NPORT-EX 2 GAG0100GAGSCoreFixIncPort.htm

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited)

March 31, 2020

 


 

 

 

Shares/
Principal

 

Fair Value

Corporate Bonds and Notes - 44.3%

 

 

 

 

Aerospace & Defense - 2.4%

 

 

 

 

Boeing Co. (The)

 

 

 

 

2.60%, 10/30/25

 

$150,000

 

$135,124

3.45%, 11/1/28

 

 100,000

 

 86,834

General Dynamics Corp.

 

 

 

 

2.02%, (3 Month US Libor + 0.29%), 5/11/20(a)

 

 125,000

 

 125,021

2.88%, 5/11/20

 

 150,000

 

 150,103

4.25%, 4/1/50

 

 25,000

 

 31,480

Lockheed Martin Corp., 3.55%, 1/15/26

 

 300,000

 

 321,416

Northrop Grumman Corp.

 

 

 

 

2.93%, 1/15/25

 

 225,000

 

 228,388

3.25%, 1/15/28

 

 300,000

 

 311,736

4.75%, 6/1/43

 

 50,000

 

 59,907

5.25%, 5/1/50

 

 150,000

 

 202,843

United Technologies Corp.

 

 

 

 

3.95%, 8/16/25

 

 275,000

 

 300,188

4.13%, 11/16/28

 

 75,000

 

 82,332

4.05%, 5/4/47

 

 25,000

 

 27,424

4.63%, 11/16/48

 

 50,000

 

 59,088

 

 

 

 

 2,121,884

Agriculture - 0.5%

 

 

 

 

Altria Group, Inc., 3.80%, 2/14/24

 

 150,000

 

 152,038

Archer-Daniels-Midland Co., 3.25%, 3/27/30

 

 50,000

 

 53,056

BAT Capital Corp., 4.76%, 9/6/49

 

 25,000

 

 23,604

Reynolds American, Inc., 3.25%, 6/12/20

 

 200,000

 

 199,400

 

 

 

 

 428,098

Apparel - 0.1%

 

 

 

 

NIKE, Inc.

 

 

 

 

3.25%, 3/27/40

 

 75,000

 

 78,603

3.38%, 3/27/50

 

 25,000

 

 27,273

 

 

 

 

 105,876

Auto Manufacturers - 0.2%

 

 

 

 

General Motors Co., 4.00%, 4/1/25

 

 50,000

 

 42,167

General Motors Financial Co., Inc.

 

 

 

 

4.30%, 7/13/25

 

 75,000

 

 66,420

5.65%, 1/17/29

 

 25,000

 

 21,686

 

 

 

 

 130,273

Banks - 11.7%

 

 

 

 

Banco Santander SA, 4.25%, 4/11/27

 

 200,000

 

 194,695

Bank of America Corp.

 

 

 

 

2.82%, (3 Month US Libor + 0.93%), 7/21/23(a)

 

 250,000

 

 251,028

3.86%, (3 Month US Libor + 0.94%), 7/23/24(a)

 

 150,000

 

 156,942

4.20%, 8/26/24

 

 150,000

 

 159,542

3.25%, 10/21/27

 

 175,000

 

 179,290

4.18%, 11/25/27

 

 25,000

 

 25,842

 

 

 

Shares/
Principal

 

Fair Value

Banks (continued)

 

 

 

 

3.42%, (3 Month US Libor + 1.04%), 12/20/28(a)

 

$108,000

 

$111,406

4.27%, (3 Month US Libor + 1.31%), 7/23/29(a)

 

 125,000

 

 135,133

2.88%, (3 Month US Libor + 1.19%), 10/22/30(a)

 

 100,000

 

 99,965

2.50%, (3 Month US Libor + 0.99%), 2/13/31(a)

 

 25,000

 

 24,173

6.11%, 1/29/37

 

 100,000

 

 128,471

4.08%, (3 Month US Libor + 3.15%), 3/20/51(a)

 

 225,000

 

 257,554

Barclays PLC, 4.61%, (3 Month US Libor + 1.40%), 2/15/23(a)

 

 225,000

 

 227,534

BNP Paribas SA, 3.38%, 1/9/25(b)

 

 252,000

 

 249,788

BPCE SA, 4.00%, 9/12/23(b)

 

 250,000

 

 252,002

Citigroup, Inc.

 

 

 

 

2.70%, 10/27/22

 

 200,000

 

 198,867

4.60%, 3/9/26

 

 75,000

 

 79,554

3.40%, 5/1/26

 

 200,000

 

 208,376

3.67%, (3 Month US Libor + 1.39%), 7/24/28(a)

 

 50,000

 

 51,764

4.13%, 7/25/28

 

 100,000

 

 102,325

2.98%, (SOFR + 1.42%), 11/5/30(a)

 

 100,000

 

 97,660

4.41%, (SOFR + 3.91%), 3/31/31(a)

 

 75,000

 

 82,401

Comerica Bank, 2.50%, 7/23/24

 

 300,000

 

 297,369

Credit Suisse AG, 2.10%, 11/12/21

 

 250,000

 

 249,280

Credit Suisse Group Funding Guernsey Ltd., 4.55%, 4/17/26

 

 255,000

 

 267,140

Deutsche Bank AG, 2.70%, 7/13/20

 

 250,000

 

 245,092

HSBC Bank USA NA, 4.88%, 8/24/20

 

 250,000

 

 251,810

Huntington Bancshares, Inc., 4.00%, 5/15/25

 

 150,000

 

 157,135

ING Groep NV, 4.63%, 1/6/26(b)

 

 225,000

 

 237,094

JPMorgan Chase & Co.

 

 

 

 

4.02%, (3 Month US Libor + 1.00%), 12/5/24(a)

 

 350,000

 

 370,852

2.30%, (SOFR + 1.16%), 10/15/25(a)

 

 225,000

 

 223,877

3.30%, 4/1/26

 

 225,000

 

 233,636

2.95%, 10/1/26

 

 200,000

 

 206,327

3.96%, (3 Month US Libor + 1.25%), 1/29/27(a)

 

 175,000

 

 188,198

3.51%, (3 Month US Libor + 0.95%), 1/23/29(a)

 

 125,000

 

 128,690

Lloyds Bank PLC, 2.23%, (3 Month US Libor + 0.49%), 5/7/21(a)

 

 275,000

 

 259,077

Mitsubishi UFJ Financial Group, Inc., 3.75%, 7/18/39

 

 225,000

 

 210,719

Mizuho Financial Group, Inc., 2.60%, 9/11/22

 

 400,000

 

 397,694

Morgan Stanley

 

 

 

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

March 31, 2020

 


 

 

 

Shares/
Principal

 

Fair Value

Banks (continued)

 

 

 

 

3.74%, (3 Month US Libor + 0.85%), 4/24/24(a)

