 5.25%, 4/1/33 | 50,000 | 51,409 | |||
EDP Finance BV, 1.71%, 1/24/28(a) | 200,000 | 169,711 | |||
Enel Finance International NV, 3.50%, 4/6/28(a) | 200,000 | 183,493 | |||
Exelon Corp., 4.05%, 4/15/30 | 200,000 | 189,907 | |||
Korea Electric Power Corp., 5.38%, 4/6/26(a) | 200,000 | 202,571 | |||
NextEra Energy Capital Holdings, Inc., 6.05%, 3/1/25 | 50,000 | 50,839 | |||
PacifiCorp, 6.10%, 8/1/36 | 100,000 | 108,036 | |||
Southern Co. (The), 3.70%, 4/30/30 | 50,000 | 46,557 | |||
Talen Energy Supply LLC, 7.25%, 5/15/27(a) | 100,000 | 102,500 | |||
Vistra Operations Co. LLC, 4.30%, 7/15/29(a) | 300,000 | 266,977 | |||
1,976,522 | |||||
Food - 0.2% | |||||
General Mills, Inc., 5.24%, 11/18/25 | 50,000 | 50,142 | |||
JBS USA LUX SA / JBS USA Food Co. / JBS USA Finance, Inc. | |||||
2.50%, 1/15/27(a) | 200,000 | 177,600 |
Shares/ Principal | Fair Value | ||||
Food (continued) | |||||
3.63%, 1/15/32(a) | $200,000 | $165,794 | |||
393,536 | |||||
Healthcare-Products - 0.2% | |||||
GE HealthCare Technologies, Inc., 5.60%, 11/15/25(a) | 100,000 | 101,144 | |||
PerkinElmer, Inc., 2.25%, 9/15/31 | 200,000 | 160,201 | |||
STERIS Irish FinCo UnLtd Co., 2.70%, 3/15/31 | 100,000 | 83,646 | |||
344,991 | |||||
Healthcare-Services - 0.3% | |||||
Centene Corp., 3.00%, 10/15/30 | 100,000 | 84,167 | |||
DaVita, Inc., 4.63%, 6/1/30(a) | 100,000 | 85,359 | |||
Elevance Health, Inc., 4.65%, 1/15/43 | 100,000 | 93,320 | |||
Kaiser Foundation Hospitals, 3.27%, 11/1/49 | 140,000 | 104,062 | |||
Quest Diagnostics, Inc., 2.80%, 6/30/31 | 245,000 | 214,083 | |||
580,991 | |||||
Insurance - 0.3% | |||||
AIA Group Ltd., 4.95%, 4/4/33(a) | 200,000 | 201,139 | |||
Arch Capital Group Ltd., 3.64%, 6/30/50 | 200,000 | 148,734 | |||
Arthur J Gallagher & Co., 3.05%, 3/9/52 | 200,000 | 129,290 | |||
Metropolitan Life Global Funding I, 4.30%, 8/25/29(a) | 150,000 | 145,596 | |||
624,759 | |||||
Lodging - 0.1% | |||||
Las Vegas Sands Corp., 3.90%, 8/8/29 | 100,000 | 89,801 | |||
Studio City Finance Ltd., 5.00%, 1/15/29(a) | 200,000 | 153,514 | |||
243,315 | |||||
Media - 0.2% | |||||
Charter Communications Operating LLC / Charter Communications Operating Capital, 2.80%, 4/1/31 | 200,000 | 160,840 | |||
Fox Corp., 3.50%, 4/8/30 | 200,000 | 182,789 | |||
Time Warner Cable LLC, 6.75%, 6/15/39 | 100,000 | 98,378 | |||
442,007 | |||||
Miscellaneous Manufacturing - 0.1% | |||||
Eaton Corp., 4.15%, 3/15/33 | 100,000 | 96,459 | |||
Multi-National - 0.2% | |||||
African Export-Import Bank (The), 3.99%, 9/21/29(a) | 200,000 | 168,128 | |||
Banque Ouest Africaine de Developpement, 5.00%, 7/27/27(a) | 200,000 | 184,260 | |||
352,388 | |||||
Oil & Gas - 0.2% | |||||
Aker BP ASA, 4.00%, 1/15/31(a) | 200,000 | 181,499 |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
March 31, 2023
Shares/ Principal | Fair Value | ||||
Oil & Gas (continued) | |||||
Harvest Operations Corp., 4.20%, 6/1/23(a) | $100,000 | $99,892 | |||
Petroleos Mexicanos, 6.63%, 6/15/35 | 80,000 | 58,353 | |||
Phillips 66, 2.15%, 12/15/30 | 100,000 | 82,460 | |||
422,204 | |||||
Oil & Gas Services - 0.0%† | |||||
Baker Hughes Holdings LLC / Baker Hughes Co-Obligor, Inc., 4.49%, 5/1/30 | 50,000 | 48,879 | |||
Packaging & Containers - 0.0%† | |||||
