N-Q 1 d636003dnq.htm N-Q N-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 


 

FORM N-Q

 


 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDING OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

 

Investment Company Act file number 811-03836

 


 

ANCHOR SERIES TRUST

(Exact name of registrant as specified in charter)

 


 

Harborside Financial Center,

Harborside 5, 185 Hudson Street, Suite 3300, Jersey City, N.J. 07311

(Address of principal executive offices)            (Zip code)

 


 

John T. Genoy

Senior Vice President

SunAmerica Asset Management, LLC

Harborside 5

185 Hudson Street, Suite 3300

Jersey City, NJ 07311

(Name and address of agent for service)

 

Registrant’s telephone number, including area code: (201) 324-6414

 


 

Date of fiscal year end: December 31

 

Date of reporting period: September 30, 2018

 



Item 1.   Schedule of Investments.

 


 


Anchor Series Trust SA Wellington Government and Quality Bond Portfolio

PORTFOLIO OF INVESTMENTS - September 30, 2018 - (unaudited)

 

Security Description

   Principal
Amount
     Value
(Note 1)
 

ASSET BACKED SECURITIES - 9.3%

 

Diversified Financial Services - 9.3%

 

Ajax Mtg. Loan Trust VRS
Series 2017-B, Class A
3.16% due 09/25/2056*(1)

   $ 4,910,261      $ 4,791,401  

Angel Oak Mtg. Trust I LLC VRS
Series 2018-3, Class A1
3.65% due 09/25/2048*(1)(2)

     4,692,739        4,698,235  

Angel Oak Mtg. Trust LLC VRS
Series 2017-3, Class A1
2.71% due 11/25/2047*(1)(2)

     820,524        814,833  

Apidos CLO XVI FRS
Series 2013-16A, Class A1R
3.32% (3 ML + 0.98%)
due 01/19/2025*(3)

     3,536,642        3,534,835  

Apidos CLO XXI FRS
Series 2015-21A, Class A1R
3.26% (3 ML + 0.93%)
due 07/18/2027*(3)

     3,120,000        3,115,439  

Apidos CLO XXII FRS
Series 2015-22A, Class A1
3.85% (3 ML + 1.50%)
due 10/20/2027*(3)

     3,000,000        2,999,706  

ARI Fleet Lease Trust
Series 2018-A, Class A2
2.55% due 10/15/2026*

     1,365,000        1,358,718  

ARI Fleet Lease Trust
Series 2018-B, Class A2
3.22% due 08/16/2027*

     1,535,000        1,534,960  

Bayview Koitere Fund Trust VRS
Series 2017-RT4, Class A
3.50% due 07/28/2057*(1)

     2,532,920        2,509,545  

Benefit Street Partners, Ltd. FRS
Series 2016-9A, Class AR
4.57% (3 ML + 1.11%)
due 07/20/2031*(3)

     795,000        793,747  

Canadian Pacer Auto Receivables Trust
Series 2017-1A, Class A3
2.05% due 03/19/2021*

     1,335,000        1,325,233  

Cent CLO, Ltd. FRS
Series 2013-20A, Class AR
3.44% (3 ML + 1.10%)
due 01/25/2026*(3)

     3,780,142        3,779,413  

Chesapeake Funding II LLC
Series 2017-2A, Class A1
1.99% due 05/15/2029*

     2,446,493        2,423,401  

Chesapeake Funding II LLC
Series 2017-4A, Class A1
2.12% due 11/15/2029*

     4,802,144        4,744,770  

Chesapeake Funding II LLC
Series 2018-2A, Class A1
3.23% due 08/15/2030*

     2,005,000        2,003,240  

COLT Mtg. Loan Trust VRS
Series 2018-1, Class A1
2.93% due 02/25/2048*(1)(2)

     1,464,817        1,457,088  

COLT Mtg. Loan Trust VRS
Series 2018-3, Class A1
3.69% due 10/26/2048*(1)(2)

     1,225,000        1,227,173  

COMM Mtg. Trust
Series 2012-CR2, Class A4
3.15% due 08/15/2045(4)

     1,020,000        1,010,438  

Deephaven Residential Mtg. Trust VRS
Series 2017-3A, Class A1
2.58% due 10/25/2047*(1)(2)

     927,545        919,261  

Deephaven Residential Mtg. Trust VRS
Series 2018-1A, Class A1
2.98% due 12/25/2057*(1)(2)

     1,533,515        1,522,754  

Enterprise Fleet Financing LLC
Series 2017-3, Class A2
2.13% due 05/22/2023*

     2,151,255        2,132,234  

Enterprise Fleet Financing LLC
Series 2018-1, Class A2
2.87% due 10/20/2023*

     2,015,000        2,009,814  

Finance of America Structured Securities Trust VRS
Series 2017-HB1, Class A
2.32% due 11/25/2027*(1)

     673,916        671,894  

First Investors Auto Owner Trust
Series 2017-3A, Class A1
2.00% due 03/15/2022*

     1,538,281        1,529,701  

First Investors Auto Owner Trust
Series 2017-3A, Class A2
2.41% due 12/15/2022*

     1,265,000        1,247,844  

Ford Credit Floorplan Master Owner Trust
Series 2013-2, Class A
2.09% due 03/15/2022*

     590,000        581,229  

GreatAmerica Leasing Receivables Funding LLC
Series 2018-1, Class A3
2.60% due 06/15/2021*

     1,290,000        1,278,178  

GreatAmerica Leasing Receivables Funding LLC
Series 2018-1, Class A4
2.83% due 06/17/2024*

     820,000        809,012  

Hyundai Auto Lease Securitization Trust
Series 2018-A, Class A2A
2.55% due 08/17/2020*

     4,655,000        4,648,396  

KKR CLO 15, Ltd. FRS
Series 15, Class A1A
3.89% (3 ML + 1.56%)
due 10/18/2028*(3)

     2,855,000        2,854,886  

Madison Park Funding XI, Ltd. FRS
Series 2013-11A, Class AR
3.51% (3 ML + 1.16%)
due 07/23/2029*(3)

     4,300,000        4,299,527  

Madison Park Funding XXX, Ltd. FRS
Series 2018-30A, Class A
3.09% (3 ML + 0.75%)
due 04/15/2029*(3)

     8,000,000        7,900,392  

Magnetite VII, Ltd. FRS
Series 2012-7A, Class A1R2
3.14% (3 ML + 0.80%)
due 01/15/2028*(3)

     5,535,000        5,491,351  

Master Credit Card Trust FRS
Series 2017-3, Class A
2.67% (1 ML + 0.49%)
due 07/22/2024*

     4,730,000        4,736,107  


MetLife Securitization Trust VRS
Series 2017-1A, Class A
3.00% due 04/25/2055*(1)(2)

     1,573,225        1,528,078  

Mill City Mtg. Loan Trust VRS
Series 2016-1, Class A1
2.50% due 04/25/2057*(1)

     663,205        647,592  

Mill City Mtg. Loan Trust VRS
Series 2017-3, Class A1
2.75% due 01/25/2061*(1)

     1,856,510        1,813,268  

MMAF Equipment Finance LLC
Series 2017-B, Class A3
2.21% due 10/17/2022*

     1,835,000        1,804,254  

Nationstar HECM Loan Trust VRS
Series 2017-2A, Class A1
2.04% due 09/25/2027*(1)

     496,861        493,290  

Nationstar HECM Loan Trust VRS
Series 2018-1A, Class A
2.76% due 02/25/2028*(1)

     900,676        900,559  

OneMain Direct Auto Receivables Trust
Series 2017-2A, Class A
2.31% due 12/14/2021*

     1,960,000        1,949,507  

OneMain Direct Auto Receivables Trust
Series 2018-1A, Class A
3.43% due 12/16/2024*

     3,815,000        3,809,516  

Securitized Term Auto Receivables Trust
Series 2016-1A, Class A3
1.52% due 03/25/2020*

     1,502,686        1,496,763  

Securitized Term Auto Receivables Trust
Series 2017-2A, Class A3
2.04% due 04/26/2021*

     1,130,000        1,116,063  

SFAVE Commercial Mtg. Securities Trust VRS
Series 2015-5AVE, Class A2B
4.14% due 01/05/2043*(1)(4)

     2,340,000        2,217,633  

Sofi Consumer Loan Program Trust
Series 2018-2, Class A1
2.93% due 04/26/2027*

     1,835,397        1,831,492  

Sound Point CLO III-R, Ltd. FRS
Series 2013-2RA, Class A1
3.30% (3 ML + 0.95%)
due 04/15/2029*(3)

     4,700,000        4,670,611  

Sound Point CLO XII, Ltd. FRS
Series 2016-2A, Class A
4.01% (3 ML + 1.66%)
due 10/20/2028*(3)

     2,865,000        2,864,476  

Springleaf Funding Trust
Series 2015-AA, Class A
3.16% due 11/15/2024*

     1,028,704        1,028,744  

Springleaf Funding Trust
Series 2015-BA, Class A
3.48% due 05/15/2028*

     1,070,000        1,068,119  

Thacher Park CLO, Ltd. FRS
Series 2014-1A, Class AR
3.51% (3 ML + 1.16%)
due 10/20/2026*(3)

     5,100,000        5,099,118  

Towd Point Mtg. Trust VRS
Series 2016-3, Class A1
2.25% due 04/25/2056*(1)

     1,509,595        1,472,796  

Towd Point Mtg. Trust VRS
Series 2017-4, Class A1
2.75% due 06/25/2057*(1)

     2,731,047        2,654,236  

Towd Point Mtg. Trust VRS
Series 2018-1, Class A1
3.00% due 01/25/2058*(1)

     1,388,501        1,362,216  

Utility Debt Securitization Authority
Series 2013-T, Class T4
3.44% due 12/15/2025

     1,695,000        1,695,254  

Vantage Data Centers Issuer LLC
Series 2018-1A, Class A2
4.07% due 02/16/2043*

     1,675,171        1,676,141  

Voya CLO, Ltd. FRS
Series 2014-4A, Class A1RA
3.44% (3 ML + 1.10%)
due 07/14/2031*(3)

     7,240,000        7,236,315  

Westlake Automobile Receivables Trust
Series 2018-1A, Class A2A
2.24% due 12/15/2020*

     3,853,664        3,841,546  
     

 

 

 

Total Asset Backed Securities

(cost $142,210,259)

        141,032,342  
     

 

 

 

U.S. CORPORATE BONDS & NOTES - 15.5%

 

Aerospace/Defense - 0.3%

 

General Dynamics Corp.
Company Guar. Notes
2.88% due 05/11/2020

     4,850,000        4,838,283  
     

 

 

 

Airlines - 0.1%

 

Southwest Airlines Co. Pass Through Trust
Pass-Through Certs.
Series 2007-1, Class A
6.15% due 02/01/2024

     1,430,822        1,507,457  
     

 

 

 

Applications Software - 0.2%

 

Microsoft Corp.
Senior Notes
2.40% due 08/08/2026

     4,015,000        3,702,047  
     

 

 

 

Auto-Cars/Light Trucks - 0.5%

 

Daimler Finance North America LLC
Company Guar. Notes
2.25% due 07/31/2019*

     190,000        188,957  

Daimler Finance North America LLC
Company Guar. Notes
2.30% due 02/12/2021*

     2,910,000        2,834,108  

Daimler Finance North America LLC
Company Guar. Notes
3.88% due 09/15/2021*

     210,000        211,732  

Toyota Motor Credit Corp.
Senior Notes
1.90% due 04/08/2021

     3,680,000        3,565,005  


Volkswagen Group of America Finance LLC
Company Guar. Notes
2.45% due 11/20/2019*

     795,000        787,580  
     

 

 

 
        7,587,382  
     

 

 

 

Banks-Commercial - 0.4%

 

BB&T Corp.
Senior Notes
3.20% due 09/03/2021

     3,580,000        3,558,797  

Fifth Third Bank
Senior Notes
2.88% due 10/01/2021

     450,000        442,367  

PNC Bank NA
Senior Notes
2.60% due 07/21/2020

     2,150,000        2,134,597  

PNC Bank NA
Senior Notes
3.30% due 10/30/2024

     865,000        843,219  
     

 

 

 
        6,978,980  
     

 

 

 

Banks-Fiduciary - 0.5%

 

Bank of New York Mellon Corp.
Senior Notes
2.15% due 02/24/2020

     2,790,000        2,758,924  

Bank of New York Mellon Corp.
Senior Notes
2.20% due 08/16/2023

     4,250,000        3,990,592  

State Street Corp.
Senior Notes
2.65% due 05/15/2023

     1,495,000        1,447,644  
     

 

 

 
        8,197,160  
     

 

 

 

Banks-Super Regional - 1.0%

 

Huntington National Bank
Senior Notes
2.20% due 04/01/2019

     1,050,000        1,047,586  

US Bancorp
Sub. Notes
7.50% due 06/01/2026

     400,000        482,814  

Wells Fargo & Co.
Senior Notes
2.50% due 03/04/2021

     3,000,000        2,938,175  

Wells Fargo & Co.
Senior Notes
3.00% due 10/23/2026

     1,780,000        1,651,750  

Wells Fargo & Co.
Senior Notes
3.07% due 01/24/2023

     735,000        717,376  

Wells Fargo & Co.
Sub. Notes
3.45% due 02/13/2023

     2,770,000        2,720,937  

Wells Fargo & Co.
Sub. Notes
4.65% due 11/04/2044

     585,000        569,416  

Wells Fargo Bank NA
Senior Notes
2.15% due 12/06/2019

     5,000,000        4,951,900  
     

 

 

 
        15,079,954  
     

 

 

 

Brewery - 0.8%

 

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
3.30% due 02/01/2023

     5,100,000        5,042,187  

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
3.65% due 02/01/2026

     3,275,000        3,182,304  

Anheuser-Busch InBev Worldwide, Inc.
Company Guar. Notes
2.50% due 07/15/2022

     1,640,000        1,583,482  

Anheuser-Busch InBev Worldwide, Inc.
Company Guar. Notes
3.50% due 01/12/2024

     2,040,000        2,018,765  

Anheuser-Busch InBev Worldwide, Inc.
Company Guar. Notes
4.38% due 04/15/2038

     400,000        384,923  
     

 

 

 
        12,211,661  
     

 

 

 

Cable/Satellite TV - 0.3%

 

Comcast Corp.
Company Guar. Notes
3.00% due 02/01/2024

     2,695,000        2,598,877  

Comcast Corp.
Company Guar. Notes
3.97% due 11/01/2047

     674,000        601,549  

Comcast Corp.
Company Guar. Notes
4.25% due 01/15/2033

     200,000        196,063  

Comcast Corp.
Company Guar. Notes
4.75% due 03/01/2044

     939,000        936,555  
     

 

 

 
        4,333,044  
     

 

 

 

Cellular Telecom - 0.2%

 

Crown Castle Towers LLC
Senior Sec. Notes
3.22% due 05/15/2042*

     3,550,000        3,472,752  
     

 

 

 

Computers - 0.2%

 

Apple, Inc.
Senior Notes
3.25% due 02/23/2026

     1,050,000        1,026,324  

Apple, Inc.
Senior Notes
3.45% due 05/06/2024

     1,815,000        1,815,875  
     

 

 

 
        2,842,199  
     

 

 

 

Diversified Banking Institutions - 1.9%

 

Bank of America Corp.
Senior Notes
3.00% due 12/20/2023

     1,547,000        1,501,263  

Bank of America Corp.
Senior Notes
3.59% due 07/21/2028

     2,245,000        2,140,392  

Bank of America Corp.
Senior Notes
4.13% due 01/22/2024

     2,200,000        2,235,132  


Citigroup, Inc.
Senior Notes
3.30% due 04/27/2025

     3,000,000        2,881,500  

Citigroup, Inc.
Senior Notes
3.52% due 10/27/2028

     535,000        503,035  

Goldman Sachs Group, Inc.
Senior Notes
3.27% due 09/29/2025

     2,075,000        1,982,665  

Goldman Sachs Group, Inc.
Senior Notes
3.81% due 04/23/2029

     2,565,000        2,446,779  

Goldman Sachs Group, Inc.
Senior Notes
4.80% due 07/08/2044

     1,155,000        1,178,749  

JPMorgan Chase & Co.
Senior Notes
4.95% due 03/25/2020

     2,000,000        2,052,104  

JPMorgan Chase & Co.
Senior Notes
5.40% due 01/06/2042

     1,080,000        1,214,187  

Morgan Stanley
Senior Notes
3.63% due 01/20/2027

     4,200,000        4,033,147  

Morgan Stanley
Senior Notes
3.88% due 04/29/2024

     6,125,000        6,097,166  
     

 

 

 
        28,266,119  
     

 

 

 

E-Commerce/Products - 0.3%

 

Amazon.com, Inc.
Senior Notes
2.80% due 08/22/2024

     1,250,000        1,206,027  

Amazon.com, Inc.
Senior Notes
4.80% due 12/05/2034

     3,000,000        3,272,726  
     

 

 

 
        4,478,753  
     

 

 

 

Electric-Distribution - 0.3%

 

Entergy Louisiana LLC
Collateral Trust Bonds
3.12% due 09/01/2027

     1,675,000        1,579,028  

Oglethorpe Power Corp.
1st. Mtg. Notes
5.25% due 09/01/2050

     3,200,000        3,409,740  
     

 

 

 
        4,988,768  
     

 

 

 

Electric-Integrated - 1.9%

 

Consolidated Edison Co. of New York, Inc.
Senior Notes
4.63% due 12/01/2054

     565,000        574,734  

Duke Energy Carolinas LLC
1st Mtg. Bonds
6.05% due 04/15/2038

     2,000,000        2,456,191  

Duke Energy Carolinas LLC
Senior Notes
6.10% due 06/01/2037

     1,825,000        2,212,370  

Florida Power & Light Co.
1st Mtg. Notes
4.05% due 10/01/2044

     2,000,000        1,988,876  

Georgia Power Co.
Senior Notes
4.30% due 03/15/2042

     265,000        251,659  

Georgia Power Co.
Senior Notes
4.75% due 09/01/2040

     625,000        629,151  

MidAmerican Energy Co.
1st Mtg. Bonds
4.25% due 05/01/2046

     375,000        377,189  

Pacific Gas & Electric Co.
Senior Notes
3.95% due 12/01/2047

     100,000        86,926  

Pacific Gas & Electric Co.
Senior Notes
4.30% due 03/15/2045

     106,000        97,020  

Pacific Gas & Electric Co.
Senior Notes
4.75% due 02/15/2044

     105,000        102,184  

Pacific Gas & Electric Co.
Senior Notes
5.13% due 11/15/2043

     695,000        712,690  

Pacific Gas & Electric Co.
Senior Notes
5.40% due 01/15/2040

     3,390,000        3,620,370  

Pacific Gas & Electric Co.
Senior Notes
5.80% due 03/01/2037

     2,662,000        2,969,439  

Pacific Gas & Electric Co.
Senior Notes
6.05% due 03/01/2034

     605,000        687,669  

Pacific Gas & Electric Co.
Senior Notes
6.25% due 03/01/2039

     825,000        950,935  

Pacific Gas & Electric Co.
Senior Notes
6.35% due 02/15/2038

     125,000        146,129  

South Carolina Electric & Gas Co.
1st Mtg. Notes
4.35% due 02/01/2042

     750,000        717,405  

South Carolina Electric & Gas Co.
1st Mtg. Notes
4.60% due 06/15/2043

     265,000        263,039  

South Carolina Electric & Gas Co.
1st Mtg. Bonds
5.10% due 06/01/2065

     176,000        176,280  

South Carolina Electric & Gas Co.
1st Mtg. Bonds
5.45% due 02/01/2041

     1,195,000        1,283,430  

South Carolina Electric & Gas Co.
1st Mtg. Bonds
6.05% due 01/15/2038

     2,400,000        2,713,244  

Southern California Edison Co.
1st Mtg. Notes
2.40% due 02/01/2022

     885,000        853,086  

Southern California Edison Co.
1st Mtg. Notes
3.70% due 08/01/2025

     430,000        427,199  


Southern California Edison Co.
Senior Notes
6.65% due 04/01/2029

     2,080,000        2,439,345  

Virginia Electric & Power Co.
Senior Notes
3.50% due 03/15/2027

     2,735,000        2,671,085  
     

 

 

 
        29,407,645  
     

 

 

 

Enterprise Software/Service - 0.3%

 

Oracle Corp.
Senior Notes
2.40% due 09/15/2023

     5,040,000        4,808,785  
     

 

 

 

Finance-Commercial - 0.5%

 

Private Export Funding Corp.
Government Guar. Notes
3.25% due 06/15/2025

     7,050,000        7,017,034  
     

 

 

 

Gas-Distribution - 0.5%

 

Boston Gas Co.
Senior Notes
3.15% due 08/01/2027*

     655,000        618,201  

Dominion Gas Holdings LLC
Senior Notes
4.60% due 12/15/2044

     1,000,000        982,218  

KeySpan Gas East Corp.
Notes
2.74% due 08/15/2026*

     3,525,000        3,244,004  

Southern California Gas Co.
1st Mtg. Notes
2.60% due 06/15/2026

     3,610,000        3,320,770  
     

 

 

 
        8,165,193  
     

 

 

 

Insurance-Life/Health - 0.4%

 

John Hancock Life Insurance Co.
Sub. Notes
7.38% due 02/15/2024*

     5,000,000        5,759,732  
     

 

 

 

Insurance-Multi-line - 0.6%

 

Guardian Life Global Funding
Senior Sec. Notes
2.00% due 04/26/2021*

     1,140,000        1,103,552  

Metropolitan Life Global Funding I
Sec. Notes
1.95% due 09/15/2021*

     6,000,000        5,747,682  

Metropolitan Life Global Funding I
Sec. Notes
2.65% due 04/08/2022*

     965,000        938,909  

Metropolitan Life Global Funding I
Sec. Notes
3.45% due 12/18/2026*

     1,330,000        1,299,537  
     

 

 

 
        9,089,680  
     

 

 

 

Insurance-Mutual - 0.3%

 

New York Life Global Funding
Sec. Notes
2.90% due 01/17/2024*

     4,655,000        4,502,364  

Northwestern Mutual Life Insurance Co.
Sub. Notes
3.85% due 09/30/2047*

     1,000,000        916,485  
     

 

 

 
        5,418,849  
     

 

 

 

Insurance-Property/Casualty - 0.1%

 

Berkshire Hathaway, Inc.
Senior Notes
2.75% due 03/15/2023

     1,000,000        976,650  
     

 

 

 

Medical Instruments - 0.2%

 

Medtronic, Inc.
Company Guar. Notes
3.15% due 03/15/2022

     1,065,000        1,057,770  

Medtronic, Inc.
Company Guar. Notes
3.50% due 03/15/2025

     1,700,000        1,685,864  

Medtronic, Inc.
Company Guar. Notes
3.63% due 03/15/2024

     425,000        427,051  
     

 