 

$50,000

 

$51,206

3.70%, 10/23/24

 

 275,000

 

 288,367

2.72%, (SOFR + 1.15%), 7/22/25(a)

 

 75,000

 

 75,147

3.63%, 1/20/27

 

 400,000

 

 427,965

3.95%, 4/23/27

 

 75,000

 

 78,985

4.43%, (3 Month US Libor + 1.63%), 1/23/30(a)

 

 100,000

 

 111,015

3.62%, (SOFR + 3.12%), 4/1/31(a)

 

 75,000

 

 78,446

5.60%, (SOFR + 4.84%), 3/24/51(a)

 

 50,000

 

 69,345

Royal Bank of Canada, 3.20%, 4/30/21

 

 150,000

 

 151,789

Royal Bank of Scotland Group PLC, 4.52%, (3 Month US Libor + 1.55%), 6/25/24(a)

 

 300,000

 

 302,082

Santander UK PLC, 2.88%, 6/18/24

 

 225,000

 

 224,589

Standard Chartered PLC, 4.25%, (3 Month US Libor + 1.15%), 1/20/23(a),(b)

 

 375,000

 

 376,470

Wells Fargo & Co.

 

 

 

 

3.55%, 9/29/25

 

 125,000

 

 131,378

3.00%, 10/23/26

 

 325,000

 

 332,196

4.30%, 7/22/27

 

 100,000

 

 106,519

4.15%, 1/24/29

 

 25,000

 

 27,345

5.01%, (3 Month US Libor + 4.24%), 4/4/51(a)

 

 25,000

 

 31,920

Westpac Banking Corp., 4.11%, (US 5 Year CMT + 2.00%), 7/24/34(a)

 

 125,000

 

 121,168

 

 

 

 

 10,184,234

Beverages - 2.3%

 

 

 

 

Anheuser-Busch Cos., LLC / Anheuser-Busch InBev Worldwide, Inc.

 

 

 

 

4.70%, 2/1/36

 

 200,000

 

 209,448

4.90%, 2/1/46

 

 450,000

 

 490,124

Anheuser-Busch InBev Worldwide, Inc.

 

 

 

 

4.75%, 1/23/29

 

 175,000

 

 193,174

4.60%, 4/15/48

 

 175,000

 

 185,142

5.55%, 1/23/49

 

 50,000

 

 58,770

Constellation Brands, Inc.

 

 

 

 

2.39%, (3 Month US Libor + 0.70%), 11/15/21(a)

 

 175,000

 

 164,962

4.40%, 11/15/25

 

 200,000

 

 201,726

3.60%, 2/15/28

 

 100,000

 

 97,807

3.15%, 8/1/29

 

 125,000

 

 116,099

Keurig Dr Pepper, Inc.

 

 

 

 

4.06%, 5/25/23

 

 125,000

 

 130,028

5.09%, 5/25/48

 

 25,000

 

 31,127

PepsiCo, Inc., 3.63%, 3/19/50

 

 75,000

 

 89,043

 

 

 

 

 1,967,450

 

 

 

Shares/
Principal

 

Fair Value

Biotechnology - 0.2%

 

 

 

 

Amgen, Inc., 3.13%, 5/1/25

 

$175,000

 

$185,655

 

 

 

 

 

Building Materials - 0.6%

 

 

 

 

Carrier Global Corp.

 

 

 

 

2.49%, 2/15/27(b)

 

 225,000

 

 214,625

2.72%, 2/15/30(b)

 

 350,000

 

 322,502

 

 

 

 

 537,127

Chemicals - 0.3%

 

 

 

 

DuPont de Nemours, Inc., 4.21%, 11/15/23

 

 175,000

 

 184,268

Sherwin-Williams Co. (The), 4.50%, 6/1/47

 

 100,000

 

 107,007

 

 

 

 

 291,275

Commercial Services - 0.5%

 

 

 

 

Global Payments, Inc.

 

 

 

 

2.65%, 2/15/25

 

 75,000

 

 73,636

3.20%, 8/15/29

 

 50,000

 

 47,715

PayPal Holdings, Inc., 2.65%, 10/1/26

 

 225,000

 

 220,265

S&P Global, Inc., 2.95%, 1/22/27

 

 50,000

 

 50,010

 

 

 

 

 391,626

Computers - 0.8%

 

 

 

 

Apple, Inc., 3.25%, 2/23/26

 

 175,000

 

 189,992

Dell International LLC / EMC Corp.

 

 

 

 

5.45%, 6/15/23(b)

 

 200,000

 

 205,530

6.02%, 6/15/26(b)

 

 175,000

 

 180,614

Hewlett Packard Enterprise Co.

 

 

 

 

4.90%, 10/15/25

 

 50,000

 

 52,645

6.35%, 10/15/45

 

 60,000

 

 71,204

 

 

 

 

 699,985

Diversified Financial Services - 2.2%

 

 

 

 

AerCap Ireland Capital DAC / AerCap Global Aviation Trust, 4.88%, 1/16/24

 

 175,000

 

 150,460

Air Lease Corp.

 

 

 

 

2.30%, 2/1/25

 

 175,000

 

 133,444

3.75%, 6/1/26

 

 175,000

 

 151,004

American Express Co., 3.63%, 12/5/24

 

 175,000

 

 180,140

Avolon Holdings Funding Ltd.

 

 

 

 

3.95%, 7/1/24(b)

 

 75,000

 

 60,463

2.88%, 2/15/25(b)

 

 150,000

 

 116,261

GE Capital International Funding Co. Unlimited Co., 3.37%, 11/15/25

 

 250,000

 

 248,754

Mastercard, Inc.

 

 

 

 

3.30%, 3/26/27

 

 50,000

 

 54,476

3.85%, 3/26/50

 

 25,000

 

 30,636

Nuveen LLC, 4.00%, 11/1/28(b)

 

 75,000

 

 78,369

Visa, Inc.

 

 

 

 

3.15%, 12/14/25

 

 575,000

 

 626,265

2.05%, 4/15/30

 

 25,000

 

 24,964

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

March 31, 2020

 


 

 

 

Shares/
Principal

 

Fair Value

Diversified Financial Services (continued)

 

 

2.70%, 4/15/40

 

$25,000

 

$24,816

 

 

 

 

 1,880,052

Electric - 2.6%

 

 

 

 

Alliant Energy Finance LLC, 3.75%, 6/15/23(b)

 

 50,000

 

 51,689

Ameren Corp., 3.50%, 1/15/31

 

 25,000

 

 24,941

American Electric Power Co., Inc., 2.30%, 3/1/30

 

 50,000

 

 46,623

Arizona Public Service Co., 2.95%, 9/15/27

 

 175,000

 

 175,462

Berkshire Hathaway Energy Co.

