Long-Term U.S. Government Bond Portfolio
SCHEDULE OF INVESTMENTS
September 30, 2022 (unaudited)
Corporate Bonds (0.5%) | Shares/ Par + | Value $ (000’s) | ||||||
Consumer, Cyclical (0.1%) | ||||||||
United Airlines Pass-Through Trust, Series 2016-2, Class AA | ||||||||
2.875%, 4/7/30 | 152,424 | 132 | ||||||
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Total | 132 | |||||||
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Industrial (0.4%) | ||||||||
Vessel Management Services, Inc. | ||||||||
3.432%, 8/15/36 | 389,000 | 350 | ||||||
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Total | 350 | |||||||
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Total Corporate Bonds (Cost: $542) | 482 | |||||||
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Governments (101.1%) | ||||||||
Governments (101.1%) | ||||||||
Federal National Mortgage Association | ||||||||
5.625%, 4/17/28 | 100,000 | 106 | ||||||
Resolution Funding Corp. Stripped | ||||||||
0.000%, 4/15/30 PO | 4,800,000 | 3,473 | ||||||
0.000%, 4/15/28 IO | 400,000 | 314 | ||||||
Tennessee Valley Authority Stripped | ||||||||
0.000%, 5/1/30 PO | 500,000 | 359 | ||||||
US Treasury | ||||||||
1.125%, 5/15/40 | 6,790,000 | 4,243 | ||||||
1.125%, 8/15/40 | 65,580,000 | 40,624 | ||||||
1.375%, 11/15/40 | 11,200,000 | 7,240 | ||||||
1.375%, 8/15/50 | 3,300,000 | 1,911 | ||||||
1.625%, 11/15/50 | 400,000 | 248 | ||||||
1.750%, 8/15/41 | 2,000,000 | 1,367 | ||||||
1.875%, 2/15/41 | 1,900,000 | 1,346 | ||||||
1.875%, 11/15/51 | 24,860,000 | 16,440 | ||||||
2.000%, 11/15/41 | 2,400,000 | 1,718 | ||||||
2.000%, 2/15/50 | 12,920,000 | 8,876 | ||||||
2.000%, 8/15/51 | 4,300,000 | 2,937 | ||||||
2.250%, 2/15/52 | 500,000 | 363 | ||||||
2.375%, 2/15/42 | 700,000 | 536 | ||||||
2.375%, 5/15/51 | 2,300,000 | 1,721 | ||||||
2.500%, 2/15/46 b | 940,000 | 714 | ||||||
2.875%, 5/15/49 | 1,350,000 | 1,125 | ||||||
3.000%, 11/15/45 | 370,000 | 309 | ||||||
3.000%, 2/15/48 | 330,000 | 278 | ||||||
3.000%, 8/15/48 b | 700,000 | 592 | ||||||
3.125%, 5/15/48 | 2,430,000 | 2,101 | ||||||
3.375%, 8/15/42 | 600,000 | 544 | ||||||
US Treasury Stripped | ||||||||
0.000%, 8/15/34 IO | 850,000 | 530 | ||||||
0.000%, 11/15/43 PO | 700,000 | 296 | ||||||
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Total | 100,311 | |||||||
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Total Governments (Cost: $147,844) | 100,311 | |||||||
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Structured Products (18.3%) | Shares/ Par + | Value $ (000’s) | ||||||
Asset Backed Securities (0.4%) | ||||||||
ECMC Group Student Loan Trust, Series 2018-1A, Class A | ||||||||
3.834%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A | 56,084 | 55 | ||||||
Hertz Vehicle Financing LLC, Series 2022-2A, Class A | ||||||||
2.330%, 6/26/28 144A | 300,000 | 262 | ||||||
Massachusetts Educational Financing Authority, Series 2008-1, Class A1 | ||||||||
3.733%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38 | 24,698 | 24 | ||||||
Towd Point Mortgage Trust, Series 2019-4, Class A1 | ||||||||
2.900%, (AFC), 10/25/59 144A | 95,121 | 90 | ||||||
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Total | 431 | |||||||
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Mortgage Securities (17.9%) | ||||||||
BWAY Mortgage Trust, Series 2013-1515, Class A2 | ||||||||
3.454%, 3/10/33 144A | 300,000 | 282 | ||||||
CityLine Commercial Mortgage Trust, | ||||||||
2.778%, (CSTR), 11/10/31 144A | 600,000 | 578 | ||||||
COMM Mortgage Trust, Series 2018-HOME, Class A | ||||||||
3.815%, (CSTR, AFC), 4/10/33 144A | 200,000 | 183 | ||||||
COMM Mortgage Trust, Series 2016-667M, Class A | ||||||||
3.140%, 10/10/36 144A | 700,000 | 613 | ||||||
Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3 | ||||||||
2.599%, (CSTR), 7/25/33 | 275 | –π | ||||||
DBWF Mortgage Trust, Series 2016-85T, Class A | ||||||||
3.791%, 12/10/36 144A | 800,000 | 727 | ||||||
Extended Stay America Trust, Series 2021- ESH, Class A | ||||||||
3.898%, (ICE LIBOR USD 1 Month plus 1.080%), 7/15/38 144A | 397,553 | 385 | ||||||