 

 
        3,170,685  
     

 

 

 

Medical Labs & Testing Services - 0.5%

 

Roche Holdings, Inc.
Company Guar. Notes
2.38% due 01/28/2027*

     5,080,000        4,612,456  

Roche Holdings, Inc.
Company Guar. Notes
2.88% due 09/29/2021*

     2,775,000        2,749,030  
     

 

 

 
        7,361,486  
     

 

 

 

Medical-Drugs - 0.7%

 

Bayer US Finance LLC
Company Guar. Notes
2.38% due 10/08/2019*

     355,000        352,645  

Bayer US Finance LLC
Company Guar. Notes
3.00% due 10/08/2021*

     1,700,000        1,669,314  

Merck & Co., Inc.
Senior Notes
2.75% due 02/10/2025

     2,680,000        2,572,612  

Merck & Co., Inc.
Senior Notes
2.80% due 05/18/2023

     1,880,000        1,841,781  

Novartis Capital Corp.
Company Guar. Notes
3.40% due 05/06/2024

     3,700,000        3,705,049  
     

 

 

 
        10,141,401  
     

 

 

 

Medical-HMO - 0.3%

 

Kaiser Foundation Hospitals
Company Guar. Notes
3.50% due 04/01/2022

     461,000        461,898  

UnitedHealth Group, Inc.
Senior Notes
3.35% due 07/15/2022

     1,360,000        1,358,107  

UnitedHealth Group, Inc.
Senior Notes
3.75% due 07/15/2025

     1,165,000        1,170,540  


UnitedHealth Group, Inc.
Senior Notes
3.85% due 06/15/2028

     1,000,000        1,002,459  
     

 

 

 
        3,993,004  
     

 

 

 

Medical-Hospitals - 0.4%

 

Ascension Health
Notes
4.85% due 11/15/2053

     125,000        137,413  

Dignity Health
Sec. Notes
2.64% due 11/01/2019

     260,000        258,380  

Dignity Health
Sec. Notes
3.81% due 11/01/2024

     1,242,000        1,227,399  

Memorial Sloan-Kettering Cancer Center
Senior Notes
4.20% due 07/01/2055

     435,000        435,583  

Mercy Health
Sec. Notes
3.56% due 08/01/2027

     2,700,000        2,593,369  

Providence St Joseph Health Obligated Group
Notes
3.93% due 10/01/2048

     960,000        895,021  

Stanford Health Care
Notes
3.80% due 11/15/2048

     410,000        388,037  
     

 

 

 
        5,935,202  
     

 

 

 

Multimedia - 0.1%

 

NBCUniversal Media LLC
Company Guar. Notes
4.45% due 01/15/2043

     826,000        788,327  
     

 

 

 

Property Trust - 0.3%

 

WEA Finance LLC
Company Guar. Notes
4.13% due 09/20/2028*

     4,220,000        4,181,739  
     

 

 

 

Real Estate Investment Trusts - 0.3%

 

SBA Tower Trust
Mtg. Notes
3.16% due 10/10/2045*

     3,665,000        3,637,512  

SBA Tower Trust
Mtg. Notes
3.45% due 03/15/2048*

     1,495,000        1,473,295  
     

 

 

 
        5,110,807  
     

 

 

 

Schools - 0.4%

 

Stanford University
Notes
6.88% due 02/01/2024

     5,000,000        5,845,290  
     

 

 

 

Special Purpose Entity - 0.1%

 

Postal Square LP
Government Guar. Notes
8.95% due 06/15/2022

     1,592,500        1,767,844  
     

 

 

 

Transport-Services - 0.5%

 

Federal Express Corp.
Pass-Through Certs.
Series 981A, Class A
6.72% due 07/15/2023

     1,597,210        1,669,085  

United Parcel Service of America, Inc.
Senior Notes
8.38% due 04/01/2020

     5,000,000        5,375,555  
     

 

 

 
        7,044,640  
     

 

 

 

Water - 0.1%

 

American Water Capital Corp.
Senior Notes
2.95% due 09/01/2027

     1,250,000        1,169,616  
     

 

 

 

Total U.S. Corporate Bonds & Notes

(cost $239,236,236)

        235,638,168  
     

 

 

 

FOREIGN CORPORATE BONDS & NOTES - 11.3%

 

Banks-Commercial - 6.3%

 

Bank of Montreal
Senior Notes
2.38% due 01/25/2019

     3,500,000        3,497,433  

Bank of Montreal
Notes
2.50% due 01/11/2022*

     4,000,000        3,904,560  

Banque Federative du Credit Mutuel SA
Senior Notes
2.75% due 10/15/2020*

     4,300,000        4,238,513  

BPCE SA
Sub. Notes
5.70% due 10/22/2023*

     10,075,000        10,500,387  

Canadian Imperial Bank of Commerce FRS
Senior Notes
3.05% (3 ML + 0.72%)
due 06/16/2022

     2,845,000        2,866,597  

Canadian Imperial Bank of Commerce
Notes
3.15% due 06/27/2021*

     12,200,000        12,160,768  

Credit Suisse AG
Senior Notes
3.00% due 10/29/2021

     860,000        847,934  

Credit Suisse AG
Senior Notes
3.63% due 09/09/2024

     1,200,000        1,182,696  

Danske Bank A/S
Senior Notes
3.88% due 09/12/2023*

     1,350,000        1,322,236  

DNB Bank ASA
Senior Notes
2.38% due 06/02/2021*

     5,800,000        5,622,911  

DNB Boligkreditt AS
Bonds
2.50% due 03/28/2022*

     1,780,000        1,727,333  

ING Groep NV
Senior Notes
3.95% due 03/29/2027

     2,045,000        1,962,860  

Macquarie Bank, Ltd.
Senior Notes
2.40% due 01/21/2020*

     635,000        627,231  


National Australia Bank, Ltd.
Bonds
2.40% due 12/07/2021*

     8,200,000        7,957,278  

NBK SPC, Ltd.
Company Guar. Notes
2.75% due 05/30/2022*

     9,345,000        8,994,563  

Nordea Bank AB FRS
Senior Notes
3.01% (3 ML + 0.62%)
due 09/30/2019*

     8,000,000        8,038,474  

Royal Bank of Canada
Senior Notes
2.50% due 01/19/2021

     5,100,000        5,016,763  

Santander UK PLC
Senior Notes
2.50% due 03/14/2019

     3,600,000        3,598,053  

Svenska Handelsbanken AB
Senior Notes
5.13% due 03/30/2020*

     3,000,000        3,082,294  

Swedbank AB
Senior Notes
2.65% due 03/10/2021*

     5,000,000        4,904,075  

Toronto-Dominion Bank
Notes
2.50% due 01/18/2023*

     4,000,000        3,892,031  
     

 

 

 
        95,944,990  
     

 

 

 

Cellular Telecom - 0.0%

 

America Movil SAB de CV
Senior Notes
3.13% due 07/16/2022

     635,000        621,786  
     

 

 

 

Diversified Banking Institutions - 2.3%

 

Bank of Nova Scotia
Senior Notes
2.05% due 10/30/2018

     3,000,000        2,999,357  

Bank of Nova Scotia
Senior Notes
2.45% due 03/22/2021

     2,145,000        2,100,444  

BNP Paribas SA
Senior Notes
2.95% due 05/23/2022*

     390,000        377,547  

BNP Paribas SA
Senior Notes
3.38% due 01/09/2025*

     2,025,000        1,916,980  

BNP Paribas SA
Senior Notes
3.50% due 11/16/2027*

     2,000,000        1,841,675  

Credit Agricole SA
Senior Notes
3.25% due 10/04/2024*

     2,940,000        2,755,244  

Credit Agricole SA
Senior Notes
3.75% due 04/24/2023*

     1,175,000        1,153,103  

Credit Suisse Group AG FRS
Senior Notes
3.57% (3 ML + 1.24%)
due 06/12/2024*

     3,725,000        3,746,046  

Credit Suisse Group AG
Senior Bonds
3.87% due 01/12/2029*

     1,155,000        1,086,078  

HSBC Holdings PLC
Senior Notes
3.40% due 03/08/2021

     1,650,000        1,646,786  

HSBC Holdings PLC
Senior Notes
3.60% due 05/25/2023

     7,310,000        7,237,293  

HSBC Holdings PLC
Senior Notes
4.00% due 03/30/2022

     1,160,000        1,174,191  

Macquarie Group, Ltd.
Senior Notes
4.15% due 03/27/2024*

     4,745,000        4,725,029  

Societe Generale SA
Senior Notes
3.25% due 01/12/2022*

     1,955,000        1,909,489  
     

 

 

 
        34,669,262  
     

 

 

 

Diversified Manufacturing Operations - 0.3%

 

Siemens Financieringsmaatschappij NV
Company Guar. Notes
3.13% due 03/16/2024*

     4,485,000        4,362,356  
     

 

 

 

E-Commerce/Products - 0.4%

 

Alibaba Group Holding, Ltd.
Senior Notes
2.50% due 11/28/2019

     490,000        487,451  

Alibaba Group Holding, Ltd.
Senior Notes
3.40% due 12/06/2027

     3,400,000        3,169,121  

Alibaba Group Holding, Ltd.
Senior Notes
3.60% due 11/28/2024

     2,110,000        2,074,692  
     

 

 

 
        5,731,264  
     

 

 

 

Electric-Distribution - 0.5%

 

State Grid Overseas Investment, Ltd.
Company Guar. Notes
2.75% due 05/07/2019*

     2,000,000        1,993,416  

State Grid Overseas Investment, Ltd.
Company Guar. Notes
2.75% due 05/04/2022*

     3,015,000        2,914,853  

State Grid Overseas Investment, Ltd.
Company Guar. Notes
3.50% due 05/04/2027*

     2,760,000        2,629,495  
     

 

 

 
        7,537,764  
     

 

 

 

Internet Application Software - 0.1%

 

Tencent Holdings, Ltd.
Senior Notes
3.60% due 01/19/2028*

     2,240,000        2,120,188  
     

 

 

 

Investment Management/Advisor Services - 0.2%

 

CDP Financial, Inc.
Company Guar. Notes
4.40% due 11/25/2019*

     2,900,000        2,947,802  
     

 

 

 


Oil Companies-Exploration & Production - 0.6%

 

BG Energy Capital PLC
Company Guar. Notes
4.00% due 10/15/2021*

     670,000        679,339  

Sinopec Group Overseas Development, Ltd.
Company Guar. Notes
2.50% due 04/28/2020*

     5,660,000        5,568,197  

Sinopec Group Overseas Development, Ltd.
Company Guar. Notes
3.00% due 04/12/2022*

     3,020,000        2,932,785  
     

 

 

 
        9,180,321  
     

 

 

 

Oil Companies-Integrated - 0.4%

 

BP Capital Markets PLC
Company Guar. Notes
4.74% due 03/11/2021

     1,100,000        1,136,918  

Shell International Finance BV
Company Guar. Notes
3.25% due 05/11/2025

     1,000,000        978,193  

Statoil ASA
Company Guar. Notes
2.25% due 11/08/2019

     325,000        322,736  

Statoil ASA
Company Guar. Notes
2.45% due 01/17/2023

     211,000        203,256  

Statoil ASA
Company Guar. Notes
2.75% due 11/10/2021

     475,000        468,597  

Statoil ASA
Company Guar. Notes
2.90% due 11/08/2020

     2,250,000        2,237,298  
     

 

 

 
        5,346,998  
     

 

 

 

Real Estate Investment Trusts - 0.2%

 

Scentre Group Trust 1/Scentre Group Trust 2
Company Guar. Notes
2.38% due 11/05/2019*

     2,390,000        2,363,970  
     

 

 

 

Total Foreign Corporate Bonds & Notes

(cost $174,051,729)

        170,826,701  
     

 

 

 

FOREIGN GOVERNMENT OBLIGATIONS - 2.2%

 

Banks-Export/Import - 0.2%

 

Japan Bank for International Cooperation
Government Guar. Notes
2.25% due 02/24/2020

     2,776,000        2,747,542  
     

 

 

 

Electric-Distribution - 0.2%

 

Hydro-Quebec
Government Guar. Notes
Series HY
8.40% due 01/15/2022

     3,000,000        3,433,361  
     

 

 

 

Sovereign - 1.8%

 

Kingdom of Saudi Arabia
Senior Notes
2.38% due 10/26/2021*

     1,775,000        1,712,875  

Kingdom of Saudi Arabia
Senior Notes
2.88% due 03/04/2023*

     3,440,000        3,322,352  

Kingdom of Saudi Arabia
Senior Notes
4.00% due 04/17/2025*

     1,690,000        1,690,845  

State of Qatar
Senior Bonds
2.38% due 06/02/2021*

     11,060,000        10,750,984  

State of Qatar
Senior Notes
3.88% due 04/23/2023*

     3,335,000        3,358,345  

State of Qatar
Senior Notes
5.10% due 04/23/2048*

     1,380,000        1,435,200  

State of Qatar
Senior Notes
5.25% due 01/20/2020*

     4,540,000        4,657,404  
     

 

 

 
        26,928,005  
     

 

 

 

Total Foreign Government Obligations

(cost $32,770,539)

        33,108,908  
     

 

 

 

MUNICIPAL BONDS & NOTES - 2.7%

 

Atlanta Downtown Development Authority
Revenue Bonds
6.88% due 02/01/2021

     1,975,000        2,073,355  

Bay Area Toll Authority
Revenue Bonds
Series S-1
7.04% due 04/01/2050

     1,475,000        2,160,772  

Chicago Transit Authority
Revenue Bonds
Series B
6.30% due 12/01/2021

     220,000        229,819  

Chicago Transit Authority
Revenue Bonds
Series A
6.90% due 12/01/2040

     3,585,000        4,556,965  

Chicago Transit Authority
Revenue Bonds
Series B
6.90% due 12/01/2040

     145,000        184,312  

Kansas Development Finance Authority
Revenue Bonds
Series H
4.93% due 04/15/2045

     2,350,000        2,524,346  

Kansas Development Finance Authority
Revenue Bonds
Series C
5.37% due 05/01/2026

     1,020,000        1,080,812  

Maryland State Transportation Authority
Revenue Bonds
5.89% due 07/01/2043

     1,245,000        1,546,738  


Municipal Electric Authority of Georgia
Revenue Bonds
6.64% due 04/01/2057

     1,474,000        1,738,701  

Municipal Electric Authority of Georgia
Revenue Bonds
6.66% due 04/01/2057

     320,000        378,739  

North Texas Tollway Authority
Revenue Bonds
Series B
6.72% due 01/01/2049

     2,150,000        3,021,739  

Oregon School Boards Association
General Obligation Bonds
4.76% due 06/30/2028

     2,800,000        2,956,408  

Port Authority of New York & New Jersey
Revenue Bonds
Series 192
4.81% due 10/15/2065

     1,255,000        1,369,770  

San Antonio, Texas Electric & Gas
Revenue Bonds
5.99% due 02/01/2039

     885,000        1,124,800  

San Jose Redevelopment Agency Successor Agency
Tax Allocation
Series A-T
3.38% due 08/01/2034

     1,215,000        1,125,418  

State of Connecticut
General Obligation Bonds
2.99% due 01/15/2023

     4,275,000        4,150,683  

State of California
General Obligation Bonds
7.35% due 11/01/2039

     2,830,000        3,974,424  

State of California
General Obligation Bonds
7.55% due 04/01/2039

     250,000        364,895  

State of Wisconsin
Revenue Bonds
Series A
5.70% due 05/01/2026

     2,500,000        2,738,600  

University of California
Revenue Bonds
5.77% due 05/15/2043

     1,925,000        2,332,272  

University of California
Revenue Bonds
Series F
6.58% due 05/15/2049

     1,405,000        1,841,885  
     

 

 

 

Total Municipal Bonds & Notes

(cost $38,914,383)

        41,475,453  
     

 

 

 

U.S. GOVERNMENT AGENCIES - 34.6%

 

Federal Home Loan Mtg. Corp. - 18.6%

 

2.50% due 10/01/2031

     6,708,269        6,471,099  

3.00% due 06/01/2046

     9,859,928        9,450,707  

3.00% due 09/01/2046

     31,319,798        30,019,903  

3.00% due 10/01/2046

     2,288,015        2,193,053  

3.00% due 11/01/2046

     33,850,926        32,451,250  

3.00% due 12/01/2046

     54,506,425        52,245,619  

3.00% due 01/01/2047

     436,284        418,099  

3.00% due 02/01/2047

     2,502,009        2,397,923  

3.00% due October 15 TBA

     17,300,000        17,041,922  

3.50% due 08/01/2047

     29,078,777        28,645,037  

3.50% due 10/01/2047

     21,097,422        20,781,097  

3.50% due 08/01/2048

     32,547,489        32,054,936  

3.50% due October 15 TBA

     3,000,000        3,013,100  

3.50% due October 30 TBA

     21,500,000        21,160,704  

4.00% due 09/01/2026

     696,009        712,905  

4.00% due 12/01/2040

     4,948,914        5,041,288  

5.50% due October 30 TBA

     2,000,000        2,131,094  

6.00% due 12/01/2039

     255,403        278,361  

7.50% due 05/01/2027

     895        996  

Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust VRS

 

Series 2013-K713, Class B

3.26% due 04/25/2046*(1)(4)

     485,000        483,510  

Series 2013-K712, Class B

3.47% due 05/25/2045*(1)(4)

     780,000        779,852  

Series 2010-K7, Class B

5.69% due 04/25/2020*(1)(4)

     1,115,000        1,147,253  

Federal Home Loan Mtg. Corp. REMIC

 

Series 4654, Class KA

3.00% due 06/15/2045(2)

     8,120,631        7,952,276  

Series 4758, Class CA

3.00% due 07/15/2047(2)

     5,408,349        5,265,859  
     

 

 

 
        282,137,843  
     

 

 

 

Federal National Mtg. Assoc. - 12.7%

 

2.00% due 09/01/2031

     425,648        399,280  

2.00% due 11/01/2031

     494,911        464,260  

2.00% due 12/01/2031

     1,536,640        1,441,491  

2.47% due 05/01/2025

     3,359,567        3,193,199  

2.50% due 03/01/2030

     6,322,479        6,114,165  

2.50% due October 30 TBA

     1,800,000        1,666,055  

2.68% due 05/01/2025

     6,000,000        5,757,746  

2.81% due 07/01/2025

     6,000,000        5,798,454  

2.98% due 07/01/2022

     6,857,228        6,793,014  

2.99% due 10/01/2025

     2,116,321        2,064,593  

3.00% due 05/01/2027

     616,766        612,882  

3.00% due 06/01/2027

     295,117        293,258  

3.00% due 08/01/2027

     198,778        197,434  

3.00% due 10/01/2046

     22,668,281        21,730,480  

3.00% due October 15 TBA

     2,000,000        1,975,189  

3.01% due 12/01/2024

     3,741,101        3,666,559  

3.09% due 10/01/2025

     1,020,385        1,001,785  

3.12% due 05/01/2033

     2,741,922        2,626,141  

3.33% due 07/01/2022

     5,294,000        5,331,523  

3.50% due 11/01/2047

     6,282,896        6,186,276  

3.50% due October 15 TBA

     7,350,000        7,387,037  

3.50% due October 30 TBA

     10,819,000        10,646,209  


4.00% due 01/01/2046

     8,135,871        8,226,347  

4.00% due 02/01/2046

     8,760,434        8,857,798  

4.00% due 09/01/2026

     4,924,411        5,030,939  

4.00% due October 30 TBA

     9,000,000        9,087,890  

4.50% due 11/01/2026

     832,031        862,582  

4.50% due 01/01/2027

     707,946        729,230  

4.50% due 05/01/2039

     37,003        38,534  

4.50% due 06/01/2039

     66,024        68,132  

4.50% due 08/01/2039

     9,348        9,735  

4.50% due 11/01/2040

     742,602        766,326  

4.50% due 12/01/2040

     257,408        267,646  

4.50% due 07/01/2041

     414,478        430,728  

4.50% due 06/01/2043

     221,167        229,058  

4.50% due 10/01/2043

     213,958        220,805  

4.50% due 11/01/2043

     73,760        76,115  

5.00% due October 30 TBA

     24,000,000        25,192,637  

5.50% due 03/01/2038

     560,352        600,312  

5.50% due 06/01/2038

     35,721        38,351  

5.50% due 08/01/2038

     39,631        42,585  

5.50% due 09/01/2039

     20,588        22,113  

5.50% due 05/01/2040

     1,913        2,042  

5.50% due 06/01/2040

     10,153        11,000  

5.50% due October 30 TBA

     11,700,000        12,485,180  

6.50% due 02/01/2038

     60,981        67,571  

6.50% due 10/01/2039

     67,761        75,079  

Federal National Mtg. Assoc. REMIC

 

Series 2018-80, Class GD

3.50% due 12/25/2047(2)

     4,098,000        4,062,812  

Series 2018-77, Class PA

3.50% due 02/25/2048(2)

     6,789,000        6,752,824  

Federal National Mtg. Assoc. REMIC FRS

 

Series 2017-M13, Class FA

2.47% (1 ML + 0.40%)

due 10/25/2024(4)

     2,009,923        2,007,610  

Series 2017-M5, Class FA

2.56% (1 ML + 0.49%)

due 04/25/2024(4)

     799,678        802,187  

Federal National Mtg. Assoc. REMIC VRS

     

Series 2015-M12, Class A2

2.89% due 05/25/2025(1)(4)

     10,285,000        9,947,395  
     

 

 

 
        192,358,593  
     

 

 

 

Government National Mtg. Assoc. - 3.1%

 