 

 

 

 

3.25%, 4/15/28

 

 50,000

 

 51,673

3.70%, 7/15/30(b)

 

 75,000

 

 80,390

6.13%, 4/1/36

 

 74,000

 

 97,513

4.25%, 10/15/50(b)

 

 25,000

 

 28,311

Dominion Energy, Inc.

 

 

 

 

3.07%, 8/15/24(c)

 

 175,000

 

 174,458

3.38%, 4/1/30

 

 50,000

 

 49,498

Duke Energy Carolinas LLC, 3.95%, 3/15/48

 

 25,000

 

 28,141

Duke Energy Corp., 3.15%, 8/15/27

 

 200,000

 

 196,823

Entergy Corp., 2.95%, 9/1/26

 

 175,000

 

 165,029

Exelon Corp., 4.05%, 4/15/30

 

 50,000

 

 50,500

FirstEnergy Corp., 2.65%, 3/1/30

 

 150,000

 

 139,830

MidAmerican Energy Co., 3.65%, 4/15/29

 

 75,000

 

 80,463

NRG Energy, Inc., 3.75%, 6/15/24(b)

 

 150,000

 

 147,152

Ohio Power Co., 2.60%, 4/1/30

 

 50,000

 

 48,559

Sempra Energy

 

 

 

 

1.72%, (3 Month US Libor + 0.50%), 1/15/21(a)

 

 50,000

 

 47,362

3.40%, 2/1/28

 

 125,000

 

 125,253

Southern California Edison Co., 4.20%, 3/1/29

 

 100,000

 

 106,205

Southern Co. (The), 3.25%, 7/1/26

 

 350,000

 

 348,464

 

 

 

 

 2,264,339

 

 

 

 

 

Engineering & Construction - 0.2%

 

 

 

 

Mexico City Airport Trust, 3.88%, 4/30/28(b)

 

 200,000

 

 168,083

 

 

 

 

 

Environmental Control - 0.3%

 

 

 

 

Republic Services, Inc., 2.50%, 8/15/24

 

 150,000

 

 151,195

Waste Management, Inc., 3.20%, 6/15/26

 

 100,000

 

 104,051

 

 

 

 

 255,246

Food - 0.4%

 

 

 

 

JM Smucker Co. (The), 2.38%, 3/15/30

 

 50,000

 

 46,358

Mars, Inc.

 

 

 

 

2.70%, 4/1/25(b)

 

 50,000

 

 51,400

3.20%, 4/1/30(b)

 

 75,000

 

 78,285

 

 

 

Shares/
Principal

 

Fair Value

Food (continued)

 

 

 

 

Sysco Corp., 6.60%, 4/1/50

 

$50,000

 

$52,425

Tyson Foods, Inc., 3.90%, 9/28/23

 

 125,000

 

 129,854

 

 

 

 

 358,322

Gas - 0.6%

 

 

 

 

NiSource, Inc.

 

 

 

 

3.65%, 6/15/23

 

 125,000

 

 128,016

3.49%, 5/15/27

 

 400,000

 

 404,374

 

 

 

 

 532,390

Hand & Machine Tools - 0.2%

 

 

 

 

Stanley Black & Decker, Inc., 4.25%, 11/15/28

 

 125,000

 

 133,247

 

 

 

 

 

Healthcare-Products - 0.7%

 

 

 

 

DH Europe Finance II SARL

 

 

 

 

2.20%, 11/15/24

 

 125,000

 

 121,429

2.60%, 11/15/29

 

 50,000

 

 48,559

3.25%, 11/15/39

 

 100,000

 

 98,853

Thermo Fisher Scientific, Inc., 3.65%, 12/15/25

 

 200,000

 

 207,253

Zimmer Biomet Holdings, Inc., 3.55%, 3/20/30

 

 175,000

 

 174,342

 

 

 

 

 650,436

Healthcare-Services - 0.3%

 

 

 

 

Sutter Health, 4.09%, 8/15/48

 

 225,000

 

 240,376

 

 

 

 

 

Insurance - 1.6%

 

 

 

 

AIA Group Ltd., 3.20%, 3/11/25(b)

 

 200,000

 

 204,847

American International Group, Inc.

 

 

 

 

3.90%, 4/1/26

 

 175,000

 

 180,237

4.20%, 4/1/28

 

 75,000

 

 77,281

Arch Capital Finance LLC, 5.03%, 12/15/46

 

 150,000

 

 174,680

Berkshire Hathaway Finance Corp., 1.85%, 3/12/30

 

 125,000

 

 121,349

Great-West Lifeco Finance 2018 LP, 4.05%, 5/17/28(b)

 

 50,000

 

 52,391

Marsh & McLennan Cos., Inc., 4.38%, 3/15/29

 

 100,000

 

 110,109

MetLife, Inc., 3.60%, 11/13/25

 

 275,000

 

 285,706

Principal Financial Group, Inc., 3.10%, 11/15/26

 

 75,000

 

 76,146

Progressive Corp. (The), 3.95%, 3/26/50

 

 50,000

 

 58,389

XLIT Ltd., 4.45%, 3/31/25

 

 50,000

 

 51,637

 

 

 

 

 1,392,772

Internet - 0.1%

 

 

 

 

Amazon.com, Inc., 3.88%, 8/22/37

 

 50,000

 

 59,729

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

March 31, 2020

 


 

 

 

Shares/
Principal

 

Fair Value

Investment Companies - 0.2%

 

 

 

 

Huarong Finance 2019 Co. Ltd., 3.75%, 5/29/24

 

$200,000

 

$198,018

Lodging - 0.1%

 

 

 

 

Marriott International, Inc., 2.30%, 1/15/22

 

 100,000

 

 93,731

 

 

 

 

 

Machinery-Diversified - 0.3%

 

 

 

 

Otis Worldwide Corp.

 

 

 

 

2.29%, 4/5/27(b)

 

 50,000

 

 47,800

2.57%, 2/15/30(b)

 

 250,000

 

 242,974

 

 

 

 

 290,774

Media - 1.5%

 

 

 

 

Comcast Corp.

 

 

 

 

3.70%, 4/15/24

 

 150,000

 

 160,973

3.10%, 4/1/25

 

 50,000

 

 53,111

3.95%, 10/15/25

 

 125,000

 

 135,918

3.30%, 4/1/27

 

 125,000

 

 134,200

4.15%, 10/15/28

 

 325,000

 

 364,914

3.75%, 4/1/40

 

 25,000

 

 28,222

Fox Corp.