Amcor Flexibles North America, Inc., 2.63%, 6/19/30 | 50,000 | 41,913 | |||
Pharmaceuticals - 0.1% | |||||
Bayer US Finance II LLC, 4.38%, 12/15/28(a) | 100,000 | 96,603 | |||
CVS Health Corp., 4.78%, 3/25/38 | 100,000 | 95,229 | |||
Teva Pharmaceutical Finance Netherlands III BV, 5.13%, 5/9/29 | 100,000 | 90,540 | |||
282,372 | |||||
Pipelines - 0.3% | |||||
Crestwood Midstream Partners LP / Crestwood Midstream Finance Corp., 6.00%, 2/1/29(a) | 100,000 | 95,199 | |||
Energy Transfer LP | |||||
4.75%, 1/15/26 | 100,000 | 98,683 | |||
4.95%, 5/15/28 | 100,000 | 98,484 | |||
Enterprise Products Operating LLC, 3.13%, 7/31/29 | 100,000 | 91,287 | |||
Sabine Pass Liquefaction LLC, 5.00%, 3/15/27 | 200,000 | 198,873 | |||
TransCanada PipeLines Ltd., 4.25%, 5/15/28 | 100,000 | 96,924 | |||
Williams Cos., Inc. (The), 3.50%, 11/15/30 | 50,000 | 45,259 | |||
724,709 | |||||
REITS - 0.3% | |||||
Healthcare Realty Holdings LP, 2.00%, 3/15/31 | 300,000 | 234,239 | |||
MPT Operating Partnership LP / MPT Finance Corp., 3.50%, 3/15/31 | 100,000 | 66,599 | |||
National Retail Properties, Inc., 4.30%, 10/15/28 | 200,000 | 188,230 | |||
Simon Property Group LP, 3.25%, 9/13/49 | 200,000 | 135,625 | |||
624,693 | |||||
Retail - 0.1% | |||||
Target Corp., 2.95%, 1/15/52 | 200,000 | 143,987 | |||
Software - 0.1% | |||||
Fiserv, Inc., 2.65%, 6/1/30 | 150,000 | 128,979 |
Shares/ Principal | Fair Value | |||||
Telecommunications - 0.1% | ||||||
T-Mobile USA, Inc. | ||||||
3.88%, 4/15/30 | $200,000 | $187,553 | ||||
3.30%, 2/15/51 | 100,000 | 70,717 | ||||
258,270 | ||||||
Transportation - 0.0%† | ||||||
CSX Corp., 4.10%, 3/15/44 | 100,000 | 86,728 | ||||
Total Corporate Bonds and Notes | ||||||
(Cost - $15,416,960) | 13,959,428 | |||||
Agency Mortgage Backed Securities - 5.3% | ||||||
Federal Home Loan Mortgage Corporation - 1.5% | ||||||
Freddie Mac Pool | ||||||
2.50%, 10/1/51 | 574,349 | 495,446 | ||||
2.00%, 3/1/52 | 687,872 | 567,991 | ||||
2.00%, 4/1/52 | 1,526,163 | 1,260,147 | ||||
2.50%, 5/1/52 | 957,333 | 824,502 | ||||
3,148,086 | ||||||
Federal National Mortgage Association - 3.8% | ||||||
Fannie Mae or Freddie Mac | ||||||
5.00%, 4/1/53(c) | 1,124,000 | 1,120,312 | ||||
5.50%, 4/1/53(c) | 2,235,000 | 2,256,651 | ||||
Fannie Mae Pool, 3.00%, 11/1/48 | 239,768 | 218,508 | ||||
Freddie Mac Pool | ||||||
2.00%, 1/1/52 | 615,204 | 507,989 | ||||
4.00%, 8/1/52 | 768,701 | 734,341 | ||||
4.50%, 8/1/52 | 2,725,212 | 2,669,094 | ||||
Ginnie Mae II Pool | ||||||
2.00%, 7/20/52 | 313,003 | 265,995 | ||||
2.50%, 7/20/52 | 307,438 | 270,260 | ||||
8,043,150 | ||||||
Total Agency Mortgage Backed Securities | ||||||
(Cost - $11,361,249) | 11,191,236 | |||||
Asset Backed and Commercial Backed Securities - 3.7% | ||||||
Adagio CLO VIII DAC, 3.94%, (3 Month EUR Libor + 1.65%), 4/15/32 (a),(b) | EUR | 250,000 | 255,442 | |||
Antares CLO 2018-1 Ltd., 6.46%, (3 Month US Libor + 1.65%), 4/20/31 (a),(b) | 250,000 | 237,390 | ||||
BlueMountain Fuji Eur CLO V DAC, 3.84%, (3 Month EUR Libor + 1.55%), 1/15/33 (a),(b) | EUR | 250,000 | 254,177 | |||
BRAVO Residential Funding Trust 2019-1, 3.50%, 3/25/58 (a) | 14,990 | 14,698 | ||||