4.00% due 02/15/2041

     968,935        991,509  

4.00% due 09/15/2041

     766,229        784,287  

4.00% due 02/15/2042

     9,229        9,390  

4.00% due 08/15/2042

     143,642        147,176  

4.00% due October 30 TBA

     25,650,000        26,085,850  

4.50% due 05/15/2040

     542,596        566,316  

4.50% due 06/15/2040

     643,087        670,204  

4.50% due 07/15/2040

     1,190,196        1,241,824  

4.50% due 05/15/2042

     162,689        169,579  

4.50% due October 30 TBA

     3,025,000        3,126,048  

5.00% due 07/15/2033

     1,033,081        1,097,157  

5.00% due 10/15/2033

     67,244        71,023  

5.00% due 11/15/2033

     9,860        10,425  

5.00% due 12/15/2033

     22,368        23,433  

5.00% due 01/15/2034

     119,287        125,415  

5.00% due 02/15/2034

     60,866        63,420  

5.00% due 03/15/2034

     4,649        4,844  

5.00% due 05/15/2034

     8,935        9,533  

5.00% due 06/15/2035

     6,126        6,504  

5.00% due 09/15/2035

     73,637        77,344  

5.00% due 11/15/2035

     22,973        24,174  

5.00% due 12/15/2035

     18,737        19,759  

5.00% due 02/15/2036

     10,574        11,042  

5.00% due 03/15/2036

     9,635        10,039  

5.00% due 09/15/2036

     2,086        2,174  

5.00% due 05/15/2038

     8,989        9,366  

5.00% due 07/15/2038

     83,809        87,325  

5.00% due 08/15/2038

     26,567        28,210  

5.00% due 11/15/2038

     72,475        76,985  

5.00% due 12/15/2038

     281,774        299,304  

5.00% due 06/15/2039

     359,271        381,556  

5.00% due 08/15/2039

     92,909        98,667  

5.00% due 07/15/2040

     43,542        45,372  

5.00% due 04/15/2041

     225,086        239,035  

5.50% due 10/15/2032

     1,266        1,359  

5.50% due 02/15/2033

     61,014        65,419  

5.50% due 05/15/2033

     44,318        47,916  

5.50% due 06/15/2033

     58,529        63,334  

5.50% due 07/15/2033

     10,273        11,049  

5.50% due 08/15/2033

     6,811        7,303  

5.50% due 09/15/2033

     4,175        4,532  

5.50% due 11/15/2033

     108,447        116,945  

5.50% due 01/15/2034

     15,029        16,320  

5.50% due 02/15/2034

     51,427        55,516  

5.50% due 03/15/2034

     458,091        495,845  

5.50% due 04/15/2034

     20,280        22,152  

5.50% due 05/15/2034

     39,931        43,094  

5.50% due 06/15/2034

     11,088        11,905  

5.50% due 07/15/2034

     9,461        10,144  

5.50% due 08/15/2034

     12,600        13,510  

5.50% due 09/15/2034

     149,142        159,913  

5.50% due 10/15/2034

     159,697        171,722  

5.50% due 04/15/2036

     45,386        48,835  

6.00% due 06/15/2028

     12,023        12,990  

6.00% due 08/15/2028

     24,506        26,477  

6.00% due 09/15/2028

     30,520        32,975  

6.00% due 10/15/2028

     9,793        10,581  

6.00% due 12/15/2028

     38,532        41,913  

6.00% due 04/15/2029

     2,011        2,173  

6.00% due 01/15/2032

     6,449        7,061  

6.00% due 02/15/2032

     236        255  

6.00% due 07/15/2032

     6,564        7,092  

6.00% due 09/15/2032

     11,370        12,285  

6.00% due 10/15/2032

     165,024        178,835  

6.00% due 11/15/2032

     8,193        8,852  

6.00% due 01/15/2033

     2,222        2,400  

6.00% due 02/15/2033

     8,459        9,466  

6.00% due 03/15/2033

     22,563        24,439  


6.00% due 04/15/2033

     44,583        48,169  

6.00% due 05/15/2033

     77,400        83,625  

6.00% due 12/15/2033

     20,078        21,929  

6.00% due 08/15/2034

     3,401        3,695  

6.00% due 09/15/2034

     74,485        80,476  

6.00% due 10/15/2034

     39,998        43,391  

6.00% due 05/15/2036

     18,865        20,566  

6.00% due 06/15/2036

     218,431        242,952  

6.00% due 07/15/2036

     2,718,026        2,963,600  

6.00% due 08/15/2036

     65,233        70,838  

6.00% due 12/15/2036

     144,536        157,482  

6.00% due 02/15/2037

     52,813        57,477  

6.00% due 08/15/2037

     44,657        48,249  

6.00% due 01/15/2038

     215,409        235,218  

6.00% due 03/15/2038

     129,600        140,024  

6.00% due 07/15/2038

     82,417        89,046  

6.00% due 08/15/2038

     198,120        214,258  

6.00% due 09/15/2038

     373,719        406,504  

6.00% due 10/15/2038

     486,892        533,024  

6.00% due 11/15/2038

     177,451        191,734  

6.00% due 12/15/2038

     170,320        184,018  

6.00% due 01/15/2039

     132,304        144,238  

6.00% due 02/15/2039

     112,083        121,157  

6.00% due 04/15/2039

     73,609        79,529  

6.00% due 12/15/2039

     111,024        119,953  

6.00% due 03/15/2040

     195,347        211,063  

6.00% due 04/15/2040

     45,010        48,630  

6.00% due 06/15/2041

     157,542        170,212  

6.50% due 06/15/2023

     2,237        2,454  

6.50% due 07/15/2023

     10,871        11,927  

6.50% due 08/15/2023

     1,391        1,526  

6.50% due 10/15/2023

     6,412        7,035  

6.50% due 11/15/2023

     11,176        12,261  

6.50% due 12/15/2023

     31,005        34,016  

6.50% due 02/15/2027

     1,129        1,238  

6.50% due 12/15/2027

     1,535        1,684  

6.50% due 01/15/2028

     15,783        17,315  

6.50% due 02/15/2028

     6,746        7,402  

6.50% due 03/15/2028

     21,231        23,294  

6.50% due 04/15/2028

     10,941        12,001  

6.50% due 05/15/2028

     36,015        39,513  

6.50% due 06/15/2028

     42,724        46,880  

6.50% due 07/15/2028

     51,154        56,124  

6.50% due 08/15/2028

     30,594        33,564  

6.50% due 09/15/2028

     45,930        50,393  

6.50% due 10/15/2028

     37,529        41,194  

6.50% due 11/15/2028

     42,605        46,755  

6.50% due 12/15/2028

     35,801        39,302  

6.50% due 02/15/2029

     5,264        5,776  

6.50% due 03/15/2029

     14,087        15,454  

6.50% due 04/15/2029

     6,702        7,352  

6.50% due 05/15/2029

     54,139        59,396  

6.50% due 06/15/2029

     6,220        6,824  

6.50% due 03/15/2031

     2,693        2,955  

6.50% due 04/15/2031

     568        635  

6.50% due 05/15/2031

     56,923        62,486  

6.50% due 06/15/2031

     39,918        43,795  

6.50% due 07/15/2031

     117,267        128,655  

6.50% due 08/15/2031

     19,123        20,981  

6.50% due 09/15/2031

     74,788        82,051  

6.50% due 10/15/2031

     30,807        33,985  

6.50% due 11/15/2031

     35,561        39,014  

6.50% due 01/15/2032

     110,854        121,620  

6.50% due 02/15/2032

     44,373        48,682  

6.50% due 04/15/2032

     12,187        13,371  

6.50% due 05/15/2032

     16,170        17,740  

7.00% due 11/15/2031

     20,755        22,668  

7.00% due 03/15/2032

     15,975        17,856  

7.00% due 01/15/2033

     21,415        24,159  

7.00% due 05/15/2033

     55,805        62,689  

7.00% due 07/15/2033

     39,742        44,290  

7.00% due 11/15/2033

     55,596        62,561  

8.00% due 10/15/2029

     371        372  

8.00% due 12/15/2029

     1,861        1,865  

8.00% due 01/15/2030

     15,102        15,563  

8.00% due 03/15/2030

     115        115  

8.00% due 04/15/2030

     16,195        16,346  

8.00% due 08/15/2030

     1,481        1,484  

8.00% due 09/15/2030

     19,237        19,625  

8.00% due 11/15/2030

     1,633        1,710  

8.00% due 02/15/2031

     35,109        37,135  

8.00% due 03/15/2031

     9,922        9,988  

Government National Mtg. Assoc. REMIC

 

Series 2005-74, Class HA

7.50% due 09/16/2035(2)

     39,357        42,254  

Series 2005-74, Class HB

7.50% due 09/16/2035(2)

     241,172        264,635  

Series 2005-74, Class HC

7.50% due 09/16/2035(2)

     105,125        116,780  
     

 

 

 
        47,048,698  
     

 

 

 

Resolution Funding Corp - 0.2%

 

Resolution Funding Corp. STRIPS
zero coupon due 07/15/2020

     2,500,000        2,376,222  
     

 

 

 

Total U.S. Government Agencies

(cost $537,575,717)

        523,921,356  
     

 

 

 

U.S. GOVERNMENT TREASURIES - 23.0%

 

United States Treasury Bonds - 7.0%

 

2.50% due 02/15/2045

     10,270,000        8,994,675  

2.50% due 05/15/2046(6)

     915,000        797,909  

2.75% due 08/15/2047

     4,915,000        4,501,257  

2.75% due 11/15/2047

     19,733,000        18,064,174  

2.88% due 05/15/2043

     31,130,000        29,430,010  

2.88% due 08/15/2045

     6,205,000        5,842,880  

3.00% due 11/15/2044

     1,790,000        1,727,839  

3.00% due 02/15/2047

     8,515,000        8,205,999  

3.00% due 02/15/2048

     7,225,000        6,953,216  

3.00% due 08/15/2048

     770,000        741,035  

3.13% due 05/15/2048

     2,460,000        2,427,232  

3.38% due 05/15/2044

     2,895,000        2,985,129  

3.63% due 02/15/2044

     13,550,000        14,555,664  
     

 

 

 
        105,227,019  
     

 

 

 


United States Treasury Notes - 16.0%

 

0.38% due 01/15/2027 TIPS(5)

     47,394,848        45,241,714  

0.50% due 01/15/2028 TIPS(5)

     42,909,300        41,173,373  

1.38% due 09/30/2020

     5,000,000        4,859,766  

1.50% due 03/31/2023

     23,610,000        22,184,177  

1.63% due 06/30/2020

     39,630,000        38,834,304  

1.75% due 06/30/2022

     18,000,000        17,258,203  

1.88% due 06/30/2020

     3,170,000        3,119,973  

1.88% due 04/30/2022

     18,875,000        18,212,163  

1.88% due 07/31/2022

     4,000,000        3,848,594  

2.00% due 11/30/2020

     10,400,000        10,215,969  

2.13% due 12/31/2022

     23,290,000        22,533,985  

2.63% due 06/30/2023

     13,360,000        13,170,037  

2.88% due 05/15/2028

     2,360,000        2,324,416  
     

 

 

 
        242,976,674  
     

 

 

 

Total U.S. Government Treasuries

(cost $357,370,527)

        348,203,693  
     

 

 

 

Total Long-Term Investment Securities

(cost $1,522,129,390)

        1,494,206,621  
     

 

 

 

REPURCHASE AGREEMENTS - 9.5%

 

Bank of America Securities LLC Joint Repurchase Agreement(7)

     28,195,000        28,195,000  

Barclays Capital, Inc. Joint Repurchase Agreement(7)

     9,395,000        9,395,000  

BNP Paribas SA Joint Repurchase Agreement(7)

     53,280,000        53,280,000  

Deutsche Bank AG Joint Repurchase Agreement(7)

     9,940,000        9,940,000  

RBS Securities, Inc. Joint Repurchase Agreement(7)

     43,865,000        43,865,000  
     

 

 

 

Total Repurchase Agreements

(cost $144,675,000)

        144,675,000  
     

 

 

 

TOTAL INVESTMENTS

(cost $1,666,804,390)

     108.1      1,638,881,621  

Liabilities in excess of other assets

     (8.1      (122,321,153
  

 

 

    

 

 

 

NET ASSETS

     100.0    $ 1,516,560,468  
  

 

 

    

 

 

 

FORWARD SALES CONTRACTS - (0.52)%

     

U.S. Government Agencies - (0.52)%

     

Federal National Mtg. Assoc. - (0.42)%

     

4.00% due October 15 TBA

   $ (4,700,000    $ (4,793,816

4.50% due October 30 TBA

     (1,520,000      (1,567,925
     

 

 

 
        (6,361,741
     

 

 

 

Government National Mtg. Assoc. - (0.10)%

     

4.00% due October 30 TBA

     (1,500,000      (1,525,030
     

 

 

 

Total Forward Sales Contracts

(proceeds ($7,903,006))

      $ (7,886,771
  

 

 

 

 

*

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, 2018, the aggregate value of these securities was $342,963,101 representing 22.6% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(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)

Principal amount of security is adjusted for inflation.

(6)

The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

(7)

See Note 2 for details of Joint Repurchase Agreements.

CLO  -  Collateralized Loan Obligation

REMIC  -  Real Estate Mortgage Investment Conduit

STRIPS  -  Separate trading of registered interest and principal of securities

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.

TIPS  -  Treasury Inflation Protected Securities

FRS  -  Floating Rate Security

VRS  -  Variable Rate Security

The rates on FRS and VRS are the current interest rates at September 30, 2018 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      Notational
Basis*
     Notational
Value*
     Unrealized
Appreciation
(Depreciation)
 
689      Long      U.S. Treasury 5 Year Notes      December 2018      $ 78,050,086      $ 77,496,352      $ (553,734
40      Short      U.S. Treasury 10 Year Notes      December 2018        4,802,305        4,751,250        51,055  
588      Short      U.S. 10 Year Ultra Futures      December 2018        75,107,117        74,088,000        1,019,117  
                 

 

 

 
                  $ 516,438  
                 

 

 

 

 

*

Notational basis refers to the contractual amount agreed upon at inception of the open contract; notational 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, 2018 (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

   $ —        $ 141,032,342      $ —        $ 141,032,342  

U.S. Corporate Bonds & Notes

     —          235,638,168        —          235,638,168  

Foreign Corporate Bonds & Notes

     —          170,826,701        —          170,826,701  

Foreign Government Obligations

     —          33,108,908        —          33,108,908  

Municipal Bond & Notes

     —          41,475,453        —          41,475,453  

U.S. Government Agencies

     —          523,921,356        —          523,921,356  

U.S. Government Treasuries

     —          348,203,693        —          348,203,693  

Repurchase Agreements

     —          144,675,000        —          144,675,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments at Value

   $ —        $ 1,638,881,621      $ —        $ 1,638,881,621  
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:+

           

Futures Contracts

   $ 1,070,172      $ —        $ —        $ 1,070,172  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES:

           

Forward Sales Contracts:

           

U.S. Government Agencies

   $ —        $ 7,886,771      $ —        $ 7,886,771  
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:+

           

Futures Contracts

   $ 553,734      $ —        $ —        $ 553,734  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.

+

Other financial instruments are derivative Instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning of the reporting period, Level 3 investments in securities were not considered a material portion of the Fund. There were no Level 3 investments at the end of the reporting period.

See Notes to Portfolio of Investments


Anchor Series Trust SA PGI Asset Allocation Portfolio#

PORTFOLIO OF INVESTMENTS - September 30, 2018 - (unaudited)

 

Security Description

   Shares/
Principal
Amount
     Value
(Note 1)
 

COMMON STOCKS - 56.5%

     

Aerospace/Defense - 0.7%

     

Boeing Co.

     1,698      $ 631,486  

MSA Safety, Inc.

     495        52,688  

Northrop Grumman Corp.

     1,755        556,984  
     

 

 

 
        1,241,158  
     

 

 

 

Agricultural Chemicals - 0.1%

     

Incitec Pivot, Ltd. ADR

     77,000        215,600  
     

 

 

 

Airlines - 0.9%

     

Alaska Air Group, Inc.

     12,194        839,679  

Copa Holdings SA, Class A

     5,500        439,120  

Delta Air Lines, Inc.

     6,544        378,440  

Hawaiian Holdings, Inc.

     1,273        51,047  
     

 

 

 
        1,708,286  
     

 

 

 

Apparel Manufacturers - 0.1%

     

VF Corp.

     2,213        206,805  
     

 

 

 

Applications Software - 1.3%

     

Microsoft Corp.

     17,966        2,054,771  

Red Hat, Inc.†

     2,599        354,192  
     

 

 

 
        2,408,963  
     

 

 

 

Auction Houses/Art Dealers - 0.2%

     

Ritchie Bros. Auctioneers, Inc.

     9,000        325,170  
     

 

 

 

Auto-Cars/Light Trucks - 0.4%

     

Nissan Motor Co., Ltd. ADR

     36,000        673,380  
     

 

 

 

Auto-Heavy Duty Trucks - 0.3%

     

NFI Group, Inc.

     2,769        107,767  

PACCAR, Inc.

     6,128        417,869  
     

 

 

 
        525,636  
     

 

 

 

Auto/Truck Parts & Equipment-Original - 0.9%

     

Adient PLC

     1,878        73,824  

Autoliv, Inc.

     11,320        981,218  

Linamar Corp.

     1,403        64,640  

Magna International, Inc.

     11,693        614,233  
     

 

 

 
        1,733,915  
     

 

 

 

Banks-Commercial - 1.5%

     

Banco Bilbao Vizcaya Argentaria SA ADR

     70,000        441,000  

Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand ADR

     13,478        104,589  

Bank OZK

     7,139        270,996  

BOK Financial Corp.

     414        40,274  

Cullen/Frost Bankers, Inc.

     5,573        582,044  

East West Bancorp, Inc.

     11,202        676,265  

Hope Bancorp, Inc.

     2,560        41,395  

ING Groep NV ADR

     38,000        492,860  

PacWest Bancorp

     2,190        104,354  

Washington Trust Bancorp, Inc.

     812        44,904  
     

 

 

 
        2,798,681  
     

 

 

 

Banks-Super Regional - 1.2%

     

PNC Financial Services Group, Inc.

     10,431        1,420,598  

SunTrust Banks, Inc.

     3,250        217,068  

US Bancorp

     9,093        480,201  
     

 

 

 
        2,117,867  
     

 

 

 

Batteries/Battery Systems - 0.2%

     

Energizer Holdings, Inc.

     7,375        432,544  
     

 

 

 

Beverages-Non-alcoholic - 0.7%

     

Coca-Cola Co.

     4,728        218,387  

Keurig Dr. Pepper, Inc.

     15,984        370,349  

PepsiCo, Inc.

     6,620        740,116  
     

 

 

 
        1,328,852  
     

 

 

 

Beverages-Wine/Spirits - 0.3%

     

Diageo PLC ADR

     3,250        460,427  
     

 

 

 

Brewery - 0.3%

     

Ambev SA ADR

     140,000        639,800  
     

 

 

 

Building & Construction Products-Misc. - 0.3%

     

James Hardie Industries PLC ADR

     30,000        457,800  
     

 

 

 

Building-Mobile Home/Manufactured Housing - 0.2%

     

Thor Industries, Inc.

     4,478        374,809  
     

 

 

 

Cable/Satellite TV - 0.2%

     

Comcast Corp., Class A

     11,854        419,750  
     

 

 

 

Cellular Telecom - 0.5%

     

T-Mobile US, Inc.†

     10,306        723,275  

Telstra Corp., Ltd. ADR

     15,000        172,425  
     

 

 

 
        895,700  
     

 

 

 

Chemicals-Diversified - 0.7%

     

Croda International PLC ADR

     15,000        500,250  

DowDuPont, Inc.

     4,183        269,009  

FMC Corp.

     2,729        237,914  

Huntsman Corp.

     1,894        51,573  

PPG Industries, Inc.

     1,659        181,047  
     

 

 

 
        1,239,793  
     

 

 

 

Chemicals-Specialty - 1.1%

     

Albemarle Corp.

     5,750        573,735  

Givaudan SA ADR

     7,000        343,210  

H.B. Fuller Co.

     21,568        1,114,418  
     

 

 

 
        2,031,363  
     

 

 

 

Coal - 0.0%

     

Alliance Resource Partners LP

     1,963        40,045  
     

 

 

 

Coatings/Paint - 0.0%

     

Akzo Nobel NV ADR

     1,000        31,155  

RPM International, Inc.

     510        33,119  
     

 

 

 
        64,274  
     

 

 

 

Commercial Services - 0.1%

     

RELX PLC ADR

     11,000        230,230  
     

 

 

 

Commercial Services-Finance - 0.3%

     

Experian PLC ADR

     16,000        410,800  

Travelport Worldwide, Ltd.

     6,018        101,524  
     

 

 

 
        512,324  
     

 

 

 

Computer Services - 0.1%

     

Accenture PLC, Class A

     948        161,350  

Leidos Holdings, Inc.

     969        67,016  
     

 

 

 
        228,366  
     

 

 

 

Computer Software - 0.0%

     

j2 Global, Inc.

     474        39,271  
     

 

 

 

Computers - 1.3%

     

Apple, Inc.

     10,962        2,474,562  
     

 

 

 

Containers-Paper/Plastic - 0.0%

     

Packaging Corp. of America

     359        39,379  
     

 

 

 

Cosmetics & Toiletries - 0.2%

     

Unilever NV

     7,000        388,850  
     

 

 

 


Data Processing/Management - 0.4%

     

Broadridge Financial Solutions, Inc.

     111        14,646  

Fair Isaac Corp.†

     2,279        520,866  

Fidelity National Information Services, Inc.

     2,215        241,590  
     

 

 

 
        777,102  
     

 

 

 

Diagnostic Equipment - 0.4%

     

Thermo Fisher Scientific, Inc.

     3,049        744,200  
     

 

 

 

Disposable Medical Products - 0.1%

     

STERIS PLC

     918        105,019  
     

 

 

 

Distribution/Wholesale - 0.7%

     

KAR Auction Services, Inc.

     21,145        1,262,145  
     

 

 

 

Diversified Banking Institutions - 1.7%

     

Bank of Nova Scotia

     8,370        499,103  

BNP Paribas SA ADR

     15,000        456,600  

JPMorgan Chase & Co.

     19,019        2,146,104  
     

 

 

 
        3,101,807  
     

 

 

 

Diversified Manufacturing Operations - 0.7%

     

3M Co.

     2,230        469,884  

Crane Co.

     612        60,190  

Parker-Hannifin Corp.

     2,053        377,608  

Siemens AG ADR

     6,500        415,090  
     

 

 

 
        1,322,772  
     

 

 

 

E-Commerce/Products - 0.7%

     

Amazon.com, Inc.†

     655        1,311,965  
     

 

 

 

E-Commerce/Services - 0.3%

     

Booking Holdings, Inc.†

     289        573,376  
     

 

 

 

Electric Products-Misc. - 0.2%

     

Littelfuse, Inc.

     2,069        409,434  
     

 

 

 

Electric-Distribution - 0.2%

     

Sempra Energy

     3,270        371,962  
     

 

 

 

Electric-Integrated - 2.1%

     

ALLETE, Inc.

     763        57,233  

Alliant Energy Corp.

     1,775        75,562  

CLP Holdings, Ltd. ADR

     40,000        469,600  

Evergy, Inc.

     1,334        73,263  

Eversource Energy

     12,515        768,922  

Fortis, Inc.

     706        22,888  

NextEra Energy, Inc.

     7,673        1,285,995  

PNM Resources, Inc.

     554        21,855  

WEC Energy Group, Inc.

     11,603        774,616  

Xcel Energy, Inc.