Federal Home Loan Mortgage Corp., Series 2752, Class EZ | ||||||||
5.500%, 2/15/34 | 122,649 | 124 | ||||||
Federal Home Loan Mortgage Corp., Series 3759, Class FB | ||||||||
3.318%, (ICE LIBOR USD 1 Month plus 0.500%), 11/15/40 | 22,634 | 23 | ||||||
Federal Home Loan Mortgage Corp., Series 4092, Class AY | ||||||||
3.000%, 8/15/32 | 2,200,000 | 2,031 | ||||||
Federal Home Loan Mortgage Corp., Series 4387, Class AZ | ||||||||
4.000%, 9/15/44 | 2,491,253 | 2,382 | ||||||
Federal Home Loan Mortgage Corp., Series 4398, Class ZX | ||||||||
4.000%, 9/15/54 | 823,093 | 755 |
Long-Term U.S. Government Bond Portfolio
Structured Products (18.3%) | Shares/ Par + | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Federal Home Loan Mortgage Corp., Series 4830, Class ZG | ||||||||
3.000%, 4/15/53 | 621,775 | 507 | ||||||
Federal Home Loan Mortgage Corp., Series T-61, Class 1A1 | ||||||||
2.504%, (Federal Reserve US | 4,605 | 5 | ||||||
Federal National Mortgage Association | ||||||||
3.600%, 2/1/40 | 566,697 | 529 | ||||||
5.000%, 6/1/35 | 23,547 | 24 | ||||||
5.000%, 2/1/36 | 36,140 | 36 | ||||||
5.500%, 5/1/49 | 30,064 | 30 | ||||||
Federal National Mortgage Association, Series 2007-39, Class NZ | ||||||||
4.250%, 5/25/37 | 72,104 | 71 | ||||||
Federal National Mortgage Association, Series 2012-101, Class FC | ||||||||
3.584%, (ICE LIBOR USD 1 Month plus 0.500%), 9/25/42 | 27,617 | 27 | ||||||
Federal National Mortgage Association, Series 2016-61, Class ML | ||||||||
3.000%, 9/25/46 | 900,000 | 763 | ||||||
Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2 | ||||||||
4.318%, (CSTR), 10/25/52 144A | 563,938 | 506 | ||||||
Government National Mortgage Association, Series 2010-26, Class OW | ||||||||
02/20/40 PO | 317,195 | 258 | ||||||
Government National Mortgage Association, Series 2010-75, Class OA | ||||||||
09/20/35 PO | 205,269 | 169 | ||||||
GS Mortgage Securities Trust, Series 2015-590M, Class B | ||||||||
3.805%, (CSTR), 10/10/35 144A | 300,000 | 273 | ||||||
Hilton USA Trust, Series 2016-HHV, Class A | ||||||||
3.719%, 11/5/38 144A | 600,000 | 544 | ||||||
Hilton USA Trust, Series 2016-HHV, Class C | ||||||||
4.194%, (CSTR), 11/5/38 144A | 400,000 | 354 | ||||||
LUXE Trust, Series 2021-MLBH, Class A | ||||||||
3.798%, (ICE LIBOR USD 1 Month plus 0.980%), 11/15/26 144A | 100,000 | 96 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A | ||||||||
2.969%, (CSTR, AFC), 5/25/33 | 606 | 1 | ||||||
Morgan Stanley Capital I Trust, Series 2021-230P, Class A | ||||||||
3.987%, (ICE LIBOR USD 1 Month plus 1.169%), 12/15/23 144A | 200,000 | 194 | ||||||
MSSG Trust, Series 2017-237P, Class A | ||||||||
3.397%, 9/13/39 144A | 700,000 | 606 | ||||||
New Residential Mortgage Loan Trust, Series 2020-RPL1, Class A1 | ||||||||
2.750%, (AFC), 11/25/59 144A | 107,978 | 98 | ||||||
Ready Capital Mortgage Financing LLC, Series 2022-FL8, Class A | ||||||||
3.955%, (US 30 Day Average SOFR plus 1.650%), 1/25/37 144A | 200,000 | 197 |
Structured Products (18.3%) | Shares/ Par + | Value $ (000’s) | ||||||
Mortgage Securities continued | ||||||||
Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1 | ||||||||
3.653%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34 | 1,883 | 2 | ||||||
Towd Point Mortgage Trust, Series 2020-1, Class A2A | ||||||||
3.100%, (AFC), 1/25/60 144A | 200,000 | 175 | ||||||
Uniform Mortgage Backed Security TBA | ||||||||
4.000%, 11/14/52 | 2,200,000 | 2,039 | ||||||
4.500%, 11/14/52 | 1,400,000 | 1,332 | ||||||
VNDO Trust, Series 2016-350P, Class A | ||||||||
3.805%, 1/10/35 144A | 800,000 | 722 | ||||||
Worldwide Plaza Trust, Series 2017-WWP, Class A | ||||||||
3.526%, 11/10/36 144A | 100,000 | 86 | ||||||
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Total | 17,727 | |||||||
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Total Structured Products (Cost: $19,873) |
| 18,158 | ||||||
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Short-Term Investments (0.5%) | ||||||||
Money Market Funds (0.5%) | ||||||||