BRAVO Residential Funding Trust 2019-NQM2, 3.50%, 10/25/44 (a),(d) | 58,872 | 55,516 |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
March 31, 2023
Shares/ Principal | Fair Value | ||||
Asset Backed and Commercial Backed Securities (continued) | |||||
BX 2021-LBA3 Mortgage Trust, 5.58%, (1 Month US Libor + 0.90%), 10/15/36 (a),(b) | $130,000 | $122,644 | |||
BX Commercial Mortgage Trust 2021-VOLT, 5.63%, (1 Month US Libor + 0.95%), 9/15/36 (a),(b) | 130,000 | 123,356 | |||
BX Trust 2022-IND, 6.32%, (1 Month Term SOFR + 1.49%), 4/15/37 (a),(b) | 205,389 | 200,133 | |||
Carlyle GMS Finance MM CLO 2015-1 LLC, 6.99%, (3 Month US Libor + 2.20%), 10/15/31 (a),(b) | 250,000 | 233,694 | |||
CIFC Funding 2022-II Ltd., 5.95%, (3 Month Term SOFR + 1.32%), 4/19/35 (a),(b) | 310,000 | 304,584 | |||
CIM Trust 2018-INV1, 4.00%, 8/25/48 (a),(d) | 19,835 | 19,088 | |||
CIM Trust 2019-INV1, 4.00%, 2/25/49 (a),(d) | 13,248 | 12,845 | |||
COLT 2022-4 Mortgage Loan Trust, 4.30%, 3/25/67 (a),(d) | 91,132 | 90,454 | |||
Dryden 97 CLO Ltd., 5.94%, (3 Month Term SOFR + 1.30%), 4/20/35 (a),(b) | 250,000 | 242,965 | |||
Eleven Madison Trust 2015-11MD Mortgage Trust, 3.55%, 9/10/35 (a),(d) | 250,000 | 231,446 | |||
Ellington CLO III Ltd., 6.46%, (3 Month US Libor + 1.65%), 7/20/30 (a),(b) | 231,619 | 230,200 | |||
Fannie Mae Connecticut Avenue Securities | |||||
10.10%, (1 Month US Libor + 5.25%), 10/25/23(b) | 46,681 | 47,647 | |||
9.25%, (1 Month US Libor + 4.40%), 1/25/24(b) | 75,273 | 76,574 | |||
7.45%, (1 Month US Libor + 2.60%), 5/25/24(b) | 59,889 | 60,562 | |||
7.75%, (1 Month US Libor + 2.90%), 7/25/24(b) | 40,184 | 40,759 | |||
9.75%, (1 Month US Libor + 4.90%), 11/25/24(b) | 89,059 | 92,476 | |||
10.15%, (1 Month US Libor + 5.30%), 10/25/28(b) | 164,473 | 173,759 | |||
FirstKey Homes 2020-SFR2 Trust, 1.27%, 10/19/37 (a) | 148,123 | 134,024 | |||
Freddie Mac STACR REMIC Trust 2022-DNA3, 6.56%, (SOFR + 2.00%), 4/25/42 (a),(b) | 87,679 | 87,293 |
Shares/ Principal | Fair Value | |||||
Asset Backed and Commercial Backed Securities (continued) | ||||||
Freddie Mac Structured Agency Credit Risk Debt Notes | ||||||
9.55%, (1 Month US Libor + 4.70%), 4/25/28(b) | $90,997 | $95,264 | ||||
10.00%, (1 Month US Libor + 5.15%), 11/25/28(b) | 100,131 | 106,056 | ||||
Holland Park CLO DAC, 3.54%, (3 Month EUR Libor + 0.92%), 11/14/32 (a),(b) | EUR | 500,000 | 524,317 | |||
Home Partners of America 2021-3 Trust, 2.65%, 1/17/41 (a) | 74,414 | 64,765 | ||||
Home Partners of America Trust 2021-2, 2.30%, 12/17/26 (a) | 203,332 | 182,428 | ||||
JP Morgan Mortgage Trust, 2.50%, 6/25/52 (a),(d) | 103,521 | 90,306 | ||||
JP Morgan Mortgage Trust 2021-13, 2.50%, 4/25/52 (a),(d) | 214,614 | 187,217 | ||||
JP Morgan Mortgage Trust 2021-14, 2.50%, 5/25/52 (a),(d) | 161,540 | 140,918 | ||||
Madison Park Euro Funding VIII DAC, 3.11%, (3 Month EUR Libor + 0.82%), 4/15/32 (a),(b) | 600,000 | 631,545 | ||||
Mill City Mortgage Loan Trust 2018-4, 3.49%, 4/25/66 (a),(d) | 90,584 | 86,276 | ||||
Neuberger Berman Loan Advisers CLO 27 Ltd., 5.89%, (3 Month US Libor + 1.10%), 1/15/30 (a),(b) | 649,000 | 639,420 | ||||
New Economy Assets Phase 1 Sponsor LLC, 1.91%, 10/20/61 (a) | 260,000 | 224,004 | ||||
OBX 2021-J3 Trust, 2.50%, 10/25/51 (a),(d) | 81,522 | 71,115 | ||||