     7,614        359,457  
     

 

 

 
        3,909,391  
     

 

 

 

Electronic Components-Misc. - 0.0%

     

Garmin, Ltd.

     304        21,295  
     

 

 

 

Electronic Components-Semiconductors - 0.9%

     

Broadcom, Inc.

     879        216,876  

Microchip Technology, Inc.

     17,565        1,386,054  
     

 

 

 
        1,602,930  
     

 

 

 

Electronic Connectors - 0.2%

     

TE Connectivity, Ltd.

     4,000        351,720  
     

 

 

 

Electronic Forms - 0.4%

     

Adobe Systems, Inc.†

     2,789        752,890  
     

 

 

 

Electronic Parts Distribution - 0.2%

     

Arrow Electronics, Inc.†

     5,165        380,764  
     

 

 

 

Enterprise Software/Service - 1.2%

     

Black Knight, Inc.†

     26,551        1,379,324  

SAP SE ADR

     7,180        883,140  
     

 

 

 
        2,262,464  
     

 

 

 

Filtration/Separation Products - 0.0%

     

Donaldson Co., Inc.

     321        18,701  
     

 

 

 

Finance-Credit Card - 0.9%

     

Discover Financial Services

     22,860        1,747,647  
     

 

 

 

Finance-Other Services - 0.8%

     

BGC Partners, Inc., Class A

     9,345        110,458  

Deutsche Boerse AG ADR

     54,000        720,090  

Hong Kong Exchanges & Clearing, Ltd. ADR

     22,500        640,800  
     

 

 

 
        1,471,348  
     

 

 

 

Financial Guarantee Insurance - 0.0%

     

Assured Guaranty, Ltd.

     2,013        85,009  
     

 

 

 

Food-Dairy Products - 0.2%

     

Danone SA ADR

     25,000        386,625  
     

 

 

 

Food-Meat Products - 0.4%

     

Hormel Foods Corp.

     6,935        273,239  

Tyson Foods, Inc., Class A

     8,932        531,722  
     

 

 

 
        804,961  
     

 

 

 

Food-Misc./Diversified - 0.4%

     

B&G Foods, Inc.

     4,130        113,369  

Ingredion, Inc.

     451        47,337  

Kraft Heinz Co.

     4,392        242,043  

Orkla ASA ADR

     43,000        362,275  
     

 

 

 
        765,024  
     

 

 

 

Food-Retail - 0.3%

     

Kroger Co.

     16,120        469,253  
     

 

 

 

Gas-Distribution - 0.3%

     

Rubis SCA ADR

     45,000        458,550  
     

 

 

 

Golf - 0.0%

     

Acushnet Holdings Corp.

     2,476        67,917  
     

 

 

 

Housewares - 0.0%

     

Tupperware Brands Corp.

     1,703        56,965  
     

 

 

 

Human Resources - 0.3%

     

Adecco Group AG ADR

     17,640        461,198  
     

 

 

 

Industrial Automated/Robotic - 0.1%

     

Nordson Corp.

     1,017        141,261  
     

 

 

 

Industrial Gases - 0.1%

     

Air Products & Chemicals, Inc.

     1,412        235,875  
     

 

 

 

Instruments-Controls - 0.2%

     

Honeywell International, Inc.

     1,833        305,011  
     

 

 

 

Insurance Brokers - 0.0%

     

Arthur J. Gallagher & Co.

     490        36,476  
     

 

 

 

Insurance-Multi-line - 0.7%

     

Allstate Corp.

     4,197        414,244  

Chubb, Ltd.

     6,829        912,627  
     

 

 

 
        1,326,871  
     

 

 

 


Insurance-Property/Casualty - 1.2%

     

Beazley PLC

     4,237        31,533  

Fidelity National Financial, Inc.

     43,058        1,694,332  

James River Group Holdings, Ltd.

     1,664        70,920  

Markel Corp.†

     361        429,045  
     

 

 

 
        2,225,830  
     

 

 

 

Insurance-Reinsurance - 0.5%

     

Fairfax Financial Holdings, Ltd.

     351        190,599  

Swiss Re AG ADR

     29,318        674,314  
     

 

 

 
        864,913  
     

 

 

 

Internet Content-Entertainment - 0.2%

     

Facebook, Inc., Class A†

     2,221        365,266  
     

 

 

 

Investment Companies - 0.2%

     

Oaktree Capital Group LLC

     6,953        287,854  
     

 

 

 

Investment Management/Advisor Services - 0.3%

     

BlackRock, Inc.

     1,031        485,941  
     

 

 

 

Machine Tools & Related Products - 0.3%

     

Lincoln Electric Holdings, Inc.

     4,893        457,202  
     

 

 

 

Machinery-Farming - 0.1%

     

Deere & Co.

     1,775        266,836  
     

 

 

 

Machinery-General Industrial - 0.0%

     

Albany International Corp., Class A

     356        28,302  

IDEX Corp.

     154        23,202  
     

 

 

 
        51,504  
     

 

 

 

Medical Instruments - 1.5%

     

Edwards Lifesciences Corp.†

     4,628        805,735  

Medtronic PLC

     14,986        1,474,173  

Teleflex, Inc.

     1,993        530,317  
     

 

 

 
        2,810,225  
     

 

 

 

Medical Products - 1.3%

     

Abbott Laboratories

     6,309        462,828  

Becton Dickinson and Co.

     1,555        405,855  

Sonova Holding AG ADR

     17,000        673,540  

Varian Medical Systems, Inc.†

     8,031        898,910  
     

 

 

 
        2,441,133  
     

 

 

 

Medical-Biomedical/Gene - 0.2%

     

CSL, Ltd. ADR

     4,000        289,860  
     

 

 

 

Medical-Drugs - 3.1%

     

GlaxoSmithKline PLC ADR

     6,000        241,020  

Johnson & Johnson

     2,433        336,167  

Merck & Co., Inc.

     17,348        1,230,667  

Novartis AG ADR

     9,169        790,001  

Novo Nordisk A/S ADR

     9,500        447,830  

Pfizer, Inc.

     34,010        1,498,821  

Roche Holding AG ADR

     37,679        1,136,399  
     

 

 

 
        5,680,905  
     

 

 

 

Medical-HMO - 0.5%

     

UnitedHealth Group, Inc.

     3,320        883,253  
     

 

 

 

Medical-Hospitals - 0.3%

     

Universal Health Services, Inc., Class B

     3,863        493,846  
     

 

 

 

Multimedia - 0.5%

     

Walt Disney Co.

     7,497        876,699  
     

 

 

 

Networking Products - 0.3%

     

Cisco Systems, Inc.

     10,336        502,846  
     

 

 

 

Non-Hazardous Waste Disposal - 0.5%

     

Waste Connections, Inc.

     12,244        976,704  
     

 

 

 

Office Furnishings-Original - 0.1%

     

HNI Corp.

     4,606        203,769  
     

 

 

 

Office Supplies & Forms - 0.2%

     

Avery Dennison Corp.

     2,899        314,107  
     

 

 

 

Oil & Gas Drilling - 0.2%

     

Helmerich & Payne, Inc.

     3,841        264,146  

Roan Resources, Inc.†

     8,077        144,174  
     

 

 

 
        408,320  
     

 

 

 

Oil Companies-Exploration & Production - 1.3%

     

Cimarex Energy Co.

     14,049        1,305,714  

Occidental Petroleum Corp.

     3,672        301,728  

Riviera Resources, Inc.†

     8,077        173,252  

Vermilion Energy, Inc.(TSX)

     17,000        559,980  

Vermilion Energy, Inc.(NYSE)

     2,634        86,790  
     

 

 

 
        2,427,464  
     

 

 

 

Oil Companies-Integrated - 1.0%

     

Chevron Corp.

     2,218        271,217  

Exxon Mobil Corp.

     2,895        246,133  

Royal Dutch Shell PLC, Class B ADR

     18,024        1,278,442  
     

 

 

 
        1,795,792  
     

 

 

 

Oil Refining & Marketing - 1.1%

     

HollyFrontier Corp.

     2,415        168,809  

Marathon Petroleum Corp.

     5,822        465,585  

Valero Energy Corp.

     11,991        1,363,976  
     

 

 

 
        1,998,370  
     

 

 

 

Oil-Field Services - 0.2%

     

Core Laboratories NV

     3,000        347,490  
     

 

 

 

Pipelines - 0.4%

     

EnLink Midstream Partners LP

     4,825        89,938  

Enterprise Products Partners LP

     19,390        557,075  

Phillips 66 Partners LP

     434        22,195  

Targa Resources Corp.

     1,389        78,214  
     

 

 

 
        747,422  
     

 

 

 

Power Converter/Supply Equipment - 0.0%

     

Hubbell, Inc.

     159        21,238  
     

 

 

 

Private Equity - 0.4%

     

KKR & Co, Inc. Class A

     24,170        659,116  
     

 

 

 

Radio - 0.0%

     

Entercom Communications Corp., Class A

     3,254        25,707  
     

 

 

 

Real Estate Investment Trusts - 2.3%

     

Agree Realty Corp.

     492        26,135  

Alexandria Real Estate Equities, Inc.

     7,883        991,603  

American Tower Corp.

     5,361        778,953  

Annaly Capital Management, Inc.

     17,563        179,669  

CyrusOne, Inc.

     5,084        322,326  


Digital Realty Trust, Inc.

     5,101        573,760  

EastGroup Properties, Inc.

     248        23,714  

EPR Properties

     1,538        105,215  

Four Corners Property Trust, Inc.

     719        18,471  

Host Hotels & Resorts, Inc.

     6,172        130,229  

Medical Properties Trust, Inc.

     6,987        104,176  

National Health Investors, Inc.

     456        34,469  

National Retail Properties, Inc.

     706        31,643  

Omega Healthcare Investors, Inc.

     2,995        98,146  

Ramco-Gershenson Properties Trust

     2,592        35,251  

Simon Property Group, Inc.

     2,247        397,157  

Tanger Factory Outlet Centers, Inc.

     15,686        358,896  
     

 

 

 
        4,209,813  
     

 

 

 

Real Estate Management/Services - 0.3%

     

Daito Trust Construction Co., Ltd. ADR

     19,000        612,465  
     

 

 

 

Recreational Vehicles - 0.0%

     

LCI Industries

     334        27,655  
     

 

 

 

Rental Auto/Equipment - 0.2%

     

Aaron’s, Inc.

     6,811        370,927  
     

 

 

 

Retail-Apparel/Shoe - 0.4%

     

Lululemon Athletica, Inc.†

     4,036        655,810  
     

 

 

 

Retail-Discount - 0.2%

     

Costco Wholesale Corp.

     1,828        429,361  
     

 

 

 

Retail-Restaurants - 0.4%

     

Chipotle Mexican Grill, Inc.†

     617        280,439  

Starbucks Corp.

     6,464        367,414  
     

 

 

 
        647,853  
     

 

 

 

Rubber-Tires - 0.4%

     

Bridgestone Corp. ADR

     36,000        678,780  
     

 

 

 

Satellite Telecom - 0.1%

     

Inmarsat PLC ADR

     23,000        149,040  
     

 

 

 

Savings & Loans/Thrifts - 0.2%

     

Washington Federal, Inc.

     13,659        437,088  
     

 

 

 

Security Services - 0.3%

     

Secom Co., Ltd. ADR

     30,000        609,000  
     

 

 

 

Semiconductor Components-Integrated Circuits - 0.6%

     

Maxim Integrated Products, Inc.

     2,927        165,054  

Taiwan Semiconductor Manufacturing Co., Ltd. ADR

     23,307        1,029,237  
     

 

 

 
        1,194,291  
     

 

 

 

Semiconductor Equipment - 0.3%

     

Applied Materials, Inc.

     6,745        260,694  

Kulicke & Soffa Industries, Inc.

     1,742        41,529  

MKS Instruments, Inc.

     1,072        85,921  

Teradyne, Inc.

     3,817        141,153  
     

 

 

 
        529,297  
     

 

 

 

Soap & Cleaning Preparation - 0.7%

     

Church & Dwight Co., Inc.

     10,063        597,440  

Reckitt Benckiser Group PLC ADR

     40,000        733,600  
     

 

 

 
        1,331,040  
     

 

 

 

SupraNational Banks - 0.4%

     

Banco Latinoamericano de Comercio Exterior SA, Class E

     32,266        675,005  
     

 

 

 

Telecom Services - 0.5%

     

BCE, Inc.

     23,684        959,676  

Consolidated Communications Holdings, Inc.

     2,273        29,640  
     

 

 

 
        989,316  
     

 

 

 

Telephone-Integrated - 0.2%

     

Verizon Communications, Inc.

     7,873        420,339  
     

 

 

 

Television - 0.4%

     

Nexstar Media Group, Inc., Class A

     7,964        648,270  
     

 

 

 

Textile-Apparel - 0.2%

     

LVMH Moet Hennessy Louis Vuitton SE ADR

     5,000        352,450  
     

 

 

 

Tools-Hand Held - 0.5%

     

Snap-on, Inc.

     5,315        975,834  
     

 

 

 

Toys - 1.2%

     

Hasbro, Inc.

     21,632        2,273,956  
     

 

 

 

Transport-Marine - 0.2%

     

Kirby Corp.†

     4,450        366,012  
     

 

 

 

Transport-Rail - 0.2%

     

Union Pacific Corp.

     2,425        394,863  
     

 

 

 

Transport-Services - 0.3%

     

Expeditors International of Washington, Inc.

     5,492        403,827  

United Parcel Service, Inc., Class B

     894        104,374  
     

 

 

 
        508,201  
     

 

 

 

Venture Capital - 0.0%

     

Hercules Capital, Inc.

     1,260        16,582  
     

 

 

 

Web Portals/ISP - 0.8%

     

Alphabet, Inc., Class A†

     1,225        1,478,673  
     

 

 

 

X-Ray Equipment - 0.1%

     

Varex Imaging Corp.†

     3,721        106,644  
     

 

 

 

Total Common Stocks

     

(cost $86,985,387)

        104,351,705  
     

 

 

 

EXCHANGE-TRADED FUNDS - 2.0%

     

Vanguard Global ex-U.S. Real Estate ETF
(cost $3,614,782)

     65,500        3,679,135  
     

 

 

 

PREFERRED SECURITIES/CAPITAL SECURITIES - 0.3%

     

Banks-Super Regional - 0.3%

     

PNC Financial Services Group, Inc.
6.75% due 08/01/2021(1)

   $ 250,000        270,437  

Wells Fargo & Co. FRS
6.10% (3 ML+3.77%) due 12/15/2018(1)

     250,000        253,360  
     

 

 

 

Total Preferred Securities/Capital Securities

     

(cost $482,352)

        523,797  
     

 

 

 


ASSET BACKED SECURITIES - 4.7%

     

Diversified Financial Services - 4.7%

     

ACE Securities Corp. Mtg. Loan Trust
Series 2007-D1, Class A4
6.93% due 02/25/2038*

     89,364        84,773  

Ally Master Owner Trust
Series 2018-1, Class A2
2.70% due 01/17/2023

     250,000        247,404  

AmeriCredit Automobile Receivables Trust
Series 2014-2, Class C
2.18% due 06/08/2020

     36,323        36,315  

BMW Floorplan Master Owner Trust FRS
Series 2018-1, Class A2
2.48% (3 ML+0.32%) due 05/15/2023*

     250,000        250,323  

Capital Auto Receivables Asset Trust
Series 2018-1, Class A2A
2.54% due 10/20/2020*

     217,165        217,013  

CFCRE Commercial Mtg. Trust
Series 2016-C7, Class A3
3.84% due 12/10/2054(3)

     200,000        200,046  

Citigroup Mtg. Loan Trust VRS
Series 2015-PS1, Class B1
5.25% due 09/25/2042*(2)(4)

     263,830        277,830  

COMM Mtg. Trust VRS
Series 2014-UBS3, Class C
4.94% due 06/10/2047(2)(3)

     250,000        246,847  

CPS Auto Receivables Trust
Series 2015-A, Class B
2.79% due 02/16/2021*

     100,288        100,301  

Credit Suisse First Boston Mtg. Securities Corp. FRS
Series 2004-AR4, Class 5A4
3.18% (1 ML+0.96%) due 05/25/2034(4)

     5,047        5,024  

CSMC Trust VRS
Series 2015-1, Class B2
3.94% due 01/25/2045*(2)(4)

     92,196        89,388  

Drug Royalty II LP 2
Series 2014-1, Class A2
3.48% due 07/15/2023*

     227,952        227,249  

Ford Credit Auto Owner Trust
Series 2016-2, Class A
2.03% due 12/15/2027*

     250,000        241,798  

GS Mtg. Securities Trust
Series 2017-GS6, Class A1
1.95% due 05/10/2050(3)

     280,325        272,746  

GS Mtg. Securities Trust VRS
Series 2013-GC12, Class C
4.18% due 06/10/2046(2)(3)

     200,000        193,108  

GS Mtg. Securities Trust
Series 2013-GC14, Class AS
4.51% due 08/10/2046*(3)

     230,000        237,941  

GS Mtg. Securities Trust VRS
Series 2014-GC20, Class C
5.13% due 04/10/2047(2)(3)

     200,000        198,139  

GS Mtg. Securities Trust VRS
Series 2011-GC5, Class D
5.56% due 08/10/2044*(2)(3)

     200,000        196,213  

JPMorgan Mtg. Trust VRS
Series 2016-4, Class A13
3.50% due 10/25/2046*(2)(4)

     183,719        178,564  

JPMorgan Mtg.Trust VRS
Series 2016-4, Class A5
3.50% due 10/25/2046*(2)(4)

     68,733        67,618  

JPMorgan Mtg. Trust VRS
Series 2017-4, Class A5
3.50% due 11/25/2048*(2)(4)

     211,138        208,360  

JPMorgan Mtg. Trust VRS
Series 2017-3, Class B2
3.87% due 08/25/2047*(2)(4)

     189,046        178,932  

JPMorgan Mtg. Trust VRS
Series 2018-8, Class A13
4.00% due 01/25/2049*(2)(4)

     99,379        98,113  

KeyCorp. Student Loan Trust FRS
Series 2006-A, Class 2A4
2.69% (3 ML+0.31%) due 09/27/2035

     59,307        59,314  

KeyCorp. Student Loan Trust FRS
Series 2004-A, Class 2B
2.87% (3 ML+0.53%) due 01/27/2042

     31,445        31,452  

MVW Owner Trust
Series 2015-1A, Class A
2.52% due 12/20/2032*

     91,859        89,922  

New Residential Mtg. Loan Trust VRS
Series 2016-4A, Class B1A
4.50% due 11/25/2056*(2)(4)

     93,039        94,295  

New Residential Mtg. Loan Trust VRS
Series 2015-2A, Class B3
5.56% due 08/25/2055*(2)(4)

     83,051        87,498  

Residential Accredit Loans, Inc.
Series 2003-QS23, Class A1
5.00% due 12/26/2018(4)

     1,041        1,039  

Santander Drive Auto Receivables Trust
Series 2015-1, Class C
2.57% due 04/15/2021

     54,127        54,115  

Santander Drive Auto Receivables Trust
Series 2018-3, Class A2A
2.78% due 03/15/2021

     250,000        250,012  

Sequoia Mtg. Trust VRS
Series 2013-4, Class A3
1.55% due 04/25/2043(2)(4)

     105,275        99,351  

Sequoia Mtg. Trust VRS
Series 2017-5, Class A19
3.50% due 08/25/2047*(2)(4)

     88,659        85,684  

Sequoia Mtg. Trust VRS
Series 2018-5, Class A4
3.50% due 05/25/2048*(2)(4)

     240,563        236,963  


Sequoia Mtg. Trust VRS
Series 2018-5, Class A19
3.50% due 05/25/2048*(2)(4)

     194,338        186,412  

Sequoia Mtg. Trust VRS
Series 2013-2, Class B1
3.64% due 02/25/2043(2)(4)

     86,959        85,534  

SLM Private Credit Student Loan Trust FRS
Series 2006-BW, Class A5
2.53% (3 ML+0.20%) due 12/15/2039

     134,377        132,391  

SLM Private Credit Student Loan Trust FRS
Series 2002-A, Class A2
2.88% (3 ML+0.55%) due 12/16/2030

     131,576        131,259  

SMB Private Education Loan Trust FRS
Series 2016-C, Class A1
2.71% (1 ML+0.55%) due 11/15/2023*

     17,206        17,209  

Towd Point Mtg. Trust VRS
Series 2015-1, Class A4
4.25% due 10/25/2053*(2)

     150,000        152,647  

Trafigura Securitisation Finance PLC FRS
Series 2017-1A, Class A1
3.01% (1 ML+0.85%) due 12/15/2020*

     300,000        300,302  

UBS-Barclays Commercial Mtg. Trust
Series 2013-C5, Class AS
3.35% due 03/10/2046*(3)

     200,000        194,696  

Verizon Owner Trust
Series 2017-1A, Class A
2.06% due 09/20/2021*

     250,000        247,731  

Wells Fargo Commercial Mtg. Trust VRS
Series 2016-LC25, Class B
4.58% due 12/15/2059(2)(3)

     300,000        303,936  

Wells Fargo Commercial Mtg. Trust VRS
Series 2015-C31, Class C
4.76% due 11/15/2048(2)(3)

     300,000        300,171  

Westlake Automobile Receivables Trust
Series 2017-2A, Class A2A
1.80% due 07/15/2020*

     119,680        119,393  

WFRBS Commercial Mtg. Trust VRS
Series 2014-C22, Class D
4.05% due 09/15/2057*(2)(3)

     160,000        128,289  

WFRBS Commercial Mtg. Trust VRS
Series 2013-C14, Class D
4.11% due 06/15/2046*(2)(3)

     300,000        273,207  

WFRBS Commercial Mtg. Trust VRS
Series 2014-LC14, Class C
4.34% due 03/15/2047(2)(3)

     300,000        291,113  

WFRBS Commercial Mtg. Trust VRS
Series 2014-C20, Class C
4.51% due 05/15/2047(2)(3)

     300,000        289,539  

WFRBS Commercial Mtg. Trust VRS
Series 2014-C23, Class B
4.52% due 10/15/2057(2)(3)

     300,000        306,459  
     

 

 

 

Total Asset Backed Securities

     

(cost $8,802,438)

        8,603,978  
     

 

 

 

U.S. CORPORATE BONDS & NOTES - 20.6%

     

Aerospace/Defense - 0.1%

     

Lockheed Martin Corp.
Senior Notes
4.07% due 12/15/2042

     250,000        243,011  
     

 

 

 

Aerospace/Defense-Equipment - 0.1%

     

United Technologies Corp.
Senior Notes
1.90% due 05/04/2020

     250,000        244,918  
     

 

 