State Street Institutional U.S. Government Money Market Fund - Premier Class | 510,448 | 510 | ||||||
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Total | 510 | |||||||
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Total Short-Term Investments (Cost: $510) |
| 510 | ||||||
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Total Investments (120.4%) |
| 119,461 | ||||||
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Other Assets, Less Liabilities (-20.4%) | (20,204) | |||||||
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Net Assets (100.0%) | 99,257 | |||||||
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Long-Term U.S. Government Bond Portfolio
Securities Sold Short
Description | Coupon | Maturity Date | Principal Amount (000’s) | Proceeds (000’s) | Value (000’s) | |||||||||||||||
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Uniform Mortgage Backed Security TBA | 2.000% | 11/14/52 | $ (5,300) | $ (4,329) | $ (4,290) | |||||||||||||||
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$ (5,300) | $ (4,329) | $ (4,290) | ||||||||||||||||||
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Exchange Traded or Centrally Cleared Derivatives
Futures
Issuer | Long/ Short | Currency | Notional Par (000’s) | Number of Contracts | Expiration Date | Notional Value (000’s) | Unrealized Appreciation/ (Depreciation) (000’s) | Variation Margin (000’s) | ||||||||||||||||||||
Five-Year US Treasury Note Future | Short | USD | 900 | 9 | 12/22 | $ | 968 | $ | 35 | $ 2 | ||||||||||||||||||
Ten-Year US Treasury Note Future | Long | USD | 3,800 | 38 | 12/22 | 4,259 | (137 | ) | (15) | |||||||||||||||||||
Two-Year US Treasury Note Future | Long | USD | 10,200 | 51 | 12/22 | 10,475 | (116 | ) | (8) | |||||||||||||||||||
Ultra Long Term US Treasury Bond Future | Long | USD | 3,700 | 37 | 12/22 | 5,069 | (451 | ) | (60) | |||||||||||||||||||
Ultra Ten-Year US Treasury Note Future | Short | USD | 8,500 | 85 | 12/22 | 10,071 | 590 | 43 | ||||||||||||||||||||
US Treasury Long Bond Future | Short | USD | 8,900 | 89 | 12/22 | 11,250 | 858 | 59 | ||||||||||||||||||||
$ | 779 | $ 21 |
Centrally Cleared Interest Rate Swaps - Receive Floating Rate
Floating Rate Index | Fixed Rate | Expiration Date | Notional Amount (000's) | Currency | Upfront Premium Paid/ (Received) (000's) | Unrealized Appreciation/ (Depreciation) (000's) | Market Value (000's) | Variation Margin(000's) | ||||||||||||||||||||||||
1-Day USD-SOFR Compounded-OIS | 1.750 | % | 10/53 | 2,200 | USD | $ | (37) | $ | 531 | $ | 494 | $ | 22 | |||||||||||||||||||
3-Month USD-LIBOR | 0.750 | % | 3/31 | 1,000 | USD | 8 | 218 | 226 | 2 | |||||||||||||||||||||||
3-Month USD-LIBOR | 1.250 | % | 6/41 | 6,010 | USD | 127 | 1,862 | 1,989 | 34 | |||||||||||||||||||||||
3-Month USD-LIBOR | 1.150 | % | 3/51 | 680 | USD | 15 | 262 | 277 | 6 | |||||||||||||||||||||||
$ | 113 | $ | 2,873 | $ | 2,986 | $ | 64 | |||||||||||||||||||||||||
Centrally Cleared Interest Rate Swaps - Pay Floating Rate | ||||||||||||||||||||||||||||||||
Floating Rate Index | Fixed Rate | Expiration Date | Notional Amount (000's) | Currency | Upfront Premium Paid/ (Received) | Unrealized Appreciation/ (Depreciation) (000's) | Market Value (000's) | Variation Margin(000's) | ||||||||||||||||||||||||
1-Day USD-SOFR Compounded-OIS | 1.600 | % | 10/28 | 10,700 | USD | $ | 20 | $ | (955) | $ | (935) | $ | (20) | |||||||||||||||||||
3-Month USD-LIBOR | 1.000 | % | 12/25 | 3,170 | USD | 49 | (359) | (310) | (4) | |||||||||||||||||||||||
3-Month USD-LIBOR | 1.250 | % | 12/50 | 2,100 | USD | (175) | (641) | (816) | (17) | |||||||||||||||||||||||
$ | (106) | $ | (1,955) | $ | (2,061) | $ | (41) |
Financial Derivative Assets | Financial Derivative Liabilities | |||||||||||||||||||||||||||
Variation Margin (000’s) | Variation Margin (000’s) | Market Value (000’s) | ||||||||||||||||||||||||||
Swaps | Futures | Total | Swaps | Futures | Total | Options | ||||||||||||||||||||||
Total Exchange-Traded or Centrally Cleared Derivatives | $ | 65 | $ | 103 | $ | 168 | $ | (41) | $ | (83) | $ | (124) | $ | – |