Octagon Investment Partners 35 Ltd., 5.91%, (3 Month US Libor + 1.10%), 1/20/31 (a),(b) | 500,000 | 487,550 | ||||
Provident Funding Mortgage Trust 2019-1, 3.00%, 12/25/49 (a),(d) | 24,238 | 19,606 | ||||
Provident Funding Mortgage Trust 2021-J1, 2.50%, 10/25/51 (a),(d) | 146,402 | 125,808 | ||||
PSMC 2021-3 Trust, 2.50%, 8/25/51 (a),(d) | 272,753 | 227,082 | ||||
Strata CLO I Ltd., 6.99%, (3 Month US Libor + 2.20%), 1/15/31 (a),(b) | 200,000 | 197,036 | ||||
TICP CLO VI Ltd., 5.91%, (3 Month US Libor + 1.12%), 1/15/34 (a),(b) | 300,000 | 293,589 | ||||
Towd Point Mortgage Trust 2017-1, 2.75%, 10/25/56 (a),(d) | 12,222 | 12,007 | ||||
Towd Point Mortgage Trust 2017-2, 2.75%, 4/25/57 (a),(d) | 16,071 | 15,809 |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
March 31, 2023
Shares/ Principal | Fair Value | ||||
Asset Backed and Commercial Backed Securities (continued) | |||||
Towd Point Mortgage Trust 2017-3, 2.75%, 7/25/57 (a),(d) | $20,783 | $20,159 | |||
Total Asset Backed and Commercial Backed Securities | |||||
(Cost - $8,255,882) | 7,784,003 | ||||
Mutual Funds - 0.7% | |||||
Debt Funds - 0.7% | |||||
Franklin Floating Rate Daily Access Fund (Cost - $1,495,000) | 198,803 | 1,491,024 | |||
Municipal Bonds - 0.6% | |||||
California Health Facilities Financing Authority, 2.93%, 6/1/32 | 45,000 | 38,889 | |||
City of Austin TX Electric Utility Revenue, 6.26%, 11/15/32 | 140,000 | 151,781 | |||
City of Salt Lake City UT Sales and Excise Tax Revenue, 3.10%, 4/1/38 | 40,000 | 32,612 | |||
Golden State Tobacco Securitization Corp., 3.85%, 6/1/50 | 305,000 | 275,393 | |||
Greenville City School District, 3.54%, 1/1/51 | 110,000 | 85,266 | |||
Massachusetts School Building Authority, 3.40%, 10/15/40 | 85,000 | 71,317 | |||
Regents of The University of California Medical Center Pooled Revenue, 4.56%, 5/15/53 | 100,000 | 91,693 | |||
San Bernardino Community College District | |||||
2.69%, 8/1/41 | 250,000 | 184,608 | |||
2.86%, 8/1/49 | 150,000 | 101,153 | |||
San Jose Redevelopment Agency Successor Agency, 3.23%, 8/1/27 | 90,000 | 85,740 | |||
Texas State University System, 2.94%, 3/15/33 | 35,000 | 30,805 | |||
Total Municipal Bonds | |||||
(Cost - $1,370,016) | 1,149,257 |
Sovereign Debts - 0.2% | |||||
Colombia Government International Bond, 5.00%, 6/15/45 | 200,000 | 139,424 | |||
Panama Government International Bond, 3.75%, 4/17/26 (a) | 70,000 | 66,097 | |||
Peruvian Government International Bond, 2.78%, 1/23/31 | 200,000 | 170,738 | |||
Romanian Government International Bond, 6.13%, 1/22/44 (a) | 130,000 | 124,054 | |||
Total Sovereign Debts | |||||
(Cost - $654,934) | 500,313 | ||||
Term Loans - 0.0%† | |||||
Cloudera, Inc., 10.91%, (1 Month US Libor + 6.10%), 10/8/29 (b) | 1,860 | 1,640 |
Shares/ Principal | Fair Value | ||||
Term Loans (continued) | |||||
CSC Holdings LLC, 9.33%, 1/17/28 | $35,895 | $33,338 | |||
Osmosis Buyer Ltd., 8.48%, 7/31/28 | 19 | 18 | |||
Total Term Loans | |||||
(Cost - $37,700) | 34,996 | ||||
Preferred Stocks - 0.0%† | |||||
Consumer Discretionary Services - 0.0%† | |||||
24 Hour Fitness Worldwide, Inc., 0.00% (Cost - $2,145)* | 1,589 | 8 | |||
Short-Term Investments - 5.7% | |||||