 

 

 

 

4.03%, 1/25/24(b)

 

 75,000

 

 77,910

4.71%, 1/25/29(b)

 

 50,000

 

 54,796

3.50%, 4/8/30

 

 50,000

 

 49,900

Walt Disney Co. (The)

 

 

 

 

3.70%, 9/15/24

 

 200,000

 

 214,177

4.70%, 3/23/50

 

 50,000

 

 65,338

 

 

 

 

 1,339,459

Mining - 0.4%

 

 

 

 

Glencore Funding LLC, 4.63%, 4/29/24(b)

 

 250,000

 

 228,625

Newmont Corp., 2.25%, 10/1/30

 

 150,000

 

 139,373

 

 

 

 

 367,998

Miscellaneous Manufacturing - 0.1%

 

 

 

 

General Electric Co.

 

 

 

 

2.70%, 10/9/22

 

 25,000

 

 24,285

3.10%, 1/9/23

 

 75,000

 

 75,548

 

 

 

 

 99,833

Oil & Gas - 1.5%

 

 

 

 

BP Capital Markets America, Inc.

 

 

 

 

3.22%, 4/14/24

 

 25,000

 

 25,470

3.41%, 2/11/26

 

 75,000

 

 74,939

4.23%, 11/6/28

 

 75,000

 

 80,842

BP Capital Markets PLC, 3.72%, 11/28/28

 

 175,000

 

 182,924

Gazprom PJSC Via Gaz Capital SA, 4.95%, 3/23/27

 

 400,000

 

 415,104

Marathon Petroleum Corp.

 

 

 

 

3.63%, 9/15/24

 

 50,000

 

 44,329

3.80%, 4/1/28

 

 25,000

 

 21,990

 

 

 

Shares/
Principal

 

Fair Value

Oil & Gas (continued)

 

 

 

 

Occidental Petroleum Corp., 2.90%, 8/15/24

 

$375,000

 

$205,247

Phillips 66, 3.90%, 3/15/28

 

 150,000

 

 148,254

Pioneer Natural Resources Co., 3.95%, 7/15/22

 

 125,000

 

 120,415

 

 

 

 

 1,319,514

Oil & Gas Services - 0.0%†

 

 

 

 

Halliburton Co., 3.80%, 11/15/25

 

 5,000

 

 4,719

 

 

 

 

 

Pharmaceuticals - 1.5%

 

 

 

 

AbbVie, Inc.

 

 

 

 

3.75%, 11/14/23

 

 125,000

 

 129,514

4.05%, 11/21/39(b)

 

 125,000

 

 128,576

4.88%, 11/14/48

 

 25,000

 

 29,003

4.25%, 11/21/49(b)

 

 350,000

 

 371,819

Bristol-Myers Squibb Co., 3.90%, 2/20/28(b)

 

 25,000

 

 27,785

Cigna Corp.

 

 

 

 

3.75%, 7/15/23

 

 266,000

 

 273,482

3.40%, 3/15/50

 

 200,000

 

 188,756

CVS Health Corp.

 

 

 

 

3.88%, 7/20/25

 

 25,000

 

 26,263

4.78%, 3/25/38

 

 75,000

 

 82,930

Pfizer, Inc., 2.63%, 4/1/30

 

 25,000

 

 26,287

 

 

 

 

 1,284,415

Pipelines - 1.6%

 

 

 

 

Energy Transfer Operating LP

 

 

 

 

4.20%, 9/15/23

 

 175,000

 

 152,867

2.90%, 5/15/25

 

 100,000

 

 83,618

5.25%, 4/15/29

 

 100,000

 

 82,927

5.30%, 4/15/47

 

 50,000

 

 37,993

Enterprise Products Operating LLC, 3.70%, 2/15/26

 

 300,000

 

 299,481

MPLX LP

 

 

 

 

4.80%, 2/15/29

 

 50,000

 

 44,031

4.50%, 4/15/38

 

 75,000

 

 58,563

Sabine Pass Liquefaction LLC

 

 

 

 

5.63%, 4/15/23

 

 100,000

 

 93,050

5.63%, 3/1/25

 

 275,000

 

 252,420

5.00%, 3/15/27

 

 100,000

 

 84,970

Sunoco Logistics Partners Operations LP, 5.40%, 10/1/47

 

 100,000

 

 79,651

Williams Cos., Inc. (The), 4.00%, 9/15/25

 

 175,000

 

 153,646

 

 

 

 

 1,423,217

REITS - 2.0%

 

 

 

 

Alexandria Real Estate Equities, Inc.

 

 

 

 

3.80%, 4/15/26

 

 75,000

 

 74,929

3.38%, 8/15/31

 

 75,000

 

 72,973

American Homes 4 Rent LP, 4.90%, 2/15/29

 

 50,000

 

 48,674

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

 

March 31, 2020


 

 

Shares/
Principal

 

Fair Value

REITS (continued)

 

 

 

 

American Tower Corp.

 

 

 

 

3.38%, 5/15/24

 

$200,000

 

$200,419

2.40%, 3/15/25

 

125,000

 

122,720

Camden Property Trust, 3.15%, 7/1/29

 

75,000

 

73,785

Crown Castle International Corp.

 

 

 

 

3.15%, 7/15/23

 

100,000

 

100,373

3.65%, 9/1/27

 

75,000

 

75,957

3.30%, 7/1/30

 

25,000

 

24,795

CubeSmart LP, 4.38%, 12/15/23

 

75,000

 

80,050

Essex Portfolio LP, 3.00%, 1/15/30

 

75,000

 

71,013

Federal Realty Investment Trust, 3.25%, 7/15/27

 

150,000

 

147,889

Kilroy Realty LP, 4.75%, 12/15/28

 

100,000

 

104,173

Regency Centers LP, 2.95%, 9/15/29

 

125,000

 

117,712

Spirit Realty LP, 3.40%, 1/15/30

 

100,000

 

85,924

VEREIT Operating Partnership, LP

 

 

 

 

4.63%, 11/1/25

 

200,000

 

186,648

4.88%, 6/1/26

 

75,000

 

72,236

WP Carey, Inc., 3.85%, 7/15/29

 

75,000

 

73,094

 

 

 

 

1,733,364

Retail - 0.8%

 

 

 

 

Alimentation Couche-Tard, Inc., 3.55%, 7/26/27(b)

 

50,000

 

48,906

Dollar Tree, Inc.

 

 

 

 

4.00%, 5/15/25

 

75,000

 

76,811

4.20%, 5/15/28

 

125,000

 

124,709

Lowe’s Cos., Inc.

 

 

 

 

5.00%, 4/15/40

 

75,000

 

85,499

5.13%, 4/15/50

 

100,000

 

120,735

McDonald’s Corp., 4.45%, 9/1/48

 

25,000

 

27,705

Starbucks Corp., 3.80%, 8/15/25

 

150,000

 

159,067

Walmart, Inc., 4.05%, 6/29/48

 

75,000

 

93,576

 

 

 

 

737,008

Savings & Loans - 0.2%

 

 

 

 

Nationwide Building Society, 3.96%, (3 Month US Libor + 1.86%), 7/18/30(a),(b)

 

200,000

 

202,008

Semiconductors - 1.3%

 

 

 

 

Broadcom Corp. / Broadcom Cayman Finance Ltd.