 

Airlines - 0.4%

     

American Airlines Pass-Through Trust
Pass-Through Certs.
Series 2013-2, Class A
4.95% due 07/15/2024

     249,900        256,057  

Delta Air Lines Pass Through Trust
Pass-Through Certs.
Series 2009-1, Class A
7.75% due 06/17/2021

     106,139        110,870  

US Airways Pass Through Trust
Pass-Through Certs.
Series 2012-2, Class B
6.75% due 12/03/2022

     373,768        394,176  
     

 

 

 
        761,103  
     

 

 

 

Apparel Manufacturers - 0.1%

     

Under Armour, Inc.
Senior Notes
3.25% due 06/15/2026

     250,000        220,318  
     

 

 

 

Auto-Cars/Light Trucks - 0.4%

     

American Honda Finance Corp.
Senior Notes
2.30% due 09/09/2026

     250,000        225,492  

American Honda Finance Corp.
Senior Notes
3.88% due 09/21/2020*

     250,000        253,293  

Toyota Motor Credit Corp.
Senior Notes
2.10% due 01/17/2019

     250,000        249,784  
     

 

 

 
        728,569  
     

 

 

 

Banks-Commercial - 0.3%

     

PNC Bank NA
Senior Notes
2.00% due 05/19/2020

     250,000        245,476  

PNC Bank NA
Senior Notes
3.10% due 10/25/2027

     250,000        235,597  
     

 

 

 
        481,073  
     

 

 

 


Banks-Fiduciary - 0.4%

     

Bank of New York Mellon Corp.
Senior Notes
2.20% due 08/16/2023

     500,000        469,481  

State Street Corp.
Sub. Notes
3.10% due 05/15/2023

     250,000        244,475  
     

 

 

 
        713,956  
     

 

 

 

Banks-Super Regional - 1.1%

     

SunTrust Banks, Inc.
Senior Notes
2.70% due 01/27/2022

     500,000        486,538  

SunTrust Banks, Inc.
Senior Notes
2.90% due 03/03/2021

     250,000        247,137  

US Bancorp
Senior Notes
3.00% due 03/15/2022

     250,000        247,238  

US Bancorp
Sub. Notes
3.60% due 09/11/2024

     500,000        495,524  

Wells Fargo & Co.
Senior Notes
2.60% due 07/22/2020

     250,000        247,520  

Wells Fargo & Co.
Senior Notes
3.58% due 05/22/2028

     250,000        239,869  
     

 

 

 
        1,963,826  
     

 

 

 

Beverages-Non-alcoholic - 0.1%

     

PepsiCo, Inc.
Senior Notes
1.35% due 10/04/2019

     250,000        246,562  
     

 

 

 

Brewery - 0.3%

     

Anheuser-Busch InBev Finance, Inc.
Company Guar. Notes
4.70% due 02/01/2036

     500,000        500,671  
     

 

 

 

Cable/Satellite TV - 0.3%

     

Comcast Corp.
Company Guar. Notes
3.30% due 02/01/2027

     250,000        236,314  

Time Warner Cable LLC
Senior Sec. Notes
6.55% due 05/01/2037

     250,000        271,192  
     

 

 

 
        507,506  
     

 

 

 

Casino Hotels - 0.2%

     

Boyd Gaming Corp.
Company Guar. Notes
6.88% due 05/15/2023

     250,000        262,625  
     

 

 

 

Cellular Telecom - 0.6%

     

Crown Castle Towers LLC
Senior Sec. Notes
4.24% due 07/15/2048*

     250,000        252,293  

Sprint Corp.
Company Guar. Notes
7.88% due 09/15/2023

     250,000        269,687  

T-Mobile USA, Inc.
Company Guar. Notes
6.38% due 03/01/2025

     500,000        520,900  
     

 

 

 
        1,042,880  
     

 

 

 

Chemicals-Diversified - 0.3%

     

Westlake Chemical Corp.
Company Guar. Notes
3.60% due 07/15/2022

     218,000        214,428  

Westlake Chemical Corp.
Company Guar. Notes
3.60% due 08/15/2026

     250,000        235,112  
     

 

 

 
        449,540  
     

 

 

 

Computer Services - 0.1%

     

International Business Machines Corp.
Senior Notes
1.95% due 02/12/2019

     250,000        249,531  
     

 

 

 

Computers - 0.3%

     

Apple, Inc.
Senior Notes
2.40% due 05/03/2023

     250,000        240,354  

Apple, Inc.
Senior Notes
3.20% due 05/11/2027

     250,000        241,706  
     

 

 

 
        482,060  
     

 

 

 

Containers-Paper/Plastic - 0.4%

     

Graphic Packaging International, Inc.
Company Guar. Notes
4.88% due 11/15/2022

     500,000        502,500  

Sealed Air Corp.
Company Guar. Notes
6.88% due 07/15/2033*

     250,000        268,750  
     

 

 

 
        771,250  
     

 

 

 

Diversified Banking Institutions - 2.0%

     

Bank of America Corp.
Senior Notes
2.88% due 04/24/2023

     250,000        243,093  

Bank of America Corp.
Senior Notes
3.50% due 04/19/2026

     250,000        241,703  

Bank of America Corp. FRS
Senior Notes
3.51% (3 ML+1.16%) due 01/20/2023

     250,000        254,228  

Citigroup, Inc. FRS
Senior Notes
3.75% (3 ML+1.43%) due 09/01/2023

     200,000        204,726  


Citigroup, Inc.
Sub. Notes
4.45% due 09/29/2027

     500,000        494,223  

Goldman Sachs Group, Inc. FRS
Senior Notes
3.44% (3 ML+1.11%) due 04/26/2022

     250,000        252,956  

Goldman Sachs Group, Inc.
Senior Notes
5.25% due 07/27/2021

     500,000        523,499  

JPMorgan Chase & Co.
Senior Notes
3.54% due 05/01/2028

     250,000        238,787  

JPMorgan Chase & Co.
Senior Notes
3.63% due 05/13/2024

     250,000        247,787  

JPMorgan Chase & Co.
Senior Notes
4.25% due 10/15/2020

     250,000        254,825  

Morgan Stanley FRS
Senior Notes
3.75% (3 ML+1.40%) due 04/21/2021

     250,000        256,270  

Morgan Stanley
Senior Notes
4.00% due 07/23/2025

     250,000        249,167  

Morgan Stanley
Senior Notes
6.25% due 08/09/2026

     250,000        281,034  
     

 

 

 
        3,742,298  
     

 

 

 

Diversified Manufacturing Operations - 0.1%

     

General Electric Capital Corp.
Sub. Notes
5.30% due 02/11/2021

     144,000        150,054  
     

 

 

 

E-Commerce/Products - 0.4%

     

Amazon.com, Inc.
Senior Notes
2.40% due 02/22/2023

     250,000        240,528  

Amazon.com, Inc.
Senior Notes
4.05% due 08/22/2047

     500,000        492,534  
     

 

 

 
        733,062  
     

 

 

 

Electric-Distribution - 0.3%

     

Entergy Louisiana LLC
Collateral Trust Bonds
4.00% due 03/15/2033

     500,000        501,209  
     

 

 

 

Electric-Generation - 0.1%

     

Indiantown Cogeneration LP
1st Mtg. Notes
9.77% due 12/15/2020

     74,548        79,374  
     

 

 

 

Electric-Integrated - 1.4%

     

Black Hills Corp.
Senior Notes
2.50% due 01/11/2019

     250,000        249,712  

Black Hills Corp.
Senior Notes
4.20% due 09/15/2046

     500,000        461,142  

Dominion Resources, Inc.
Junior Sub. Notes
2.96% due 07/01/2019

     200,000        199,900  

PacifiCorp
1st Mtg. Notes
5.25% due 06/15/2035

     500,000        561,239  

PPL Electric Utilities Corp.
1st Mtg. Notes
3.95% due 06/01/2047

     250,000        240,912  

PPL Energy Supply LLC
Senior Notes
4.60% due 12/15/2021

     1,000,000        855,000  
     

 

 

 
        2,567,905  
     

 

 

 

Electric-Transmission - 0.3%

     

Oncor Electric Delivery Co. LLC
Senior Sec. Notes
7.00% due 09/01/2022

     500,000        565,329  
     

 

 

 

Electronic Components-Misc. - 0.1%

     

Corning, Inc.
Senior Notes
4.75% due 03/15/2042

     250,000        249,504  
     

 

 

 

Enterprise Software/Service - 0.4%

     

Oracle Corp.
Senior Notes
1.90% due 09/15/2021

     250,000        241,381  

Oracle Corp.
Senior Notes
3.25% due 11/15/2027

     250,000        240,553  

Oracle Corp.
Senior Notes
3.40% due 07/08/2024

     250,000        247,843  
     

 

 

 
        729,777  
     

 

 

 

Finance-Commercial - 0.1%

     

Jefferies Finance LLC/JFIN Co-Issuer Corp.
Senior Notes
7.38% due 04/01/2020*

     250,000        254,062  
     

 

 

 

Finance-Investment Banker/Broker - 0.1%

     

Jefferies Group LLC
Senior Notes
4.85% due 01/15/2027

     250,000        245,800  
     

 

 

 

Finance-Other Services - 0.1%

     

GTP Acquisition Partners I LLC
Sec. Notes
2.35% due 06/15/2045*

     250,000        244,492  
     

 

 

 

Food-Misc./Diversified - 0.1%

     

Kraft Heinz Foods Co.
Company Guar. Notes
3.95% due 07/15/2025

     250,000        246,357  
     

 

 

 


Gas-Distribution - 0.2%

     

NiSource, Inc.
Senior Notes
6.25% due 12/15/2040

     250,000        289,752  
     

 

 

 

Home Decoration Products - 0.1%

     

Newell Brands, Inc.
Senior Notes
4.20% due 04/01/2026

     250,000        237,777  
     

 

 

 

Hotels/Motels - 0.3%

     

Choice Hotels International, Inc.
Company Guar. Notes
5.75% due 07/01/2022

     500,000        527,500  
     

 

 

 

Independent Power Producers - 0.2%

     

GenOn Energy, Inc.
Senior Notes
9.88% due 10/15/2020†(9)(10)

     500,000        337,500  
     

 

 

 

Insurance-Mutual - 0.3%

     

MassMutual Global Funding II
Senior Sec. Notes
2.35% due 04/09/2019*

     250,000        249,526  

New York Life Global Funding
Sec. Notes
2.15% due 06/18/2019*

     250,000        249,021  
     

 

 

 
        498,547  
     

 

 

 

Medical Instruments - 0.4%

     

Medtronic, Inc.
Company Guar. Notes
2.50% due 03/15/2020

     250,000        248,335  

Medtronic, Inc.
Company Guar. Notes
4.38% due 03/15/2035

     500,000        517,087  
     

 

 

 
        765,422  
     

 

 

 

Medical Labs & Testing Services - 0.1%

     

Roche Holdings, Inc. FRS
Company Guar. Notes
2.73% (3 ML+0.34%) due 09/30/2019*

     250,000        250,748  
     

 

 

 

Medical-Biomedical/Gene - 0.8%

     

Amgen, Inc.
Senior Notes
2.20% due 05/22/2019

     250,000        249,090  

Amgen, Inc.
Senior Notes
3.88% due 11/15/2021

     250,000        253,593  

Celgene Corp.
Senior Notes
3.45% due 11/15/2027

     500,000        466,768  

Gilead Sciences, Inc.
Senior Notes
3.50% due 02/01/2025

     250,000        245,615  

Gilead Sciences, Inc.
Senior Notes
4.40% due 12/01/2021

     250,000        258,177  
     

 

 

 
        1,473,243  
     

 

 

 

Medical-Drugs - 0.1%

     

AbbVie, Inc.
Senior Notes
2.90% due 11/06/2022

     250,000        242,877  
     

 

 

 

Medical-Hospitals - 0.6%

     

HCA, Inc.
Company Guar. Notes
5.88% due 05/01/2023

     500,000        527,500  

Surgery Center Holdings, Inc.
Company Guar. Notes
8.88% due 04/15/2021*

     500,000        520,625  
     

 

 

 
        1,048,125  
     

 

 

 

Non-Hazardous Waste Disposal - 0.4%

     

Advanced Disposal Services, Inc.
Company Guar. Notes
5.63% due 11/15/2024*

     250,000        251,875  

Republic Services, Inc.
Senior Notes
5.25% due 11/15/2021

     250,000        263,059  

Waste Pro USA, Inc.
Senior Notes
5.50% due 02/15/2026*

     250,000        244,375  
     

 

 

 
        759,309  
     

 

 

 

Office Automation & Equipment - 0.3%

     

CDW LLC/CDW Finance Corp.
Company Guar. Notes
5.50% due 12/01/2024

     500,000        517,500  
     

 

 

 

Oil & Gas Drilling - 0.4%

     

Nabors Industries, Inc.
Company Guar. Notes
5.10% due 09/15/2023

     500,000        476,678  

Rowan Cos., Inc.
Company Guar. Notes
4.75% due 01/15/2024

     250,000        223,125  
     

 

 

 
        699,803  
     

 

 

 

Oil Companies-Exploration & Production - 0.3%

     

W&T Offshore, Inc.
Sec. Notes
10.00% due 06/15/2021*(5)

     169,876        174,972  

W&T Offshore, Inc.
Sec. Notes
10.75% due 05/15/2020*(5)

     186,664        187,598  

Whiting Petroleum Corp.
Company Guar. Notes
5.75% due 03/15/2021

     250,000        256,250  
     

 

 

 
        618,820  
     

 

 

 

Oil Refining & Marketing - 0.1%

     

Phillips 66
Company Guar. Notes
4.30% due 04/01/2022

     250,000        257,068  
     

 

 

 


Oil-Field Services - 0.3%

     

Exterran Partners LP/EXLP Finance Corp.
Company Guar. Notes
6.00% due 04/01/2021

     500,000        502,500  
     

 

 

 

Pharmacy Services - 0.3%

     

CVS Health Corp.
Senior Notes
4.30% due 03/25/2028

     500,000        496,079  
     

 

 

 

Physical Therapy/Rehabilitation Centers - 0.4%

     

HealthSouth Corp.
Company Guar. Notes
5.75% due 11/01/2024

     750,000        755,625  
     

 

 

 

Pipelines - 1.4%

     

Buckeye Partners LP
Senior Notes
4.13% due 12/01/2027

     250,000        231,054  

Columbia Pipeline Group, Inc.
Company Guar. Notes
3.30% due 06/01/2020

     250,000        249,585  

Columbia Pipeline Group, Inc.
Company Guar. Notes
5.80% due 06/01/2045

     250,000        278,206  

El Paso Natural Gas Co. LLC
Company Guar. Notes
7.50% due 11/15/2026

     500,000        595,324  

NGPL PipeCo LLC
Senior Notes
4.38% due 08/15/2022*

     500,000        503,750  

Plains All American Pipeline LP/PAA Finance Corp.
Senior Notes
4.50% due 12/15/2026

     500,000        499,491  

Southeast Supply Header LLC
Senior Notes
4.25% due 06/15/2024*

     250,000        249,011  
     

 

 

 
        2,606,421  
     

 

 

 

Real Estate Investment Trusts - 1.3%

     

Alexandria Real Estate Equities, Inc.
Company Guar. Notes
2.75% due 01/15/2020

     200,000        198,182  

Alexandria Real Estate Equities, Inc.
Company Guar. Notes
4.60% due 04/01/2022

     250,000        256,599  

CubeSmart LP
Company Guar. Notes
4.80% due 07/15/2022

     250,000        257,056  

Hospitality Properties Trust
Senior Notes
4.65% due 03/15/2024

     250,000        248,498  

Hospitality Properties Trust
Senior Notes
5.00% due 08/15/2022

     250,000        256,106  

Omega Healthcare Investors, Inc.
Company Guar. Notes
5.25% due 01/15/2026

     250,000        253,148  

Physicians Realty LP
Company Guar. Notes
4.30% due 03/15/2027

     500,000        481,583  

Simon Property Group LP
Senior Notes
4.13% due 12/01/2021

     250,000        255,077  

Ventas Realty LP/Ventas Capital Corp.
Company Guar. Notes
3.25% due 08/15/2022

     250,000        245,279  
     

 

 

 
        2,451,528  
     

 

 

 

Rental Auto/Equipment - 0.1%

     

ERAC USA Finance LLC
Senior Notes
4.50% due 08/16/2021*

     250,000        255,590  
     

 

 

 

Savings & Loans/Thrifts - 0.0%

     

Washington Mutual Bank
Escrow Notes
5.50% due 01/15/2013†(6)(7)

     125,000        0  
     

 

 

 

Steel-Specialty - 0.4%

     

Allegheny Technologies, Inc.
Senior Notes
6.38% due 08/15/2023

     750,000        802,500  
     

 

 

 

Storage/Warehousing - 0.3%

     

Mobile Mini, Inc.
Company Guar. Notes
5.88% due 07/01/2024

     500,000        507,500  
     

 

 

 

Telecom Services - 0.3%

     

Qwest Corp.
Senior Notes
6.75% due 12/01/2021

     500,000        533,623  
     

 

 

 

Telephone-Integrated - 0.1%

     

Sprint Capital Corp.
Company Guar. Notes
6.90% due 05/01/2019

     250,000        254,062  
     

 

 

 

Web Hosting/Design - 0.1%

     

VeriSign, Inc.
Senior Notes
5.25% due 04/01/2025

     250,000        254,687  
     

 

 

 

Total U.S. Corporate Bonds & Notes

     

(cost $38,111,730)

        38,122,728  
     

 

 

 

FOREIGN CORPORATE BONDS & NOTES - 1.6%

     

Agricultural Chemicals - 0.1%

     

OCI NV
Senior Sec. Notes
6.63% due 04/15/2023*

     200,000        207,000  
     

 

 

 

Banks-Commercial - 0.1%

     

ING Groep NV
Senior Notes
3.15% due 03/29/2022

     250,000        243,855  
     

 

 

 


Cellular Telecom - 0.2%

     

Vodafone Group PLC FRS
Senior Notes
3.33% (3 ML+0.99%) due 01/16/2024

     250,000        250,609  
     

 

 

 

Diversified Banking Institutions - 0.1%

     

UBS Group Funding Switzerland AG
Company Guar. Notes
3.49% due 05/23/2023*

     250,000        244,965  
     

 

 

 

Diversified Financial Services - 0.2%

     

GE Capital International Funding Co. ULC
Company Guar. Notes
2.34% due 11/15/2020

     413,000        403,549  
     

 

 

 

Electric-Integrated - 0.1%

     

TransAlta Corp.
Senior Notes
4.50% due 11/15/2022

     250,000        244,406  
     

 

 

 

Oil Companies-Integrated - 0.7%

     

BP Capital Markets PLC
Company Guar. Notes
4.75% due 03/10/2019

     750,000        756,974  

Suncor Energy, Inc.
Senior Notes
4.00% due 11/15/2047

     500,000        469,183  
     

 

 

 
        1,226,157  
     

 

 

 

Oil-Field Services - 0.1%

     

Weatherford International, Ltd.
Company Guar. Notes
4.50% due 04/15/2022

     250,000        218,750  
     

 

 

 

Total Foreign Corporate Bonds & Notes

     

(cost $3,083,122)

        3,039,291  
     

 

 

 

U.S. GOVERNMENT AGENCIES - 9.2%

     

Federal Home Loan Mtg. Corp. - 2.6%

     

3.00% due 04/01/2035

     51,831        50,847  

3.00% due 09/01/2035

     68,112        66,417  

3.00% due 10/01/2042

     291,053        281,268  

3.00% due 05/01/2043

     122,402        118,151  

3.00% due 07/01/2045

     150,264        144,562  

3.00% due 01/01/2047

     106,632        102,684  

3.50% due 07/01/2042

     108,117        107,245  

3.50% due 10/01/2042

     105,272        104,431  

3.50% due 08/01/2043

     176,853        175,428  

3.50% due 02/01/2044

     163,000        161,340  

3.50% due 08/01/2045

     209,494        207,579  

3.50% due 07/01/2046

     78,810        78,090  

3.50% due 01/01/2047

     218,836        216,367  

4.00% due 10/01/2045

     187,853        191,392  

4.00% due 08/01/2047

     200,131        203,625  

4.00% due 01/01/2048

     125,118        127,439  

4.00% due 06/01/2048

     193,933        197,361  

4.50% due 11/01/2043

     106,918        112,156  

5.00% due 01/01/2034

     49,503        52,539  

5.00% due 04/01/2035

     43,866        46,556  

5.00% due 03/01/2048

     93,707        100,415  

6.00% due 05/01/2031

     10,493        11,604  

6.00% due 09/01/2032

     2,068        2,247  

7.50% due 12/01/2030

     12,909        13,276  

7.50% due 01/01/2031

     17,248        18,381  

7.50% due 02/01/2031

     1,855        2,025  

Federal Home Loan Mtg. Corp. Multifamily Mtg. Trust REMIC
Series K074, Class A2
3.60% due 01/25/2028(3)

     160,000        159,901  

Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs. VRS
Series K069, Class A2
3.19% due 09/25/2027(2)(3)

     70,000        67,933  

Series K075, Class A2

3.65% due 02/25/2028(2)(3)

     50,000        50,321  

Series K076, Class A2

3.90% due 06/25/2051(3)

     50,000        51,156  

Federal Home Loan Mtg. Corp. Multifamily Structured Pass Through Certs.