Money Market Funds - 5.7% | |||||
Dreyfus Government Cash Management, 4.71%(e) | 5,363,796 | 5,363,796 | |||
Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 4.72%(e) | 6,867,675 | 6,867,675 | |||
Total Short-Term Investments (Cost - $12,231,471) | 12,231,471 | ||||
Total Investments - 101.0% | |||||
(Cost - $136,026,465) | $214,934,671 | ||||
Other Assets Less Liabilities - Net (1.0)% | (2,035,826) | ||||
Total Net Assets - 100.0% | $212,898,845 |
* | Non-income producing security. |
† | Represents less than 0.05%. |
†† | A portion of this investment is held as collateral for derivative investments. |
(a) | 144A - Security was purchased pursuant to Rule 144a under the Securities Act of 1933 and may not be resold subject to that rule, except to qualified institutional buyers. As of March 31, 2023, these securities amounted to $11,954,247 or 5.6% of net assets. |
(b) | Variable rate security. The rate shown is the rate in effect at period end. |
(c) | When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions. |
(d) | Adjustable rate security with an interest rate that is not based on a published reference index and spread. The rate is based on the structure of the agreement and current market conditions. The coupon rate shown represents the rate at period end. |
(e) | The rate shown is the annualized seven-day yield at period end. |
CLO | - | Collateralized Loan Obligation |
CMT | - | Treasury Constant Maturity Rate |
EUR | - | EURO |
Libor | - | London Interbank Offer Rate |
PLC | - | Public Limited Company |
REMIC | - | Real Estate Mortgage Investment Conduit |
SOFR | - | Secured Overnight Financing Rate |
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
March 31, 2023
Futures Contracts
Counterparty | Number of Contracts | Expiration Date | Notional Value | Fair Value/Unrealized Appreciation (Depreciation) | ||||||
Long Futures Contracts | ||||||||||
U.S. 10 Year Note Future | J. P. Morgan Securities LLC | 4 | 6/21/2023 | $459,688 | $15,250 | |||||
U.S. 2 Year Note Future | J. P. Morgan Securities LLC | 19 | 6/30/2023 | 3,922,609 | 27,246 | |||||
U.S. 5 Year Note Future | J. P. Morgan Securities LLC | 2 | 6/30/2023 | 219,016 | (2,172) | |||||
40,324 | ||||||||||
Short Futures Contracts | ||||||||||
Fed Fund 30 Day Future | J. P. Morgan Securities LLC | 18 | 12/29/2023 | 7,169,824 | 9,678 | |||||
MSCI EAFE Future | Goldman Sachs & Co. | 31 | 6/16/2023 | 3,249,575 | (157,730) | |||||
S&P 500 E-Mini Future | Goldman Sachs & Co. | 96 | 6/16/2023 | 19,861,200 | (1,027,777) | |||||
S&P MID 400 E-Mini Future | Goldman Sachs & Co. | 8 | 6/16/2023 | 2,023,760 | (62,735) | |||||
(1,238,564) | ||||||||||
TOTAL NET UNREALIZED DEPRECIATION ON FUTURES CONTRACTS | $(1,198,240) |
Interest Rate Swaps
Counterparty | Payment Frequency | Fund Receives | Fund Pays | Expiration Date | Notional Amount | Fair Value | Premiums Paid (Received) | Unrealized Appreciation (Depreciation) | |||||||||
Citibank NA | At Maturity | SOFR | 1.924% | 08/12/27 | 500,000 | $36,347 | $41 | $36,306 | |||||||||
TOTAL FAIR VALUE, PREMIUMS PAID (RECEIVED) AND NET UNREALIZED APPRECIATION ON INTEREST RATE SWAPS | $36,347 | $41 | $36,306 |
† Unless otherwise indicated, notional amount is shown in USD.