+ | All par is stated in U.S. Dollar unless otherwise noted. |
ß | Part or all of the security has been pledged as collateral. |
144A | Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2022 the value of these securities (in thousands) was $7,026 representing 7.1% of the net assets. |
π | Amount is less than one thousand. |
# | 7-Day yield as of 9/30/2022. |
Long-Term U.S. Government Bond Portfolio
@ | At September 30, 2022, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $124,739 and the net unrealized depreciation of investments based on that cost was $7,865 which is comprised of $4,421 aggregate gross unrealized appreciation and $12,286 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report. |
The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:
Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives
Level 2 - fair value is determined by other significant observable inputs
Level 3 - fair value is determined by significant unobservable inputs
The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.
The following is a summary of the inputs used in valuing the Portfolio’s Investments at September 30, 2022.
Valuation Inputs | ||||||||||||||
Description | Level 1 - Quoted Prices | Level 2 - Other Significant Observable Inputs | Level 3 - Significant Unobservable Inputs | |||||||||||
(Amounts in thousands) | ||||||||||||||
Assets: | ||||||||||||||
Corporate Bonds | $ | — | $ | 482 | $ | — | ||||||||
Governments | — | 100,311 | — | |||||||||||
Structured Products | — | 18,158 | — | |||||||||||
Short-Term Investments | 510 | — | — | |||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | 1,483 | — | — | |||||||||||
Interest Rate Swaps | — | 2,986 | — | |||||||||||
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Total Assets: | $ | 1,993 | $ | 121,937 | $ | — | ||||||||
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Liabilities: | ||||||||||||||
Other Financial Instruments^ | ||||||||||||||
Futures | (704) | — | — | |||||||||||
Interest Rate Swaps | — | (2,061) | — | |||||||||||
Securities Sold Short | — | (4,290) | — | |||||||||||
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Total Liabilities: | $ | (704) | $ | (6,351) | $ | — | ||||||||
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^ Other financial instruments are derivative instruments such as futures and forward foreign currency contracts, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.
Abbreviations
Abbreviations that may be used in the preceding statements
ADR | American Depositary Receipt | |
AFC | Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate. | |
CSTR | Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral. | |
EXE | Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal. | |
IO | Interest Only Security | |
PO | Principal Only Security | |
GDR | Global Depositary Receipt | |
GO | General Obligation | |
RB | Revenue Bond | |
CPURNSA | U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted | |
LIBOR | London Interbank Offered Rate | |
SOFR | Secured Overnight Financing Rate | |
ICE | Intercontinental Exchange | |
SONIO | Sterling Overnight Interbank Average Rate | |
DAC | Designated Activity Company | |
TBA | To Be Announced | |
OIS | Overnight Index Swaps | |
DIFC | Dubai International Financial Centre | |
EURIBOR | Euro Interbank Offered Rate | |
SDR | Swedish Depository Receipt | |
ETF | Exchange Traded Fund | |
Currency Abbreviations | ||
ARS | Argentine Peso | |
AUD | Australian Dollar | |
BRL | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
CNH | Chinese Yuan Renminbi - Offshore | |
CNY | Chinese Yuan Renminbi | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
IDR | Indonesian Rupiah | |
INR | Indian Rupee | |
JPY | Japanese Yen | |
KES | Kenyan Shilling | |
KRW | South Korean Won | |
MXN | Mexican New Peso | |
NOK | Norwegian Krone | |
NZD | New Zealand Dollar | |
PHP | Philippines Peso | |
RUB | Russian Ruble | |
SEK | Swedish Krona | |
THB | Thai Baht | |
TWD | Taiwan Dollar | |
USD | United States Dollar | |
ZAR | South African Rand |