     

Series K058, Class A2

2.65% due 08/25/2026(3)

     120,000        113,332  

Series K071, Class A2

3.29% due 11/25/2027(3)

     100,000        97,762  

Series K072, Class A2

3.44% due 12/25/2027(3)

     160,000        158,109  

Federal Home Loan Mtg. Corp. REMIC

     

Series 4127, Class EJ

2.50% due 11/15/2032(4)

     103,635        98,433  

Series 4033, Class ED

2.50% due 10/15/2036(4)

     133,663        131,251  

Series 4097, Class HI

3.00% due 08/15/2027(4)(8)

     626,984        59,775  

Series 4579, Class BA

3.00% due 01/15/2043(4)

     107,918        105,757  

Series 4343, Class DI

3.50% due 08/15/2040(4)(8)

     285,220        34,412  

Series 4121, Class UI

3.50% due 10/15/2042(4)(8)

     409,282        82,558  

Series 4650, Class CA

3.50% due 05/15/2043(4)

     42,459        42,674  

Series 4648, Class E

3.50% due 08/15/2043(4)

     73,741        73,222  


Series 4673, Class NT

3.50% due 09/15/2043(4)

     120,000        117,019  

Series 3924, Class LB

4.00% due 05/15/2039(4)

     200,000        202,218  

Series 4135, Class DI

4.00% due 11/15/2042(4)(8)

     226,196        40,125  

Series 2015-4440, Class ZX

4.00% due 01/15/2045(4)

     115,384        117,471  

Series 4463, Class ZA

4.00% due 04/15/2045(4)

     57,309        57,431  

Federal Home Loan Mtg. Corp. STRIPS
Series 2012-276, Class 40
4.00% due 09/15/2042(4)

     92,748        94,670  
     

 

 

 
        4,848,955  
     

 

 

 

Federal National Mtg. Assoc. - 5.1%

     

1.50% due 06/22/2020

     100,000        97,865  

2.00% due 01/05/2022

     500,000        485,566  

2.00% due 02/01/2032

     212,826        199,639  

2.38% due 01/19/2023

     250,000        243,717  

2.50% due 06/01/2027

     116,397        113,233  

2.50% due 08/01/2028

     131,026        127,383  

2.50% due 03/01/2030

     90,204        87,442  

3.00% due 04/01/2027

     36,093        35,866  

3.00% due 05/01/2029

     47,096        46,683  

3.00% due 03/01/2030

     103,103        102,199  

3.00% due 08/01/2031

     149,831        148,516  

3.00% due 10/01/2036

     106,049        103,409  

3.00% due 10/01/2042

     109,043        105,354  

3.00% due 11/01/2042

     178,904        172,811  

3.00% due 12/01/2042

     258,630        249,743  

3.00% due 02/01/2043

     98,322        94,926  

3.00% due 04/01/2043

     147,216        141,870  

3.00% due 06/01/2043

     178,856        172,743  

3.00% due 08/01/2043

     141,675        136,817  

3.00% due 07/01/2046

     211,974        203,206  

3.00% due 12/01/2046

     87,551        83,928  

3.50% due 08/01/2031

     72,230        72,766  

3.50% due 02/01/2033

     130,186        131,197  

3.50% due 01/01/2036

     160,230        160,346  

3.50% due 09/01/2042

     115,166        114,233  

3.50% due 11/01/2042

     152,305        151,072  

3.50% due 02/01/2043

     54,899        54,516  

3.50% due 05/01/2043

     125,457        124,579  

3.50% due 09/01/2044

     80,864        80,297  

3.50% due 11/01/2044

     130,589        130,158  

3.50% due 03/01/2045

     127,656        126,197  

3.50% due 06/01/2045

     69,396        68,909  

3.50% due 09/01/2045

     70,543        69,731  

3.50% due 11/01/2045

     154,179        152,623  

3.50% due 03/01/2046

     99,676        98,873  

3.50% due 04/01/2046

     156,818        155,456  

3.50% due 03/01/2047

     153,892        152,384  

3.50% due 10/01/2047

     187,789        185,429  

4.00% due 09/01/2040

     143,782        146,291  

4.00% due 08/01/2043

     161,994        165,485  

4.00% due 04/01/2044

     180,651        184,545  

4.00% due 08/01/2044

     121,702        124,321  

4.00% due 10/01/2044

     166,490        168,954  

4.00% due 12/01/2044

     96,859        98,947  

4.00% due 09/01/2045

     74,160        75,722  

4.00% due 05/01/2046

     184,580        188,149  

4.00% due 07/01/2046

     81,504        82,992  

4.00% due 07/01/2047

     89,476        91,121  

4.00% due 10/01/2047

     91,586        93,202  

4.00% due 12/01/2047

     93,085        94,814  

4.00% due 02/01/2048

     95,466        97,090  

4.50% due 03/01/2041

     171,480        178,449  

4.50% due 09/01/2043

     337,908        354,271  

4.50% due 12/01/2044

     153,774        161,221  

4.50% due 11/01/2045

     170,119        177,870  

5.00% due 02/01/2040

     124,874        133,442  

5.00% due 07/01/2041

     150,682        160,956  

5.00% due 02/01/2044

     144,175        153,541  

6.00% due 05/01/2031

     4,748        5,218  

6.50% due 06/01/2019

     407        446  

6.50% due 09/01/2024

     8,989        9,855  

6.50% due 09/01/2025

     2,185        2,395  

6.50% due 11/01/2025

     3,144        3,447  

6.50% due 05/01/2026

     9,243        10,134  

6.50% due 11/01/2027

     140        153  

6.50% due 01/01/2032

     3,074        3,370  

7.00% due 05/01/2029

     4,107        4,489  

7.00% due 09/01/2029

     4,891        4,944  

7.00% due 01/01/2031

     1,884        1,956  

7.50% due 01/01/2031

     5,194        5,447  

7.50% due 02/01/2031

     1,331        1,358  

Federal National Mtg. Assoc. REMIC VRS
Series 2015-38, Class AS
1.59% due 06/25/2045(2)(4)(8)

     352,591        18,411  

Federal National Mtg. Assoc. REMIC

     

Series 2012-122, Class AD

2.00% due 02/25/2040(4)

     38,110        36,501  

Series 2013-2, Class BI

2.50% due 02/25/2028(4)(8)

     377,697        28,639  

Series 2017-54, Class IO

3.00% due 07/25/2032(4)(8)

     336,650        43,884  

Series 2016-92, Class A

3.00% due 04/25/2042(4)

     86,694        83,713  

Series 2016-100, Class DA

3.00% due 02/25/2043(4)

     63,644        62,103  

Series 2016-38, Class NA

3.00% due 01/25/2046(4)

     205,277        199,943  

Series 2016-30, Class IL

3.50% due 04/25/2034(4)(8)

     723,061        96,120  

Series 2016-4, Class LI

3.50% due 02/25/2036(4)(8)

     439,325        71,887  

Series 2015-20, Class EH

3.50% due 11/25/2042(4)

     200,000        200,605  

Series 2017-66, Class C

3.50% due 08/25/2045(4)

     60,000        57,232  

Series 2015-12, Class BY

4.00% due 03/25/2045(4)

     100,000        103,562  

Series 2017-22, Class DZ

4.00% due 04/25/2047(4)

     74,321        75,294  

Series 2015-18, Class IA

4.50% due 04/25/2045(4)(8)

     371,803        89,907  

Series 2002-16, Class TM

7.00% due 04/25/2032(4)

     66,791        73,641  
     

 

 

 
        9,407,719  
     

 

 

 


Government National Mtg. Assoc. - 1.5%

     

3.00% due 11/15/2042

     235,948        229,622  

3.00% due 02/15/2043

     170,905        166,331  

3.50% due 09/15/2042

     131,769        131,624  

3.50% due 05/15/2043

     66,700        66,627  

3.50% due 09/20/2045

     129,523        129,098  

3.50% due 06/20/2046

     163,950        163,258  

3.50% due 05/20/2047

     94,654        94,795  

3.50% due 11/20/2047

     98,405        97,914  

4.00% due 10/20/2044

     138,898        141,779  

4.00% due 07/20/2047

     95,773        98,139  

4.50% due 05/15/2039

     39,936        41,674  

5.50% due 07/20/2033

     75,491        81,330  

6.00% due 07/20/2033

     52,285        57,085  

6.50% due 12/15/2023

     7,558        8,291  

6.50% due 03/20/2027

     443        445  

6.50% due 04/20/2027

     6,271        6,436  

7.00% due 12/15/2022

     1,566        1,569  

7.00% due 05/15/2023

     354        354  

7.00% due 12/15/2023

     1,651        1,740  

7.00% due 04/15/2028

     8,989        9,158  

7.50% due 08/15/2030

     12,070        12,232  

7.50% due 09/15/2030

     3,924        4,026  

7.50% due 11/15/2030

     1        1  

7.50% due 01/15/2031

     9,258        10,107  

Government National Mtg. Assoc. REMIC VRS

     

Series 2018-99, Class IO

0.52% due 06/16/2060(2)(3)(8)

     399,281        23,697  

Series 2017-157, Class IO

0.57% due 12/16/2059(2)(3)(8)

     986,169        56,885  

Series 2013-101, Class IO

0.61% due 10/16/2054(2)(3)(8)

     2,058,656        63,115  

Series 2013-57, Class IO

0.70% due 06/16/2054(2)(3)(8)

     2,121,387        67,173  

Series 2013-30, Class IO

0.80% due 09/16/2053(2)(3)(8)

     1,340,256        56,251  

Series 2012-139, Class IO

0.81% due 02/16/2053(2)(3)(8)

     3,382,224        176,147  

Series 2013-40, Class IO

0.82% due 06/16/2054(2)(3)(8)

     1,049,489        43,202  

Series 2014-135, Class IO

0.83% due 01/16/2056(2)(3)(8)

     698,425        36,740  

Series 2013-80, Class IO

0.84% due 03/16/2052(2)(3)(8)

     1,374,632        75,871  

Series 2013-68, Class IO

0.88% due 02/16/2046(2)(3)(8)

     1,064,247        51,856  

Government National Mtg. Assoc. REMIC

     

Series 2017-51, Class AH

2.60% due 05/16/2059(3)

     98,196        92,032  

Series 2017-190, Class AD

2.60% due 03/16/2060(3)

     98,863        92,584  

Series 2017-56, Class NZ

3.00% due 04/20/2047(4)

     52,168        43,750  

Series 2015-63, Class ZB

3.25% due 05/20/2045(4)

     89,565        86,641  

Series 2012-3, Class LA

3.50% due 03/20/2038(4)

     47,323        47,461  

Series 2017-45, Class KI

4.00% due 10/20/2043(4)(8)

     658,315        101,024  
     

 

 

 
        2,668,064  
     

 

 

 

Total U.S. Government Agencies

     

(cost $17,778,737)

        16,924,738  
     

 

 

 

U.S. GOVERNMENT TREASURIES - 0.7%

     

United States Treasury Bonds - 0.4%

     

2.25% due 08/15/2046

     250,000        206,445  

3.00% due 11/15/2044

     250,000        241,318  

4.25% due 11/15/2040

     165,000        193,089  

5.25% due 11/15/2028

     100,000        118,942  

6.25% due 08/15/2023

     80,000        91,956  
     

 

 

 
        851,750  
     

 

 

 

United States Treasury Notes - 0.3%

     

1.13% due 03/31/2020

     70,000        68,324  

1.88% due 08/31/2022

     250,000        240,283  

2.13% due 12/31/2022

     80,000        77,403  

3.13% due 05/15/2021

     100,000        100,633  
     

 

 

 
        486,643  
     

 

 

 

Total U.S. Government Treasuries

     

(cost $1,451,485)

        1,338,393  
     

 

 

 

LOANS(11)(12)(13) - 0.4%

     

Computer Software - 0.3%

     

Ivanti Software, Inc. FRS
2nd Lien
11.08% (1 ML+2.08%) due 01/20/2025

     500,000        481,666  
     

 

 

 

Pipelines - 0.1%

     

BCP Renaissance Parent LLC FRS
BTL-B
5.84% (3 ML+2.34%) due 10/31/2024

     250,000        251,429  
     

 

 

 

Total Loans

     

(cost $742,973)

        733,095  
     

 

 

 

Total Long-Term Investment Securities

     

(cost $161,053,006)

        177,316,860  
     

 

 

 

REPURCHASE AGREEMENTS - 3.8%

     

Agreement with Fixed Income Clearing Corp., bearing interest at 0.42%, dated 09/28/2018, to be repurchased 10/01/2018 in the amount of $6,930,243 collateralized by $7,120,000 of United States Treasury Notes, bearing interest at 3.13% due 08/15/2044 and having an approximate value of $7,071,527
(cost $6,930,000)

     6,930,000        6,930,000  
     

 

 

 

TOTAL INVESTMENTS

     

(cost $167,983,006)

     99.8      184,246,860  

Other assets less liabilities

     0.2        400,795  
  

 

 

    

 

 

 

NET ASSETS

     100.0    $ 184,647,655  
  

 

 

    

 

 

 

 

#

Subsequent to September 30, 2018, the SA Edge Asset Allocation Portfolio changed its name to SA PGI Asset Allocation Portfolio effective on October 15, 2018.

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, 2018, the aggregate value of these securities was $9,730,610 representing 5.3% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)

Perpetual maturity - maturity date reflects the next call date.

(2)

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.

(3)

Commercial Mortgage Backed Security

(4)

Collateralized Mortgage Obligation

(5)

PIK (“Payment-in-Kind”) security - Income may be paid in additional securities or cash at the discretion of the issuer. The security is currently paying interest in the form of additional securities at the coupon rate listed.

(6)

Securities classified as Level 3 (see Note 1).

(7)

Illiquid security. At September 30, 2018, the aggregate value of these securities was $0 representing 0.0% of net assets.

(8)

Interest Only

(9)

Security in default of interest.

(10)

Company has filed for bankruptcy protection.

(11)

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.

(12)

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 Offer 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 Fund is ordinarily contractually obligated to receive approval from the Agent Bank and/or borrower prior to the disposition of a senior loan.

(13)

All loans in the Portfolio were purchased through assignment agreements unless otherwise indicated.

ADR  -  American Depositary Receipt

ETF  -  Exchange-Traded Fund

NYSE  -  New York Stock Exchange

REMIC  -  Real Estate Mortgage Investment Conduit

STRIPS  -  Separate trading of registered interest and principal of securities

TSX  -  Toronto Stock Exchange

ULC  -  Unlimited Liability Corp.

FRS  -  Floating Rate Security

VRS  -  Variable Rate Security

The rates shown on FRS and VRS are the current interest rates at September 30, 2018 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

The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2018 (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

   $ 104,351,705      $ —        $ —        $ 104,351,705  

Exchange-Traded Funds

     3,679,135        —        —        3,679,135  

Preferred Securities/Capital Securities

     —        523,797        —        523,797  

Asset Backed Securities

     —        8,603,978        —        8,603,978  

U.S. Corporate Bonds & Notes:

           

Savings & Loans/Thrifts

     —        —        0        0  

Other Industries

     —        38,122,728        —        38,122,728  

Foreign Corporate Bonds & Notes

     —        3,039,291        —        3,039,291  

U.S. Government Agencies

     —        16,924,738        —        16,924,738  

U.S. Government Treasuries

     —        1,338,393        —        1,338,393  

Loans

     —        733,095        —        733,095  

Repurchase Agreements

     —        6,930,000        —        6,930,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments at Value

   $ 108,030,840      $ 76,216,020      $ 0      $ 184,246,860  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

At the beginning and end of the reporting period, Level 3 investments were not considered a material portion of the Portfolio.

See Notes to Portfolio of Investments


Anchor Series Trust SA Wellington Growth and Income Portfolio#

PORTFOLIO OF INVESTMENTS - September 30, 2018 - (unaudited)

 

Security Description

   Shares/
Principal
Amount
     Value
(Note 1)
 

COMMON STOCKS - 99.6%

 

Aerospace/Defense - 1.9%

 

Boeing Co.

     8,193      $   3,046,977  
     

 

 

 

Airlines - 0.7%

 

United Continental Holdings, Inc.†

     11,954        1,064,623  
     

 

 

 

Apparel Manufacturers - 1.7%

 

Under Armour, Inc., Class C†

     63,947        1,244,409  

VF Corp.

     15,847        1,480,902  
     

 

 

 
        2,725,311  
     

 

 

 

Applications Software - 5.4%

 

Microsoft Corp.

     58,523        6,693,275  

salesforce.com, Inc.†

     11,053        1,757,759  
     

 

 

 
        8,451,034  
     

 

 

 

Athletic Footwear - 1.8%

 

NIKE, Inc., Class B

     32,807        2,779,409  
     

 

 

 

Banks-Commercial - 0.8%

 

SVB Financial Group†

     4,149        1,289,634  
     

 

 

 

Banks-Super Regional - 3.2%

 

Capital One Financial Corp.

     17,945        1,703,519  

Fifth Third Bancorp

     30,218        843,686  

PNC Financial Services Group, Inc.

     18,082        2,462,588  
     

 

 

 
        5,009,793  
     

 

 

 

Beverages-Non-alcoholic - 1.3%

 

Monster Beverage Corp.†

     34,515        2,011,534  
     

 

 

 

Building & Construction Products-Misc. - 0.8%

 

Fortune Brands Home & Security, Inc.

     25,060        1,312,142  
     

 

 

 

Cable/Satellite TV - 1.5%

 

Comcast Corp., Class A

     68,185        2,414,431  
     

 

 

 

Chemicals-Diversified - 2.1%

 

DowDuPont, Inc.

     25,341        1,629,680  

PPG Industries, Inc.

     14,897        1,625,709  
     

 

 

 
        3,255,389  
     

 

 

 

Coatings/Paint - 0.9%

 

Sherwin-Williams Co.

     3,240        1,474,880  
     

 

 

 

Commercial Services-Finance - 3.3%

 

Equifax, Inc.

     7,493        978,361  

FleetCor Technologies, Inc.†

     6,917        1,575,969  

Global Payments, Inc.

     13,272        1,690,853  

IHS Markit, Ltd.†

     19,241        1,038,245  
     

 

 

 
        5,283,428  
     

 

 

 

Computer Services - 0.7%

 

EPAM Systems, Inc.†

     7,918        1,090,309  
     

 

 

 

Computer Software - 0.8%

 

SS&C Technologies Holdings, Inc.

     21,243        1,207,240  
     

 

 

 

Computers - 2.9%

 

Apple, Inc.

     20,502        4,628,122  
     

 

 

 

Computers-Memory Devices - 1.1%

 

NetApp, Inc.

     19,607        1,684,045  
     

 

 

 

Cosmetics & Toiletries - 1.8%

 

Colgate-Palmolive Co.

     21,762        1,456,966  

Estee Lauder Cos., Inc., Class A

     9,234        1,341,885  
     

 

 

 
        2,798,851  
     

 

 

 

Diagnostic Equipment - 2.1%

 

Danaher Corp.

     10,959        1,190,805  

Thermo Fisher Scientific, Inc.

     8,969        2,189,154  
     

 

 

 
        3,379,959  
     

 

 

 

Diversified Banking Institutions - 6.1%

 

Bank of America Corp.

     134,492        3,962,134  

JPMorgan Chase & Co.

     38,843        4,383,044  

Morgan Stanley

     26,642        1,240,718  
     

 

 

 
        9,585,896  
     

 

 

 

Diversified Manufacturing Operations - 1.7%

 

Eaton Corp. PLC

     16,777        1,455,069  

Illinois Tool Works, Inc.

     8,917        1,258,367  
     

 

 

 
        2,713,436  
     

 

 

 

E-Commerce/Products - 4.1%

 

Amazon.com, Inc.†

     2,668        5,344,004  

eBay, Inc.†

     33,245        1,097,750  
     

 

 

 
        6,441,754  
     

 

 

 

E-Commerce/Services - 1.4%

 

Booking Holdings, Inc.†

     1,102        2,186,368  
     

 

 

 

E-Services/Consulting - 0.7%

 

CDW Corp.

     12,225        1,087,047  
     

 

 

 

Electric Products-Misc. - 1.1%

 

AMETEK, Inc.

     21,924        1,734,627  
     

 

 

 

Electric-Integrated - 1.5%

 

American Electric Power Co., Inc.

     16,040        1,136,915  

NextEra Energy, Inc.

     7,455        1,249,458  
     

 

 

 
        2,386,373  
     

 

 

 

Electronic Components-Semiconductors - 2.5%

 

Advanced Micro Devices, Inc.†

     52,933        1,635,100  

Micron Technology, Inc.†

     32,227        1,457,627  

ON Semiconductor Corp.†

     42,899        790,629  
     

 

 

 
        3,883,356  
     

 

 

 

Enterprise Software/Service - 0.8%

 

Workday, Inc., Class A†

     9,149        1,335,571  
     

 

 

 

Finance-Credit Card - 4.0%

 

American Express Co.

     15,244        1,623,333  

Mastercard, Inc., Class A

     21,344        4,751,388  
     

 

 

 
        6,374,721  
     

 

 

 

Hotels/Motels - 1.0%

 

Hilton Worldwide Holdings, Inc.

     18,722        1,512,363  
     

 

 

 

Industrial Automated/Robotic - 0.8%

 

Nordson Corp.

     9,197        1,277,463  
     

 

 

 

Insurance-Life/Health - 0.7%

 

Athene Holding, Ltd., Class A†

     21,943        1,133,575  
     

 

 

 

Insurance-Multi-line - 2.6%

 

Allstate Corp.

     19,687        1,943,107  

Chubb, Ltd.

     16,188        2,163,364  
     

 

 

 
        4,106,471  
     

 

 

 

Internet Content-Entertainment - 1.1%

 

Facebook, Inc., Class A†

     10,207        1,678,643  
     

 

 

 

Investment Management/Advisor Services - 0.7%

 

BlackRock, Inc.

     2,320        1,093,486  
     

 

 

 

Machinery-General Industrial - 0.6%

 

Middleby Corp.†

     7,474        966,762  
     

 

 

 


Machinery-Pumps - 0.5%

 

Gardner Denver Holdings, Inc.†

     25,613        725,872  
     

 

 

 

Medical Instruments - 2.3%

 

Boston Scientific Corp.†

     41,163        1,584,776  

Medtronic PLC

     20,035        1,970,843  
     

 

 

 
        3,555,619  
     

 

 

 

Medical Labs & Testing Services - 1.0%

 

Laboratory Corp. of America Holdings†

     8,807        1,529,600  
     

 

 

 

Medical Products - 3.5%

 

Abbott Laboratories

     27,090        1,987,323  

Baxter International, Inc.

     28,433        2,191,900  

Hologic, Inc.†

     31,643        1,296,730  
     

 

 

 
        5,475,953  
     

 

 

 

Medical-Biomedical/Gene - 0.7%

 

Seattle Genetics, Inc.†

     14,843        1,144,692  
     

 

 

 

Medical-Drugs - 4.3%

 

Allergan PLC

     7,722        1,470,887  

Bristol-Myers Squibb Co.

     24,350        1,511,648  

Eli Lilly & Co.

     16,722        1,794,438  

Merck & Co., Inc.

     27,926        1,981,070  
     

 

 

 
        6,758,043  
     

 

 

 

Medical-HMO - 3.6%

 

Anthem, Inc.

     7,985        2,188,289  

UnitedHealth Group, Inc.

     13,094        3,483,528  
     

 

 

 
        5,671,817  
     

 

 

 

Oil Companies-Exploration & Production - 3.7%

 

Continental Resources, Inc.†

     27,564        1,882,070  

EOG Resources, Inc.

     14,302        1,824,506  

Newfield Exploration Co.†

     27,918        804,876  

Pioneer Natural Resources Co.

     7,518        1,309,561  
     

 

 

 
        5,821,013  
     

 

 

 

Oil-Field Services - 0.7%

 

Halliburton Co.

     26,149        1,059,819  
     

 

 

 

Retail-Discount - 2.4%

 

Costco Wholesale Corp.