 

 

 

 

3.63%, 1/15/24

 

240,000

 

235,748

3.13%, 1/15/25

 

225,000

 

215,669

3.50%, 1/15/28

 

26,000

 

24,071

Broadcom, Inc.

 

 

 

 

3.13%, 10/15/22(b)

 

225,000

 

222,848

3.63%, 10/15/24(b)

 

150,000

 

147,608

4.25%, 4/15/26(b)

 

125,000

 

122,889

Microchip Technology, Inc., 3.92%, 6/1/21

 

75,000

 

73,079

 

 

 

Shares/
Principal

 

Fair Value

Semiconductors (continued)

 

 

 

 

NVIDIA Corp., 3.20%, 9/16/26

 

$75,000

 

$83,504

 

 

 

 

1,125,416

Software - 1.2%

 

 

 

 

Adobe, Inc.

 

 

 

 

2.15%, 2/1/27

 

75,000

 

75,940

2.30%, 2/1/30

 

125,000

 

125,168

Fiserv, Inc.

 

 

 

 

3.80%, 10/1/23

 

50,000

 

51,644

2.75%, 7/1/24

 

150,000

 

150,571

3.20%, 7/1/26

 

150,000

 

154,930

4.20%, 10/1/28

 

100,000

 

108,199

Microsoft Corp., 3.70%, 8/8/46

 

150,000

 

180,066

Oracle Corp.

 

 

 

 

3.60%, 4/1/40

 

75,000

 

75,007

3.60%, 4/1/50

 

75,000

 

75,002

3.85%, 4/1/60

 

75,000

 

75,485

 

 

 

 

1,072,012

Telecommunications - 2.5%

 

 

 

 

AT&T, Inc.

 

 

 

 

3.20%, 3/1/22

 

100,000

 

101,393

3.40%, 5/15/25

 

225,000

 

234,045

3.60%, 7/15/25

 

100,000

 

105,950

4.25%, 3/1/27

 

150,000

 

159,325

5.25%, 3/1/37

 

125,000

 

145,836

4.90%, 8/15/37

 

50,000

 

55,707

Verizon Communications, Inc.

 

 

 

 

3.38%, 2/15/25

 

25,000

 

26,705

4.33%, 9/21/28

 

313,000

 

355,981

3.88%, 2/8/29

 

75,000

 

82,944

4.02%, 12/3/29

 

25,000

 

28,078

3.15%, 3/22/30

 

75,000

 

80,786

5.25%, 3/16/37

 

100,000

 

127,012

4.86%, 8/21/46

 

175,000

 

228,383

5.01%, 4/15/49

 

150,000

 

201,576

4.00%, 3/22/50

 

25,000

 

29,566

Vodafone Group PLC, 3.75%, 1/16/24

 

200,000

 

208,212

 

 

 

 

2,171,499

Transportation - 0.3%

 

 

 

 

Burlington Northern Santa Fe LLC, 3.25%, 6/15/27

 

75,000

 

77,543

Canadian Pacific Railway Co., 2.05%, 3/5/30

 

50,000

 

46,482

FedEx Corp., 3.40%, 2/15/28

 

25,000

 

24,724

United Parcel Service, Inc., 5.30%, 4/1/50

 

100,000

 

131,005

 

 

 

 

279,754

Total Corporate Bonds and Notes (Cost - $38,266,209)

 

 

 

38,721,214

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

 

March 31, 2020


 

 

Shares/
Principal

 

Fair Value

Agency Mortgage Backed Securities - 41.3%

Federal Home Loan Mortgage Corporation - 4.9%

Freddie Mac Gold Pool

 

 

 

 

4.00%, 3/1/48

 

$404,862

 

$432,190

4.00%, 4/1/48

 

487,695

 

520,615

Freddie Mac Pool

 

 

 

 

4.00%, 1/1/49

 

943,270

 

1,026,366

5.00%, 10/1/49

 

2,107,973

 

2,323,092

 

 

 

 

4,302,263

Federal National Mortgage Association - 14.9%

Fannie Mae Pool

 

 

 

 

4.50%, 6/1/31

 

627,676

 

681,106

5.00%, 11/1/48

 

714,321

 

796,926

Federal National Mortgage Association

 

 

 

 

2.50%, 4/1/50(d)

 

4,000,000

 

4,143,750

3.00%, 4/1/50(d)

 

1,000,000

 

1,048,281

3.50%, 4/1/50(d)

 

4,000,000

 

4,228,125

4.00%, 4/1/50(d)

 

1,000,000

 

1,066,250

5.00%, 4/1/50(d)

 

1,000,000

 

1,079,063

 

 

 

 

13,043,501

Government National Mortgage Association - 21.5%

Ginnie Mae II Pool

 

 

 

 

4.50%, 2/20/48

 

546,422

 

591,078

4.50%, 5/20/48

 

644,163

 

682,276

4.50%, 8/20/48

 

792,488

 

840,492

5.00%, 8/20/48

 

331,349

 

349,199

4.50%, 9/20/48

 

2,851,572

 

3,014,366

5.00%, 10/20/48

 

1,038,774

 

1,085,314

5.00%, 11/20/48

 

682,853

 

719,640

5.00%, 1/20/49

 

1,150,897

 

1,206,644

4.00%, 2/20/49

 

883,695

 

938,319

4.50%, 3/20/49

 

30,294

 

32,419

5.00%, 3/20/49

 

735,143

 

775,426

4.00%, 5/20/49

 

908,297

 

963,617

4.50%, 5/20/49

 

40,051

 

42,462

5.00%, 5/20/49

 

158,591

 

166,657

Government National Mortgage Association

 

 

 

 

2.50%, 4/20/50(d)

 

4,000,000

 

4,179,375

3.00%, 4/20/50(d)

 

3,000,000

 

3,172,031

 

 

 

 

18,759,315

Total Agency Mortgage Backed Securities (Cost - $35,455,303)

 

 

 

36,105,079

Asset Backed and Commercial Backed Securities - 6.9%

ACIS CLO 2014-4 Ltd., 3.18%, (3 Month US Libor + 1.42%), 5/1/26 (a),(b)

 

239,610

 

233,661

ASSURANT CLO II LTD., 2.86%, (3 Month US Libor + 1.04%), 4/20/31 (a),(b)

 

1,500,000

 

1,378,586

Catamaran CLO 2013-1 Ltd., 2.64%, (3 Month US Libor + 0.85%), 1/27/28 (a),(b)

 

399,269

 

375,262

CBAM 2018-5 Ltd., 2.86%, (3 Month US Libor + 1.02%), 4/17/31 (a),(b)

 

350,000

 