Global Atlantic Franklin Dividend and Income Managed Risk Portfolio
Portfolio of Investments (Unaudited) (Continued)
March 31, 2023
Credit Default Swaps | ||||||||||||||||||||||
Counterparty | Reference Obligation/ Index | Payment Frequency | Buy/Sell Protection | Fixed Rate Received | Fixed Rate Paid | Credit Rating* | Expiration Date | Notional Amount** | Fair Value | Premiums Paid (Received) | Unrealized Appreciation(Depreciation) | |||||||||||
Citibank NA | MCDX.NA.31 | Quarterly | Buy | 1.00% | – | NR | 12/20/23 | $1,050,000 | $4,226 | $1,533 | $2,693 | |||||||||||
Citibank NA | Carnival Corp. | Quarterly | Buy | 1.00% | – | B- | 06/20/27 | $200,000 | $(53,618) | $(30,598) | $(23,020) | |||||||||||
Citibank NA | CDX.EM.38 | Quarterly | Sell | – | 1.00% | NR | 12/20/27 | 285,000 | 14,079 | 21,491 | (7,412) | |||||||||||
Citibank NA | CDX.NA.IG.40 | Quarterly | Buy | – | 1.00% | NR | 06/20/28 | 400,000 | 4,512 | 3,608 | 904 | |||||||||||
Citibank NA | CDX.NA.HY.40 | Quarterly | Sell | – | 5.00% | NR | 06/20/28 | 1,015,000 | (16,817) | 121 | (16,938) | |||||||||||
Citibank NA | CDX.NA.HY.40 | Quarterly | Sell | – | 5.00% | NR | 06/20/28 | 450,000 | (7,508) | (6,330) | (1,178) | |||||||||||
TOTAL FAIR VALUE PREMIUM PAID (RECEIVED) AND NET UNREALIZED DEPRECIATION ON CREDIT DEFAULT SWAPS | $(55,126) | $(10,175) | $(44,951) |
* | Credit ratings for the underlying securities in the index are assigned based on the higher ratings of either Moody's or S&P. If both are unrated, then Fitch is used. If all three agencies are unrated, a credit rating is assigned using an internal credit analyst rating. |
** | The maximum potential amount the Portfolio may pay should a negative credit event take place as defined under the terms of the agreement. |
NR | - | Not Rated |
Forward Foreign Currency Contracts | ||||||||||||
Settlement Date | Counterparty | Currency Units to Receive | In Exchange For | Unrealized Appreciation (Depreciation) | ||||||||
04/11/23 | JP Morgan Chase Bank | 17,000,000 | JPY | 129,247 | USD | $(1,299) | ||||||
04/11/23 | JP Morgan Chase Bank | 53,004 | USD | 50,000 | EUR | (1,352) | ||||||
05/30/23 | JP Morgan Chase Bank | 1,746,496 | USD | 1,638,118 | EUR | (39,513) | ||||||
TOTAL NET UNREALIZED DEPRECIATION ON FORWARD FOREIGN CURRENCY CONTRACTS | $(42,164) |
EUR | - | Euro |
JPY | - | Japanese Yen |
USD | - | United States Dollar |