     8,919        2,094,895  

Dollar Tree, Inc.†

     21,083        1,719,318  
     

 

 

 
        3,814,213  
     

 

 

 

Telecommunication Equipment - 0.0%

 

Nortel Networks Corp.†(1)(2)

     147        0  
     

 

 

 

Telephone-Integrated - 1.9%

 

Verizon Communications, Inc.

     55,319        2,953,481  
     

 

 

 

Textile-Home Furnishings - 0.8%

 

Mohawk Industries, Inc.†

     7,021        1,231,132  
     

 

 

 

Tools-Hand Held - 1.0%

 

Snap-on, Inc.

     8,489        1,558,580  
     

 

 

 

Transport-Rail - 1.0%

 

Norfolk Southern Corp.

     8,348        1,506,814  
     

 

 

 

Transport-Truck - 0.6%

 

JB Hunt Transport Services, Inc.

     8,031        955,207  
     

 

 

 

Web Hosting/Design - 1.4%

 

GoDaddy, Inc., Class A†

     27,330        2,279,049  
     

 

 

 

Web Portals/ISP - 4.0%

 

Alphabet, Inc., Class A†

     3,648        4,403,428  

Alphabet, Inc., Class C†

     1,603        1,913,132  
     

 

 

 
        6,316,560  
     

 

 

 

Total Long-Term Investment Securities

(cost $114,049,602)

        156,762,487  
     

 

 

 

REPURCHASE AGREEMENTS - 0.7%

 

Bank of America Securities LLC Joint Repurchase Agreement(3)

   $ 205,000        205,000  

Barclays Capital, Inc. Joint Repurchase Agreement(3)

     65,000        65,000  

BNP Paribas SA Joint Repurchase Agreement(3)

     410,000        410,000  

Deutsche Bank AG Joint Repurchase Agreement(3)

     70,000        70,000  

RBS Securities, Inc. Joint Repurchase Agreement(3)

     320,000        320,000  
     

 

 

 

Total Repurchase Agreements

(cost $1,070,000)

        1,070,000  
     

 

 

 

TOTAL INVESTMENTS

(cost $115,119,602)

     100.3      157,832,487  

Liabilities in excess of other assets

     (0.3      (426,056
  

 

 

    

 

 

 

NET ASSETS

     100.0    $ 157,406,431  
  

 

 

    

 

 

 

 

#

Subsequent to September 30, 2018, the SA Wellington Growth and Income Portfolio reorganized into SA AB Growth Portfolio, a series of SunAmerica Series Trust, effective on October 22, 2018.

Non-income producing security

(1)

Illiquid security. At September 30, 2018, the aggregate value of these securities was $0 representing 0.0% of net assets.

(2)

Securities classified as Level 3 (see Note 1).

(3)

See Note 2 for details of Joint Repurchase Agreements.

The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2018 (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:

           

Telecommunication Equipment

   $ —        $ —        $ 0      $ 0  

Other Industries

     156,762,487        —          —          156,762,487  

Repurchase Agreements

     —          1,070,000        —          1,070,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments at Value

   $ 156,762,487      $ 1,070,000      $ 0      $ 157,832,487  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during 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.

See Notes to Portfolio of Investments


Anchor Series Trust SA Wellington Growth Portfolio#

PORTFOLIO OF INVESTMENTS - September 30, 2018 - (unaudited)

 

Security Description

   Shares/
Principal
Amount
     Value
(Note 1)
 

COMMON STOCKS - 99.3%

 

Aerospace/Defense - 1.5%

 

General Dynamics Corp.

     9,346      $   1,913,313  

Lockheed Martin Corp.

     6,201        2,145,298  
     

 

 

 
        4,058,611  
     

 

 

 

Agricultural Chemicals - 0.3%

 

Nutrien, Ltd.

     13,450        776,604  
     

 

 

 

Agricultural Operations - 0.2%

 

Archer-Daniels-Midland Co.

     11,634        584,841  
     

 

 

 

Airlines - 0.8%

 

Delta Air Lines, Inc.

     17,263        998,319  

Southwest Airlines Co.

     20,091        1,254,683  
     

 

 

 
        2,253,002  
     

 

 

 

Apparel Manufacturers - 1.1%

 

Carter’s, Inc.

     7,918        780,715  

Under Armour, Inc., Class C†

     49,508        963,425  

VF Corp.

     12,911        1,206,533  
     

 

 

 
        2,950,673  
     

 

 

 

Applications Software - 2.5%

 

Microsoft Corp.

     29,387        3,360,991  

salesforce.com, Inc.†

     10,979        1,745,991  

ServiceNow, Inc.†

     8,946        1,750,106  
     

 

 

 
        6,857,088  
     

 

 

 

Athletic Footwear - 2.3%

 

NIKE, Inc., Class B

     74,177        6,284,275  
     

 

 

 

Auto-Cars/Light Trucks - 0.3%

 

General Motors Co.

     25,310        852,188  
     

 

 

 

Banks-Commercial - 0.4%

 

Bank OZK

     32,164        1,220,945  
     

 

 

 

Banks-Super Regional - 3.2%

 

Capital One Financial Corp.

     12,656        1,201,434  

PNC Financial Services Group, Inc.

     39,557        5,387,268  

Wells Fargo & Co.

     43,249        2,273,167  
     

 

 

 
        8,861,869  
     

 

 

 

Beverages-Non-alcoholic - 3.5%

 

Coca-Cola Co.

     95,564        4,414,101  

Monster Beverage Corp.†

     42,165        2,457,376  

PepsiCo, Inc.

     23,627        2,641,499  
     

 

 

 
        9,512,976  
     

 

 

 

Beverages-Wine/Spirits - 1.4%

 

Constellation Brands, Inc., Class A

     2,711        584,546  

Diageo PLC

     95,439        3,382,306  
     

 

 

 
        3,966,852  
     

 

 

 

Building & Construction Products-Misc. - 0.3%

 

Fortune Brands Home & Security, Inc.

     17,250        903,210  
     

 

 

 

Building Products-Air & Heating - 0.6%

 

Johnson Controls International PLC

     23,128        809,480  

Lennox International, Inc.

     3,711        810,482  
     

 

 

 
        1,619,962  
     

 

 

 

Building Products-Cement - 0.3%

 

CRH PLC

     22,520        737,337  
     

 

 

 

Building Products-Doors & Windows - 0.4%

 

JELD-WEN Holding, Inc.†

     10,787        266,007  

Sanwa Holdings Corp.

     74,800        890,727  
     

 

 

 
        1,156,734  
     

 

 

 

Cable/Satellite TV - 0.8%

 

Comcast Corp., Class A

     58,350        2,066,174  
     

 

 

 

Chemicals-Diversified - 0.6%

 

Celanese Corp., Series A

     13,584        1,548,576  
     

 

 

 

Chemicals-Specialty - 0.2%

 

Cabot Corp.

     7,340        460,365  
     

 

 

 

Coatings/Paint - 0.3%

 

Sherwin-Williams Co.

     1,932        879,466  
     

 

 

 

Commercial Services - 1.0%

 

CoStar Group, Inc.†

     3,868        1,627,809  

Ecolab, Inc.

     7,472        1,171,460  
     

 

 

 
        2,799,269  
     

 

 

 

Commercial Services-Finance - 2.7%

 

FleetCor Technologies, Inc.†

     7,901        1,800,164  

Global Payments, Inc.

     13,946        1,776,720  

IHS Markit, Ltd.†

     16,570        894,117  

PayPal Holdings, Inc.†

     13,775        1,209,996  

TransUnion

     23,677        1,742,154  
     

 

 

 
        7,423,151  
     

 

 

 

Computer Services - 2.4%

 

Accenture PLC, Class A

     16,984        2,890,677  

Amdocs, Ltd.

     13,675        902,277  

Genpact, Ltd.

     95,643        2,927,632  
     

 

 

 
        6,720,586  
     

 

 

 

Computers - 0.6%

 

Apple, Inc.

     6,760        1,526,002  
     

 

 

 

Computers-Memory Devices - 0.5%

 

Western Digital Corp.

     21,240        1,243,390  
     

 

 

 

Containers-Paper/Plastic - 0.5%

 

Packaging Corp. of America

     13,496        1,480,376  
     

 

 

 

Cosmetics & Toiletries - 2.2%

 

Colgate-Palmolive Co.

     59,991        4,016,398  

Coty, Inc., Class A

     54,107        679,584  

Edgewell Personal Care Co.†

     14,997        693,311  

Estee Lauder Cos., Inc., Class A

     5,337        775,573  
     

 

 

 
        6,164,866  
     

 

 

 

Diagnostic Equipment - 0.5%

 

Thermo Fisher Scientific, Inc.

     5,439        1,327,551  
     

 

 

 

Diversified Banking Institutions - 1.9%

 

Citigroup, Inc.

     39,014        2,798,864  

JPMorgan Chase & Co.

     20,637        2,328,679  
     

 

 

 
        5,127,543  
     

 

 

 

Diversified Manufacturing Operations - 0.2%

 

A.O. Smith Corp.

     8,374        446,920  
     

 

 

 

E-Commerce/Products - 2.0%

 

Alibaba Group Holding, Ltd. ADR†

     8,600        1,416,936  

Amazon.com, Inc.†

     1,067        2,137,201  

Delivery Hero AG†*

     25,083        1,206,259  

Wayfair, Inc., Class A†

     4,541        670,570  
     

 

 

 
        5,430,966  
     

 

 

 

E-Commerce/Services - 2.3%

 

Booking Holdings, Inc.†

     794        1,575,296  

Expedia Group, Inc.

     18,240        2,379,955  

Just Eat PLC†

     150,135        1,311,488  

Zillow Group, Inc., Class A†

     24,624        1,088,381  
     

 

 

 
        6,355,120  
     

 

 

 


E-Services/Consulting - 0.7%

 

CDW Corp.

     19,995        1,777,955  
     

 

 

 

Electric-Distribution - 0.3%

 

Sempra Energy

     7,133        811,379  
     

 

 

 

Electric-Integrated - 1.4%

 

Edison International

     15,463        1,046,536  

Exelon Corp.

     27,424        1,197,332  

Iberdrola SA

     102,716        755,860  

OGE Energy Corp.

     22,515        817,745  
     

 

 

 
        3,817,473  
     

 

 

 

Electronic Components-Misc. - 0.4%

 

Koninklijke Philips NV

     22,369        1,018,013  
     

 

 

 

Electronic Components-Semiconductors - 0.7%

 

Broadcom, Inc.

     5,217        1,287,191  

Samsung Electronics Co., Ltd.

     17,243        722,053  

Silicon Motion Technology Corp. ADR

     550        29,535  
     

 

 

 
        2,038,779  
     

 

 

 

Electronic Forms - 0.5%

 

Adobe Systems, Inc.†

     5,286        1,426,956  
     

 

 

 

Electronic Measurement Instruments - 0.6%

 

Agilent Technologies, Inc.

     22,867        1,613,038  
     

 

 

 

Enterprise Software/Service - 0.7%

 

Atlassian Corp. PLC, Class A†

     9,369        900,736  

Workday, Inc., Class A†

     7,828        1,142,731  
     

 

 

 
        2,043,467  
     

 

 

 

Finance-Consumer Loans - 0.4%

 

SLM Corp.†

     90,278        1,006,600  
     

 

 

 

Finance-Credit Card - 3.6%

 

American Express Co.

     44,865        4,777,674  

Mastercard, Inc., Class A

     10,725        2,387,492  

Visa, Inc., Class A

     18,310        2,748,148  
     

 

 

 
        9,913,314  
     

 

 

 

Finance-Investment Banker/Broker - 0.4%

 

TD Ameritrade Holding Corp.

     22,647        1,196,441  
     

 

 

 

Food-Meat Products - 0.3%

 

Hormel Foods Corp.

     18,362        723,463  
     

 

 

 

Food-Retail - 0.3%

 

Kroger Co.

     24,544        714,476  
     

 

 

 

Footwear & Related Apparel - 0.3%

 

Skechers U.S.A., Inc., Class A†

     30,955        864,573  
     

 

 

 

Garden Products - 0.2%

 

Toro Co.

     7,828        469,445  
     

 

 

 

Gold Mining - 0.1%

 

Randgold Resources, Ltd. ADR

     5,466        385,626  
     

 

 

 

Home Decoration Products - 0.4%

 

Newell Brands, Inc.

     53,332        1,082,640  
     

 

 

 

Hotels/Motels - 0.4%

 

Hilton Worldwide Holdings, Inc.

     11,945        964,917  
     

 

 

 

Independent Power Producers - 0.6%

 

NRG Energy, Inc.

     46,153        1,726,122  
     

 

 

 

Industrial Automated/Robotic - 0.3%

 

Nordson Corp.

     6,314        877,015  
     

 

 

 

Industrial Gases - 0.9%

 

Praxair, Inc.

     15,916        2,558,179  
     

 

 

 

Instruments-Controls - 0.6%

 

Mettler-Toledo International, Inc.†

     2,565        1,562,034  
     

 

 

 

Insurance Brokers - 1.2%

 

Arthur J. Gallagher & Co.

     11,007        819,361  

Marsh & McLennan Cos., Inc.

     28,797        2,382,088  
     

 

 

 
        3,201,449  
     

 

 

 

Insurance-Life/Health - 0.7%

 

CNO Financial Group, Inc.

     37,438        794,434  

Unum Group

     27,108        1,059,110  
     

 

 

 
        1,853,544  
     

 

 

 

Insurance-Multi-line - 2.8%

 

Chubb, Ltd.

     35,492        4,743,151  

MetLife, Inc.

     61,310        2,864,403  
     

 

 

 
        7,607,554  
     

 

 

 

Insurance-Property/Casualty - 0.2%

 

Lancashire Holdings, Ltd.

     66,187        524,510  
     

 

 

 

Insurance-Reinsurance - 0.6%

 

RenaissanceRe Holdings, Ltd.

     12,637        1,688,051  
     

 

 

 

Internet Content-Entertainment - 0.4%

 

Facebook, Inc., Class A†

     7,313        1,202,696  
     

 

 

 

Internet Content-Information/News - 0.6%

 

Spotify Technology SA†

     9,545        1,726,022  
     

 

 

 

Investment Management/Advisor Services - 0.6%

 

BlackRock, Inc.

     3,486        1,643,056  
     

 

 

 

Lasers-System/Components - 0.2%

 

Coherent, Inc.†

     3,817        657,249  
     

 

 

 

Machinery-General Industrial - 0.2%

 

Middleby Corp.†

     5,191        671,456  
     

 

 

 

Medical Instruments - 1.9%

 

Medtronic PLC

     38,636        3,800,623  

Teleflex, Inc.

     5,579        1,484,516  
     

 

 

 
        5,285,139  
     

 

 

 

Medical Products - 1.8%

 

Baxter International, Inc.

     38,160        2,941,754  

Hologic, Inc.†

     19,366        793,619  

West Pharmaceutical Services, Inc.

     9,353        1,154,815  
     

 

 

 
        4,890,188  
     

 

 

 

Medical-Biomedical/Gene - 2.5%

 

Alnylam Pharmaceuticals, Inc.†

     16,821        1,472,174  

BeiGene, Ltd. ADR†

     7,117        1,225,690  

Biogen, Inc.†

     2,794        987,148  

Five Prime Therapeutics, Inc.†

     9,720        135,302  

Incyte Corp.†

     9,361        646,658  

Ionis Pharmaceuticals, Inc.†

     33,859        1,746,447  

Seattle Genetics, Inc.†

     8,373        645,726  
     

 

 

 
        6,859,145  
     

 

 

 


Medical-Drugs - 3.1%

 

Alkermes PLC†

     27,446        1,164,808  

Allergan PLC

     11,010        2,097,185  

AstraZeneca PLC ADR

     12,556        496,841  

Bristol-Myers Squibb Co.

     78,245        4,857,450  
     

 

 

 
        8,616,284  
     

 

 

 

Medical-Generic Drugs - 0.5%

 

Mylan NV†

     36,949        1,352,333  
     

 

 

 

Medical-HMO - 1.1%

 

UnitedHealth Group, Inc.

     6,279        1,670,465  

WellCare Health Plans, Inc.†

     4,598        1,473,613  
     

 

 

 
        3,144,078  
     

 

 

 

Medical-Wholesale Drug Distribution - 0.4%

 

McKesson Corp.

     8,991        1,192,656  
     

 

 

 

Metal-Aluminum - 0.2%

 

Alcoa Corp.†

     16,100        650,440  
     

 

 

 

Multimedia - 0.5%

 

Walt Disney Co.

     11,640        1,361,182  
     

 

 

 

Non-Hazardous Waste Disposal - 0.5%

 

Waste Connections, Inc.

     18,759        1,496,405  
     

 

 

 

Office Furnishings-Original - 0.8%

 

Herman Miller, Inc.

     26,675        1,024,320  

Steelcase, Inc., Class A

     59,016        1,091,796  
     

 

 

 
        2,116,116  
     

 

 

 

Oil Companies-Exploration & Production - 2.6%

 

Anadarko Petroleum Corp.

     14,526        979,198  

Canadian Natural Resources, Ltd.

     49,073        1,602,724  

Cimarex Energy Co.

     11,852        1,101,525  

Concho Resources, Inc.†

     5,792        884,728  

Diamondback Energy, Inc.

     5,615        759,092  

Laredo Petroleum, Inc.†

     52,975        432,806  

Marathon Oil Corp.

     34,682        807,397  

Pioneer Natural Resources Co.

     3,224        561,588  
     

 

 

 
        7,129,058  
     

 

 

 

Oil Companies-Integrated - 0.7%

 

Chevron Corp.

     15,446        1,888,737  
     

 

 

 

Oil-Field Services - 0.4%

 

Halliburton Co.

     27,513        1,115,102  
     

 

 

 

Real Estate Investment Trusts - 4.7%

 

Acadia Realty Trust

     18,839        528,057  

American Tower Corp.

     24,702        3,589,200  

Brixmor Property Group, Inc.

     47,878        838,344  

Columbia Property Trust, Inc.

     37,559        887,895  

Host Hotels & Resorts, Inc.

     74,989        1,582,268  

Public Storage

     16,128        3,251,889  

Simon Property Group, Inc.

     4,299        759,848  

STORE Capital Corp.

     33,654        935,245  

Taubman Centers, Inc.

     7,056        422,160  
     

 

 

 
        12,794,906  
     

 

 

 

Retail-Automobile - 0.6%

 

CarMax, Inc.†

     20,522        1,532,378  
     

 

 

 

Retail-Discount - 1.6%

 

Costco Wholesale Corp.

     18,220        4,279,514  
     

 

 

 

Retail-Drug Store - 0.5%

 

Walgreens Boots Alliance, Inc.

     19,892        1,450,127  
     

 

 

 

Retail-Major Department Stores - 1.7%

 

TJX Cos., Inc.

     42,117        4,717,946  
     

 

 

 

Retail-Restaurants - 2.0%

 

Dunkin’ Brands Group, Inc.

     10,725        790,647  

McDonald’s Corp.

     28,643        4,791,688  
     

 

 

 
        5,582,335  
     

 

 

 

Schools - 0.3%

 

2U, Inc.†

     12,406        932,807  
     

 

 

 

Semiconductor Components-Integrated Circuits - 0.7%

 

Marvell Technology Group, Ltd.

     32,750        632,075  

QUALCOMM, Inc.

     18,030        1,298,701  
     

 

 

 
        1,930,776  
     

 

 

 

Semiconductor Equipment - 0.6%

 

KLA-Tencor Corp.

     11,032        1,122,065  

Teradyne, Inc.

     11,532        426,453  
     

 

 

 
        1,548,518  
     

 

 

 

Steel Pipe & Tube - 0.3%

 

Tenaris SA ADR

     22,448        752,457  
     

 

 

 

Steel-Producers - 0.6%

 

Reliance Steel & Aluminum Co.

     18,582        1,584,859  
     

 

 

 

Telecom Equipment-Fiber Optics - 0.2%

 

Acacia Communications, Inc.†

     11,118        459,952  
     

 

 

 

Telephone-Integrated - 1.0%

 

Verizon Communications, Inc.

     53,155        2,837,945  
     

 

 

 

Tobacco - 0.9%

 

British American Tobacco PLC

     25,894        1,209,778  

Philip Morris International, Inc.

     15,341        1,250,905  
     

 

 

 
        2,460,683  
     

 

 

 

Tools-Hand Held - 0.4%

 

Snap-on, Inc.

     5,896        1,082,506  
     

 

 

 

Transport-Rail - 3.2%

 

Canadian National Railway Co.

     45,367        4,070,790  

Genesee & Wyoming, Inc., Class A†

     10,056        914,995  

Union Pacific Corp.

     23,811        3,877,145  
     

 

 

 
        8,862,930  
     

 

 

 

Transport-Services - 1.3%

 

Expeditors International of Washington, Inc.

     15,851        1,165,524  

United Parcel Service, Inc., Class B

     20,755        2,423,146  
     

 

 

 
        3,588,670  
     

 

 

 

Web Hosting/Design - 0.7%

 

VeriSign, Inc.†

     11,111        1,779,093  
     

 

 

 

Web Portals/ISP - 1.5%

 

Alphabet, Inc., Class C†

     2,236        2,668,599  

Yandex NV, Class A†

     47,405        1,559,150  
     

 

 

 
        4,227,749  
     

 

 

 

Total Common Stocks

(cost $230,485,423)

        272,467,994  
     

 

 

 


EXCHANGE-TRADED FUNDS - 0.1%

 

Vanguard S&P 500 ETF
(cost $233,644)

     912        243,549  
     

 

 

 

Total Long-Term Investment Securities

(cost $230,719,067)

        272,711,543  
     

 

 

 

REPURCHASE AGREEMENTS - 1.0%

     

Bank of America Securities LLC Joint Repurchase Agreement(1)

   $ 535,000        535,000  

Barclays Capital, Inc. Joint Repurchase Agreement(1)

     175,000        175,000  

BNP Paribas SA Joint Repurchase Agreement(1)

     1,030,000        1,030,000  

Deutsche Bank AG Joint Repurchase Agreement(1)

     185,000        185,000  

RBS Securities, Inc. Joint Repurchase Agreement(1)

     835,000        835,000  
     

 

 

 

Total Repurchase Agreements

(cost $2,760,000)

        2,760,000  
     

 

 

 

TOTAL INVESTMENTS

(cost $233,479,067)

     100.3      275,471,543  

Liabilities in excess of other assets

     (0.3      (845,215
  

 

 

    

 

 

 

NET ASSETS

     100.0    $ 274,626,328  
  

 

 

    

 

 

 

 

#

Subsequent to September 30, 2018, the SA Wellington Growth Portfolio reorganized into SA AB Growth Portfolio, a series of SunAmerica Series Trust, effective on October 22, 2018.