329,594

 

 

 

Shares/
Principal

 

Fair Value

Asset Backed and Commercial Backed Securities (continued)

Elmwood CLO IV Ltd., 2.42%, (3 Month US Libor + 1.24%), 4/15/33 (a),(b)

 

$600,000

 

$557,999

Harben Finance 2017-1 PLC, 1.55%, (3 Month GBP Libor + 0.80%), 8/20/56 (a)

 

98,620

 

120,080

Kentucky Higher Education Student Loan Corp., 1.58%, (1 Month US Libor + 0.60%), 9/1/28 (a)

 

715,968

 

711,766

London Wall Mortgage Capital PLC, 1.61%, (3 Month GBP Libor + 0.85%), 11/15/49 (a)

 

136,713

 

165,740

OCP CLO 2015-10 Ltd., 2.61%, (3 Month US Libor + 0.82%), 10/26/27 (a),(b)

 

452,079

 

431,138

PHEAA Student Loan Trust 2012-1, 1.50%, (1 Month US Libor + 0.55%), 5/25/57 (a),(b)

 

289,461

 

277,205

Scholar Funding Trust 2010-A, 2.55%, (3 Month US Libor + 0.75%), 10/28/41 (a),(b)

 

37,911

 

36,399

TICP CLO X Ltd., 2.82%, (3 Month US Libor + 1.00%), 4/20/31 (a),(b)

 

1,550,000

 

1,454,912

Total Asset Backed and Commercial Backed Securities (Cost - $6,450,309)

 

 

 

6,072,342

Sovereign Debts - 1.6%

 

 

 

 

Colombia Government International Bond, 3.00%, 1/30/30

 

200,000

 

182,500

Mexico Government International Bond

 

 

 

 

1.63%, 4/8/26

 

100,000

EUR

103,800

3.25%, 4/16/30

 

290,000

 

272,600

Perusahaan Penerbit SBSN Indonesia III, 4.55%, 3/29/26

 

520,000

 

531,653

Qatar Government International Bond, 4.50%, 4/23/28 (b)

 

200,000

 

218,888

Romanian Government International Bond, 2.00%, 1/28/32 (b)

 

70,000

EUR

68,805

Total Sovereign Debts (Cost - $1,403,174)

 

 

 

1,378,246

Municipal Bonds - 1.5%

 

 

 

 

City of Chicago, 7.75%, 1/1/42

 

480,000

 

619,565

New Jersey Turnpike Authority, 7.10%, 1/1/41

 

25,000

 

35,612

State of California, 7.60%, 11/1/40

 

175,000

 

291,221

State of Illinois, 5.10%, 6/1/33 (e)

 

325,000

 

322,605

Total Municipal Bonds (Cost - $1,209,767)

 

 

 

1,269,003

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

 

March 31, 2020


 

 

Shares/
Principal

 

Fair Value

Short-Term Investments - 24.4%

 

 

 

 

Money Market Funds - 24.4%

 

 

 

 

Fidelity Investments Money Market Fund - Government Portfolio, Institutional Class, 0.34%(f) (Cost - $21,363,462)

 

21,363,462

 

$21,363,462

Total Investments - 120.0% (Cost - $104,148,224)

 

 

 

$104,909,346

Other Assets Less Liabilities - Net (20.0)%

 

 

 

(17,499,580)

Total Net Assets - 100.0%

 

 

 

$87,409,766

 

 

 

 

 


 

 

†

Represents less than 0.05%.

(a)

Variable rate security. The rate shown is the rate in effect at period end.

(b)

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, 2020, these securities amounted to $10,443,259 or 11.9% of net assets.

(c)

Step coupon.

(d)

When-issued, or delayed delivery. All or a portion may be subject to dollar-roll transactions.

(e)

Sinking bond security.

(f)

The rate shown is the annualized seven-day yield at period end.

 

 

CLO

-

Collateralized Loan Obligation

CMT

-

Treasury Constant Maturity Rate

Libor

-

London Interbank Offer Rate

PLC

-

Public Limited Company

SOFR

-

Secured Overnight Financing Rate

 

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

 

March 31, 2020

 

Futures Contracts

 

 

 

Counterparty

 

Contracts

 

Expiration Date

 

Notional Value

 

Fair

Value/Unrealized

Appreciation

(Depreciation)

Long Futures Contracts

 

 

 

 

 

 

 

 

 

 

U.S. 10 Year Note Future

 

Credit Suisse

 

14

 

6/19/2020

 

$1,941,625

 

$1,344

U.S. 2 Year Note Future

 

Credit Suisse

 

6

 

6/30/2020

 

1,322,297

 

7,060

U.S. Long Bond Future

 

Credit Suisse

 

7

 

6/19/2020

 

1,253,437

 

59,339

U.S. Ultra Bond Future

 

Credit Suisse

 

32

 

6/19/2020

 

7,100,000

 

637,369

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

705,112

Short Futures Contracts

 

 

 

 

 

 

 

 

 

 

Australian 10 Year Bond Future

 

Credit Suisse

 

1

 

6/15/2020

 

92,181

 

394

U.S. 10 Year Ultra Future

 

Credit Suisse

 

3

 

6/19/2020

 

468,094

 

(25,222)

U.S. 5 Year Note Future

 

Credit Suisse

 

1

 

6/30/2020

 

125,359

 

(659)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(25,487)

Total Net Unrealized Appreciation on Futures contracts

 

 

 

$679,625

 

 

 

 

Interest Rate Swaptions Written

 

Counterparty

 

Description*

 

Put Call

 

Exercise Rate

 

Expiration

Date

 

Notional Amount

 

Fair Value

 

Premiums

Received

 

Unrealized

Appreciation

(Depreciation)

Bank of America

 

Receives 6 Month Euribor

 

Put

 

Pays 0.26%

 

08/28/20

 

340,000 EUR

 

$(2,295)

 

$(6,114)

 

$3,819

Bank of America

 

Receives 6 Month Euribor

 

Call

 

Pays 0.35%

 

05/27/20

 

1,180,000 EUR

 

(1,819)

 

(1,372)

 

(447)

Bank of America

 

Receives 6 Month Euribor

 

Put

 

Pays 0.10%

 

05/27/20

 

1,180,000 EUR

 

(2,056)

 

(4,050)

 

1,994

JP Morgan Chase Bank

 

Receives 6 Month Euribor

 

Call

 

Pays 0.35%

 

05/27/20

 

580,000 EUR

 

(894)

 

(738)

 

(156)

JP Morgan Chase Bank

 

Receives 6 Month Euribor

 

Put

 

Pays 0.10%

 

05/27/20

 

580,000 EUR

 

(1,011)

 

(2,087)

 

1,076

JP Morgan Chase Bank

 

Receives 6 Month Euribor

 

Call

 

Pays 0.35%

 

08/13/20

 

990,000 EUR

 

(2,868)

 

(2,610)

 

(258)

Bank of America

 

Receives 6 Month Euribor

 

Call

 

Pays 0.35%

 

08/13/20

 

990,000 EUR

 

(2,868)

 

(2,470)

 

(398)

JP Morgan Chase Bank

 

Receives 6 Month Euribor

 

Put

 

Pays 0.40%

 

06/26/20

 

720,000 EUR

 

(1,046)

 

(2,254)

 

1,208

JP Morgan Chase Bank

 

Receives 6 Month Euribor

 

Put

 

Pays 0.40%

 

06/26/20

 

490,000 EUR

 

(713)

 

(1,599)

 

886

Bank of America

 

Receives 3 Month Euribor

 

Put

 

Pays 0.39%

 

03/25/21

 

2,140,000 EUR

 

(2,547)

 

(2,579)

 

32

Bank of America

 

Receives 3 Month Euribor

 

Put

 

Pays 0.39%

 

03/25/21

 

2,140,000 EUR

 

(2,179)

 

(2,272)

 

93

JP Morgan Chase Bank

 

Receives 3 Month Euribor

 

Put

 

Pays 0.39%

 

03/25/21

 

550,000 EUR

 

(560)

 

(625)

 

65

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

 

March 31, 2020

 

Interest Rate Swaptions Written (continued)

 

Counterparty

 

Description*

 

Put Call

 

Exercise Rate

 

Expiration

Date

 

Notional Amount

 

Fair Value

 

Premiums

Received

 

Unrealized

Appreciation

(Depreciation)

JP Morgan Chase Bank

 

Receives 3 Month Euribor

 

Call

 

Pays 0.39%

 

03/25/21

 

550,000 EUR

 

$(655)

 

$(625)

 

$(30)

JP Morgan Chase Bank

 

Receives 3 Month Euribor

 

Call

 

Pays 0.39%

 

03/25/21

 

510,000 EUR

 

(523)

 

(523)

 

–

JP Morgan Chase Bank

 

Receives 3 Month Euribor

 

Call

 

Pays 0.39%

 

03/25/21

 

510,000 EUR

 

(523)

 

(523)

 

–

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total Net Unrealized Appreciation on Written Interest Rate Swaptions

 

 

 

$(30,441)

 

$7,884

 

 

*

The Fund may receive or pay a variable rate.

 

 

 

 

 

 

Interest Rate Swaps

 

Counterparty

 

Payment

Frequency

 

Fund Receives

 

Fund Pays

 

Expiration

Date

 

Notional Amount

 

Fair Value

 

Premiums Paid

(Received)

 

Unrealized

Appreciation

(Depreciation)

Credit Suisse

 

Quarterly

 

1.75%

 

3 Month US Libor

 

03/18/22

 

7,140,000

 

$190,980

 

$85,168

 

$105,812

Credit Suisse

 

Quarterly

 

3 Month US Libor

 

1 Month US Libor

 

07/25/24

 

1,900,000

 

(1,942)

 

40

 

(1,982)

Credit Suisse

 

Yearly

 

0.40%

 

Sterling Overnight Interbank Average Rate

 

03/18/25

 

1,000,000 GBP

 

9,794

 

1,574

 

8,220

Credit Suisse

 

Quarterly

 

1.50%

 

3 Month New Zealand Bank Bill Rate

 

03/18/25

 

720,000 NZD

 

18,474

 

5,594

 

12,880

Credit Suisse

 

Semi-Annually

 

6 Month Norway Ibor

 

2.00%

 

03/18/25

 

10,080,000 NOK

 

(54,818)

 

(11,139)

 

(43,679)

Credit Suisse

 

Semi-Annually

 

6 Month Australian Bill

 

1.50%

 

03/18/25

 

70,000 AUD

 

(1,955)

 

(1,199)

 

(756)

Credit Suisse

 

Semi-Annually

 

6 Month GBP Libor

 

1.00%

 

03/18/25

 

10,000 GBP

 

(290)

 

(224)

 

(66)

Credit Suisse

 

Semi-Annually

 

1.75%

 

3 Month Canadian Dollar Offered Rate

 

03/18/25

 

570,000 CAD

 

15,621

 

7,924

 

7,697

Credit Suisse

 

Yearly

 

0.27%

 

Sterling Overnight Interbank Average Rate

 

06/17/25

 

1,040,000 GBP

 

1,377

 

348

 

1,029

Credit Suisse

 

Semi-Annually

 

6 Month GBP Libor

 

0.50%

 

03/10/30

 

440,000 GBP

 

4,119

 

8,495

 

(4,376)

Credit Suisse

 

Semi-Annually

 

1.00%

 

6 Month Australian Bill

 

03/11/30

 

780,000 AUD

 

(5,085)

 

(12,256)

 

7,171

Credit Suisse

 

Semi-Annually

 

1.75%

 

6 Month Australian Bill

 

03/18/30

 

790,000 AUD

 

39,751

 

24,264

 

15,487

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

March 31, 2020

 

Interest Rate Swaps (continued)

 

Counterparty

Payment
Frequency

Fund Receives

Fund Pays

Expiration
Date

Notional Amount

Fair Value

Premiums Paid
(Received)

Unrealized
Appreciation
(Depreciation)

Credit Suisse

Semi-Annually

2.00%

3 Month Canadian Dollar Offered Rate

03/18/30

280,000 CAD

$16,594

$6,404

$10,190

Credit Suisse

Semi-Annually

6 Month Euribor

0.50%

03/18/30

370,000 EUR

(21,904)

(30,531)

8,627

Credit Suisse

Semi-Annually

6 Month Norway Ibor

2.00%

03/18/30

1,160,000 NOK

(10,058)

(572)

(9,486)

Credit Suisse

Quarterly

3 Month Stibor

0.50%

03/18/30

3,200,000 SEK

(3,686)

(1,469)

(2,217)

Credit Suisse

Yearly

Sterling Overnight Interbank Average Rate

0.57%

03/18/30

390,000 GBP

(12,279)

1,717

(13,996)

Credit Suisse

Semi-Annually

-0.25%

6 Month Euribor

06/17/30

540,000 EUR

(14,631)

(22,002)

7,371

Credit Suisse

Yearly

Sterling Overnight Interbank Average Rate

0.31%

06/17/30

290,000 GBP

446

(810)

1,256

Credit Suisse

Yearly

Sterling Overnight Interbank Average Rate

0.40%

06/17/30

420,000 GBP

(4,772)

(1,544)

(3,228)

Credit Suisse

Yearly

Sterling Overnight Interbank Average Rate

0.40%

06/17/40

190,000 GBP

(2,429)

(752)

(1,677)

Total Net Unrealized Appreciation on Interest Rate Swaps

 

 

 

$59,030

$104,277

 

 

 

 

 

 

 

 

 

Credit Default Swaps

 

Counterparty

 

Index

 

Payment
Frequency

 

Buy/Sell
Protection

 

Fixed Rate
Received

 

Fixed Rate
Paid

 

Expiration
Date

 

Notional
Amount

 

Fair Value

 

Premiums Paid
 (Received)

 

Unrealized
Appreciation
(Depreciation)

Credit Suisse

 

CD CDXIG528

 

Quarterly

 

Buy

 

1.00%

 

-

 

06/20/22

 

 2,225,000

 

$(3,972)

 

$34,074

 

$(38,046)

Credit Suisse

 

CD BA

 

Quarterly

 

Buy

 

1.00%

 

-

 

06/20/24

 

 100,000

 

 (12,370)

 

 2,022

 

 (14,392)

Credit Suisse

 

CD PRU

 

Quarterly

 

Buy

 

1.00%

 

-

 

06/20/24

 

 175,000

 

 2,033

 

 2,660

 

 (627)

Credit Suisse

 

CD INDON

 

Quarterly

 

Buy

 

1.00%

 

-

 

06/20/24

 

 550,000

 

 (15,720)

 

 3,001

 

 (18,721)

Credit Suisse

 

CD GE

 

Quarterly

 

Buy

 

1.00%

 

-

 

06/20/24

 

 225,000

 

 (9,122)

 

 (2,554)

 

 (6,568)

Credit Suisse

 

CD RUSSIA

 

Quarterly

 

Buy

 

1.00%

 

-

 

12/20/24

 

 70,000

 

 (2,609)

 

 (531)

 

 (2,078)

Credit Suisse

 

CD GE

 

Quarterly

 

Buy

 

1.00%

 

-

 

12/20/24

 

 125,000

 

 (6,293)

 

 (1,882)

 

 (4,411)

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

March 31, 2020

 

Credit Default Swaps (continued)

 

Counterparty

 

Index

 

Payment
Frequency

 

Buy/Sell
Protection

 

Fixed Rate
Received

 

Fixed Rate
Paid

 

Expiration
Date

 

Notional
Amount

 

Fair Value

 

Premiums Paid
(Received)

 

Unrealized Appreciation
(Depreciation)

Credit Suisse

 

CD CDXIG533

 

Quarterly

 

Sell

 

-

 

1.00%

 

12/20/24

 

$525,000

 

$1,732

 

$5,295

 

$(3,563)

Total Net Unrealized Depreciation on Credit Default Swaps

 

 

 

 

 

$42,085

 

$(88,406)

 

 

 

 

 

 

 

Forward Foreign Currency Contracts

 

Settlement Date

Counterparty

Currency Units to Receive

 

 

In Exchange For

 

 

Unrealized
Appreciation
(Depreciation)

04/29/20

Morgan Stanley

70,165

GBP

 

87,698

USD

 

$(641)

04/29/20

Morgan Stanley

382,184

GBP

 

448,508

USD

 

25,690

04/29/20

Morgan Stanley

968,717

USD

 

747,262

GBP

 

41,545

05/14/20

Morgan Stanley

109,447

USD

 

100,721

EUR

 

(1,261)

06/17/20

Morgan Stanley

137,353

AUD

 

90,064

USD

 

(5,979)

06/17/20

Morgan Stanley

939,728

AUD

 

615,216

USD

 

(39,928)

06/17/20

Morgan Stanley

551,000

CAD

 

41,521,982

JPY

 

1,482

06/17/20

Morgan Stanley

530,369

CAD

 

368,000

USD

 

4,867

06/17/20

Morgan Stanley

33,467

CHF

 

35,822

USD

 

(1,104)

06/17/20

Morgan Stanley

170,000

EUR

 

20,269,100

JPY

 

(1,285)

06/17/20

Morgan Stanley

177,287

EUR

 

2,174,482

NOK

 

(12,024)

06/17/20

Morgan Stanley

102,000

EUR

 

1,131,496

SEK

 

(2,141)

06/17/20

Morgan Stanley

1,009,616

EUR

 

10,697,411

SEK

 

29,597

06/17/20

Morgan Stanley

1,432,970

EUR

 

1,615,602

USD

 

(38,590)

06/17/20

Morgan Stanley

7,395

EUR

 

8,378

USD

 

(239)

06/17/20

Morgan Stanley

329,176

GBP

 

422,201

USD

 

(13,482)

06/17/20

Morgan Stanley

144,461,140

JPY

 

1,381,319

USD

 

(38,754)

06/17/20

Morgan Stanley

6,758,818

NOK

 

643,440

EUR

 

(64,301)

06/17/20

Morgan Stanley

3,860,589

NOK

 

406,570

USD

 

(38,827)

06/17/20

Morgan Stanley

342,619

NZD

 

336,630

AUD

 

(3,085)

06/17/20

Morgan Stanley

263,125

NZD

 

1,638,926

NOK

 

(221)

06/17/20

Morgan Stanley

656,000

NZD

 

390,307

USD

 

(1,640)

06/17/20

Morgan Stanley

11,620,677

SEK

 

1,084,544

EUR

 

(18,716)

06/17/20

Morgan Stanley

886,026

SEK

 

93,775

USD

 

(4,198)

06/17/20

Morgan Stanley

90,324

USD

 

137,353

AUD

 

6,238

06/17/20

Morgan Stanley

407,196

USD

 

622,000

AUD

 

26,416

06/17/20

Morgan Stanley

254,792

USD

 

348,379

CAD

 

9,870

 

 

Global Atlantic Goldman Sachs Core Fixed Income Portfolio

 

Portfolio of Investments (Unaudited) (Continued)

March 31, 2020

 

Forward Foreign Currency Contracts (continued)

 

Settlement Date

Counterparty

Currency Units to Receive

 

 

In Exchange For

 

 

Unrealized
Appreciation
(Depreciation)

06/17/20

Morgan Stanley

1,898,801

USD

 

2,592,184

CAD

 

$76,412

06/17/20

Morgan Stanley

810,378

USD

 

719,000

EUR

 

19,104

06/17/20

Morgan Stanley

80,382

USD

 

8,174,624

JPY

 

4,410

06/17/20

Morgan Stanley

107,004

USD

 

1,241,311

NOK

 

(11,238)

06/17/20

Morgan Stanley

164,983

USD

 

261,896

NZD

 

9,814

06/17/20

Morgan Stanley

730

USD

 

1,229

NZD

 

2

06/17/20

Morgan Stanley

1,446,606

USD

 

2,280,490

NZD

 

95,460

06/17/20

Morgan Stanley

93,555

USD

 

886,026

SEK

 

3,978

Total Net Unrealized Appreciation on Forward Foreign Currency Contracts

 

 

 

 

 

$57,231