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, 2018, the aggregate value of these securities was $1,206,259 representing 0.4 % of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)

See Note 2 for details of Joint Repurchase Agreements.

ADR - American Depositary Receipt

ETF - Exchange-Traded Fund

The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2018 (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

   $ 272,467,994      $ —        $ —        $ 272,467,994  

Exchange-Traded Funds

     243,549        —          —          243,549  

Repurchase Agreements

     —          2,760,000        —          2,760,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments at Value

   $ 272,711,543      $ 2,760,000      $ —        $ 275,471,543  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $10,018,265 transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

See Notes to Portfolio of Investments


Anchor Series Trust SA Wellington Capital Appreciation Portfolio

PORTFOLIO OF INVESTMENTS - September 30, 2018 - (unaudited)

 

Security Description

   Shares/
Principal
Amount
     Value
(Note 1)
 

COMMON STOCKS - 98.3%

     

Aerospace/Defense-Equipment - 1.0%

     

Harris Corp.

     91,815      $ 15,536,016  
     

 

 

 

Airlines - 1.2%

     

JetBlue Airways Corp.†

     1,019,262        19,732,912  
     

 

 

 

Apparel Manufacturers - 0.8%

     

Under Armour, Inc., Class A†

     148,595        3,153,186  

Under Armour, Inc., Class C†

     474,706        9,237,779  
     

 

 

 
        12,390,965  
     

 

 

 

Applications Software - 6.6%

     

salesforce.com, Inc.†

     391,372        62,239,889  

ServiceNow, Inc.†

     220,605        43,156,956  
     

 

 

 
        105,396,845  
     

 

 

 

Auto-Cars/Light Trucks - 2.3%

     

Ferrari NV

     148,640        20,350,302  

Tesla, Inc.†

     62,540        16,558,716  
     

 

 

 
        36,909,018  
     

 

 

 

Beverages-Non-alcoholic - 1.4%

     

Monster Beverage Corp.†

     375,728        21,897,428  
     

 

 

 

Building Products-Cement - 0.9%

     

Vulcan Materials Co.

     126,798        14,099,938  
     

 

 

 

Casino Hotels - 1.0%

     

Melco Resorts & Entertainment, Ltd. ADR

     744,607        15,748,438  
     

 

 

 

Commercial Services - 2.4%

     

CoStar Group, Inc.†

     89,509        37,668,968  
     

 

 

 

Commercial Services-Finance - 2.9%

     

PayPal Holdings, Inc.†

     526,137        46,215,874  
     

 

 

 

Computer Aided Design - 1.0%

     

Autodesk, Inc.†

     105,586        16,483,031  
     

 

 

 

Computer Software - 0.4%

     

Zuora, Inc., Class A†(1)

     274,545        6,344,735  
     

 

 

 

Computers-Periphery Equipment - 0.9%

     

Logitech International SA

     13,718        613,469  

Logitech International SA(SIX)

     314,977        14,076,718  
     

 

 

 
        14,690,187  
     

 

 

 

Containers-Paper/Plastic - 0.9%

     

Packaging Corp. of America

     131,351        14,407,891  
     

 

 

 

Cruise Lines - 1.1%

     

Norwegian Cruise Line Holdings, Ltd.†

     291,745        16,754,915  
     

 

 

 

Dental Supplies & Equipment - 1.8%

     

Align Technology, Inc.†

     71,514        27,977,707  
     

 

 

 

Drug Delivery Systems - 1.5%

     

DexCom, Inc.†

     169,315        24,218,818  
     

 

 

 

E-Commerce/Products - 10.9%

     

Amazon.com, Inc.†

     69,863        139,935,589  

Wayfair, Inc., Class A†

     228,303        33,713,504  
     

 

 

 
        173,649,093  
     

 

 

 

E-Commerce/Services - 0.4%

     

TripAdvisor, Inc.†

     133,660        6,826,016  
     

 

 

 

Electronic Components-Semiconductors - 1.9%

     

Advanced Micro Devices, Inc.†

     541,235        16,718,749  

Microchip Technology, Inc.

     164,731        12,998,923  
     

 

 

 
        29,717,672  
     

 

 

 

Electronic Forms - 2.9%

     

Adobe Systems, Inc.†

     173,584        46,859,001  

DocuSign, Inc. CVR†(1)(2)(3)

     55,398        124,645  
     

 

 

 
        46,983,646  
     

 

 

 

Enterprise Software/Service - 5.5%

     

Guidewire Software, Inc.†

     348,740        35,226,228  

Workday, Inc., Class A†

     354,293        51,719,692  
     

 

 

 
        86,945,920  
     

 

 

 

Entertainment Software - 0.2%

     

DraftKings, Inc.†(1)(2)(3)

     1,438,464        3,667,450  
     

 

 

 

Finance-Credit Card - 2.2%

     

American Express Co.

     332,000        35,354,680  
     

 

 

 

Finance-Investment Banker/Broker - 1.8%

     

TD Ameritrade Holding Corp.

     536,950        28,367,069  
     

 

 

 

Food-Misc./Diversified - 1.5%

     

Lamb Weston Holdings, Inc.

     363,584        24,214,695  
     

 

 

 

Hotels/Motels - 2.4%

     

Hilton Grand Vacations, Inc.†

     325,615        10,777,856  

Hilton Worldwide Holdings, Inc.

     341,624        27,596,387  
     

 

 

 
        38,374,243  
     

 

 

 

Industrial Automated/Robotic - 1.5%

     

Rockwell Automation, Inc.

     128,985        24,187,267  
     

 

 

 

Internet Content-Entertainment - 1.1%

     

Netflix, Inc.†

     47,335        17,709,444  
     

 

 

 

Internet Content-Information/News - 1.7%

     

Spotify Technology SA†

     151,362        27,370,791  
     

 

 

 

Lighting Products & Systems - 0.5%

     

Universal Display Corp.

     65,096        7,674,818  
     

 

 

 

Machinery-Farming - 1.3%

     

Deere & Co.

     136,937        20,585,739  
     

 

 

 

Machinery-General Industrial - 0.9%

     

IDEX Corp.

     82,186        12,382,143  

Roper Technologies, Inc.

     7,900        2,340,059  
     

 

 

 
        14,722,202  
     

 

 

 

Medical Instruments - 1.6%

     

Edwards Lifesciences Corp.†

     149,373        26,005,839  
     

 

 

 

Medical Products - 3.8%

     

Baxter International, Inc.

     415,795        32,053,636  

Haemonetics Corp.†

     248,803        28,507,848  
     

 

 

 
        60,561,484  
     

 

 

 

Medical-Biomedical/Gene - 4.9%

     

Bluebird Bio, Inc.†

     26,237        3,830,602  

Exact Sciences Corp.†

     654,120        51,623,151  

Ionis Pharmaceuticals, Inc.†

     246,264        12,702,297  

Sage Therapeutics, Inc.†

     72,736        10,273,960  
     

 

 

 
        78,430,010  
     

 

 

 

Medical-Drugs - 1.0%

     

Bristol-Myers Squibb Co.

     263,475        16,356,528  
     

 

 

 

Multimedia - 2.1%

     

Walt Disney Co.

     290,435        33,963,469  
     

 

 

 

Office Automation & Equipment - 1.1%

     

Zebra Technologies Corp., Class A†

     98,745        17,461,078  
     

 

 

 

Oil Companies-Exploration & Production - 2.0%

     

Diamondback Energy, Inc.

     118,389        16,005,009  

EOG Resources, Inc.

     118,169        15,074,819  
     

 

 

 
        31,079,828  
     

 

 

 


Patient Monitoring Equipment - 1.4%

     

Insulet Corp.†

     213,777        22,649,673  
     

 

 

 

Real Estate Investment Trusts - 1.0%

     

Crown Castle International Corp.

     139,598        15,541,445  
     

 

 

 

Recreational Centers - 1.1%

     

Planet Fitness, Inc., Class A†

     312,259        16,871,354  
     

 

 

 

Recreational Vehicles - 0.9%

     

Polaris Industries, Inc.

     143,515        14,487,839  
     

 

 

 

Resorts/Theme Parks - 2.0%

     

Marriott Vacations Worldwide Corp.

     120,889        13,509,346  

Vail Resorts, Inc.

     68,340        18,753,863  
     

 

 

 
        32,263,209  
     

 

 

 

Retail-Floor Coverings - 0.9%

     

Floor & Decor Holdings, Inc., Class A†

     462,135        13,942,613  
     

 

 

 

Schools - 1.3%

     

2U, Inc.†

     265,460        19,959,937  
     

 

 

 

Semiconductor Equipment - 1.1%

     

Teradyne, Inc.

     464,241        17,167,632  
     

 

 

 

Textile-Home Furnishings - 0.7%

     

Mohawk Industries, Inc.†

     67,356        11,810,875  
     

 

 

 

Transport-Rail - 1.1%

     

CSX Corp.

     233,632        17,300,450  
     

 

 

 

Veterinary Diagnostics - 0.1%

     

Elanco Animal Health, Inc.†

     28,800        1,004,832  
     

 

 

 

Web Hosting/Design - 2.2%

     

GoDaddy, Inc., Class A†

     202,750        16,907,322  

Shopify, Inc., Class A†

     108,523        17,847,693  
     

 

 

 
        34,755,015  
     

 

 

 

Web Portals/ISP - 3.2%

     

Alphabet, Inc., Class A†

     42,376        51,151,222  
     

 

 

 

Total Common Stocks

     

(cost $1,280,448,672)

        1,565,588,763  
     

 

 

 

CONVERTIBLE PREFERRED SECURITIES - 2.2%

     

Advertising Services - 0.0%

     

Nanigans, Inc., Series B†(1)(2)(3)

     126,818        759,640  
     

 

 

 

Applications Software - 0.2%

     

Magic Leap, Inc., Series C†(1)(2)(3)

     93,690        2,529,630  
     

 

 

 

E-Commerce/Products - 0.2%

     

One Kings Lane Inc., Escrow†(1)(2)(3)

     291,563        52,481  

The Honest Co., Inc., Series C†(1)(2)(3)

     97,634        3,079,377  
     

 

 

 
        3,131,858  
     

 

 

 

E-Commerce/Services - 1.7%

     

Airbnb, Inc., Series E†(1)(2)(3)

     46,491        5,325,079  

Uber Technologies, Inc., Series D†(1)(2)(3)

     462,320        21,318,090  
     

 

 

 
        26,643,169  
     

 

 

 

Web Portals/ISP - 0.1%

     

Pinterest, Inc., Series G†(1)(2)(3)

     390,940        2,181,445  
     

 

 

 

Total Convertible Preferred Securities

     

(cost $20,563,866)

        35,245,742  
     

 

 

 

Total Long-Term Investment Securities

     

(cost $1,301,012,538)

        1,600,834,505  
     

 

 

 

REPURCHASE AGREEMENTS - 0.7%

     

Bank of America Securities LLC Joint Repurchase Agreement(4)

   $ 2,150,000        2,150,000  

Barclays Capital, Inc. Joint Repurchase Agreement(4)

     715,000        715,000  

BNP Paribas SA Joint Repurchase Agreement(4)

     4,070,000        4,070,000  

Deutsche Bank AG Joint Repurchase Agreement(4)

     755,000        755,000  

RBS Securities, Inc. Joint Repurchase Agreement(4)

     3,345,000        3,345,000  
     

 

 

 

Total Repurchase Agreements

     

(cost $11,035,000)

        11,035,000  
     

 

 

 

TOTAL INVESTMENTS

     

(cost $1,312,047,538)

     101.2      1,611,869,505  

Liabilities in excess of other assets

     (1.2      (19,282,353
  

 

 

    

 

 

 

NET ASSETS

     100.0    $ 1,592,587,152  
  

 

 

    

 

 

 

 

Non-income producing security

(1)

Illiquid security. At September 30, 2018, the aggregate value of these securities was $45,382,572 representing 2.8% of net assets.

(2)

Securities classified as Level 3 (see Note 1).

(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, 2018, the Portfolio held the following restricted securities:

 

Description    Acquisition
Date
     Shares      Acquisition
Cost
     Value      Value
Per Share
     % of
Net Assets
 

Common Stocks

                 

DraftKings, Inc.

     07/16/2015        640,163        2,337,660           
     07/17/2015        23,563        86,045           
     08/11/2015        774,738        2,996,033           
     

 

 

    

 

 

          
        1,438,464      $ 5,419,738      $ 3,667,450      $ 2.55        0.23
     

 

 

    

 

 

          

Convertible Preferred Securities

                 

Airbnb, Inc., Series E

     06/24/2015        46,491        4,328,052        5,325,079        114.54        0.33  

The Honest Co., Inc., Series C

     08/20/2014        97,634        2,641,712        3,079,377        31.54        0.19  

Magic Leap, Inc., Series C

     12/28/2015        93,690        2,157,962        2,529,630        27.00        0.16  

Nanigans, Inc., Series B

     03/16/2015        126,818        1,384,662        759,640        5.99        0.05  

Pinterest, Inc., Series G

     03/19/2015        390,940        2,806,594        2,181,445        5.58        0.14  

Uber Technologies, Inc., Series D

     06/05/2014        462,320        7,171,993        21,318,090        46.11        1.34  
           

 

 

       

 

 

 
            $ 38,860,711           2.44
           

 

 

       

 

 

 

 

(4)

See Note 2 for details of Joint Repurchase Agreements.

ADR  -  American Depositary Receipt

CVR  -  Contingent Value Rights

SIX  -  Swiss Stock Exchange


The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2018 (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:

           

Electronic Forms

   $ 46,859,001      $ —        $ 124,645      $ 46,983,646  

Entertainment Software

     —          —          3,667,450        3,667,450  

Other Industries

     1,514,937,667        —          —          1,514,937,667  

Convertible Preferred Securities

     —          —          35,245,742        35,245,742  

Repurchase Agreements

     —          11,035,000        —          11,035,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments at Value

   $ 1,561,796,668      $ 11,035,000      $ 39,037,837        1,611,869,505  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no material transfers between Levels during the reporting period.

The following is a reconciliation of Level 3 assets for which significant unobservable inputs were used to determine fair value:

 

     Common
Stocks
    Convertible
Preferred
Securities
 

Balance as of 12/31/2017

   $ 5,250,275     $ 38,756,537  

Accrued discounts

     —         —    

Accrued premiums

     —         —    

Realized Gain

     272,507       2,409,664  

Realized Loss

     (667,084     —    

Change in unrealized appreciation(1)

     2,141,850       2,986,434  

Change in unrealized depreciation(1)

     (653,213     (1,582,827

Net Purchases

     —         2,781,544  

Net Sales

     (2,552,240     (10,105,610

Transfers into Level 3

     —         —    

Transfers out of Level 3

     —         —    
  

 

 

   

 

 

 

Balance as of 03/31/2018

   $ 3,792,095     $ 35,245,742  
  

 

 

   

 

 

 

 

(1)

The total change in unrealized appreciation (depreciation) attributable to Level 3 investments still held at September 30, 2018 includes:

    Common
Stocks
     Convertible
Preferred
Securities
 
  $ 1,749,477      $ 5,172,299  
 

 

 

    

 

 

 

Any differences between the change in appreciation (depreciation) in the Level 3 reconciliation and the total change in unrealized appreciation (depreciation) is attributable to securities sold/no longer held at September 30, 2018.

The following is quantitative information about Level 3 fair value measurements:

 

    

Description

  

Value at 09/30/2018

    

    

Valuation Technique(s)          

  

    

Unobservable Input (1)                                        

 

    

      Range (weighted average)      

Common Stocks

   $ 3,667,450      Market Approach    Market Transaction Price*   $2.5496
  

 

 

   $ 124,645      Income Approach    Potential Future Cash Flows*   $2.25
         Discount for Lack of Marketability   10.00%
  

 

 

Convertible Preferred Securities

   $ 2,529,630      Market Approach    Market Transaction Price*   $27.00
  

 

 

   $ 21,318,090      Market Approach    Market Transaction Price*   $48.7722
         Average of Market Bids*   $43.45
  

 

 

   $ 5,325,079      Market Approach    2018 Estimated Revenue Multiple*   11.10x
         2020 Estimated Revenue Multiple*   5.5x
         2020 Estimated Gross Profit Multiple*   7.9x
         2021 Estimated Revenue Multiple*   4.6x-7.0x (5.8x)
         2021 Estimated Gross Profit Multiple*   6.2x
         Discount for Lack of Marketability   10.00%-15.00% (11.70%)
  

 

 

   $ 3,079,377     

Market Approach with

Option Pricing Method (“OPM”)

   Estimated Revenue Multiple*   2.38x
      Discount for Lack of Marketability   10.00%
      OPM assumptions:  
        

Volatility*

  13.0%
        

Term to liquidity event in years

  3.00
        

Risk-free rate

  2.89%
  

 

 

   $ 759,640     

Market Approach with

Option Pricing Method (“OPM”)

   Last Twelve Months Revenue Multiple*   1.06x
      Discount for Lack of Marketability   10.00%
      OPM assumptions:  
        

Volatility*

  53.1%
        

Term to liquidity event in years

  3.00
        

Risk-free rate

  2.89%
  

 

 

   $ 2,181,445     

Market Approach with

Option Pricing Method (“OPM”)

   Next Twelve Months Revenue Multiple*   5.7x
      Discount for Lack of Marketability   10.00%
      OPM assumptions:  
        

Volatility*

  47.0%
        

Term to liquidity event in years

  2.26
        

Risk-free rate

  2.85%
  

 

 

   $ 52,481      Income Approach    Future Cash Flows*   $0.18
         Discount for Potential Claims   50.0%
  

 

 

 

(1)

The significant unobservable inputs regarding the Level 3 securities in the table above are attributable to private securities and include assumptions made from non-public financial statements, private transactions, and/or market comparables. For those unobservable inputs indicated with *, a significant increase (decrease) in any of those inputs in isolation may result in a significantly higher (lower) fair value measurement, while the remaining unobservable inputs have a inverse relationship.

See Notes to Portfolio of Investments


Anchor Series Trust SA Wellington Natural Resources Portfolio#

PORTFOLIO OF INVESTMENTS - September 30, 2018 - (unaudited)

 

Security Description

   Shares/
Principal
Amount
     Value
(Note 1)
 

COMMON STOCKS - 97.2%

     

Diamonds/Precious Stones - 0.3%

     

Lucara Diamond Corp.

     174,034      $ 291,034  
     

 

 

 

Diversified Minerals - 8.5%

     

Anglo American PLC

     101,964        2,289,865  

BHP Billiton PLC

     278,542        6,067,321  

BHP Billiton, Ltd.

     19,413        485,952  
     

 

 

 
        8,843,138  
     

 

 

 

Gold Mining - 2.7%

     

Agnico Eagle Mines, Ltd.

     21,079        720,013  

Barrick Gold Corp.(NYSE)

     81,011        897,602  

Barrick Gold Corp.(TSX)

     27,573        305,050  

Newcrest Mining, Ltd.

     61,074        856,900  
     

 

 

 
        2,779,565  
     

 

 

 

Metal-Aluminum - 1.3%

     

Alcoa Corp.†

     18,553        749,541  

Norsk Hydro ASA

     100,918        605,849  
     

 

 

 
        1,355,390  
     

 

 

 

Metal-Copper - 2.1%

     

Antofagasta PLC

     39,890        444,537  

First Quantum Minerals, Ltd.

     78,312        891,859  

KAZ Minerals PLC

     58,052        415,855  

Southern Copper Corp.

     11,058        477,042  
     

 

 

 
        2,229,293  
     

 

 

 

Metal-Diversified - 7.8%

     

Glencore PLC

     678,408        2,933,015  

MMC Norilsk Nickel PJSC ADR

     39,550        679,864  

Rio Tinto PLC

     89,330        4,517,591  
     

 

 

 
        8,130,470  
     

 

 

 

Metal-Iron - 2.2%

     

Vale SA ADR

     156,648        2,324,656  
     

 

 

 

Non-Ferrous Metals - 0.2%

     

Korea Zinc Co., Ltd.

     577        226,795  
     

 

 

 

Oil Companies-Exploration & Production - 22.2%

     

Cabot Oil & Gas Corp.

     72,859        1,640,785  

Canadian Natural Resources, Ltd.

     11,692        381,994  

CNOOC, Ltd.

     656,620        1,300,096  

Concho Resources, Inc.†

     19,007        2,903,319  

Devon Energy Corp.

     25,799        1,030,412  

Diamondback Energy, Inc.

     18,114        2,448,832  

Encana Corp.

     127,254        1,667,952  

EOG Resources, Inc.

     20,864        2,661,620  

Kosmos Energy, Ltd.†

     106,946        999,945  

Lundin Petroleum AB

     52,849        2,023,002  

Newfield Exploration Co.†

     40,073        1,155,305  

Noble Energy, Inc.

     29,625        924,004  

Occidental Petroleum Corp.

     36,611        3,008,326  

Pioneer Natural Resources Co.

     5,737        999,328  
     

 

 

 
        23,144,920  
     

 

 

 

Oil Companies-Integrated - 27.8%

     

Chevron Corp.

     20,045        2,451,103  

Equinor ASA†

     74,466        2,099,825  

Exxon Mobil Corp.

     65,569        5,574,676  

Galp Energia SGPS SA

     78,996        1,567,466  

Gazprom Neft OAO ADR

     17,300        496,354  

Petroleo Brasileiro SA ADR

     48,850        589,620  

Royal Dutch Shell PLC, Class A

     233,108        8,010,558  

Suncor Energy, Inc.

     85,392        3,304,217  

TOTAL SA

     75,894        4,920,440  
     

 

 

 
        29,014,259  
     

 

 

 

Oil Refining & Marketing - 7.6%

     

Andeavor

     10,419        1,599,317  

Delek US Holdings, Inc.

     9,036        383,397  

Marathon Petroleum Corp.

     18,480        1,477,846  

Phillips 66

     17,624        1,986,577  

Valero Energy Corp.

     21,582        2,454,952  
     

 

 

 
        7,902,089  
     

 

 

 

Oil-Field Services - 3.8%

     

Halliburton Co.

     41,765        1,692,736  

ProPetro Holding Corp.†

     88,858        1,465,268  

Schlumberger, Ltd.

     12,967        789,950  
     

 

 

 
        3,947,954  
     

 

 

 

Pipelines - 4.0%

     

Cheniere Energy, Inc.†

     11,936        829,433  

Plains GP Holdings LP, Class A

     24,731        606,651  

Targa Resources Corp.

     17,328        975,740  

TransCanada Corp.

     43,912        1,776,674  
     

 

 

 
        4,188,498  
     

 

 

 

Steel Pipe & Tube - 0.6%

     

Tenaris SA

     40,827        688,517  
     

 

 

 

Steel-Producers - 6.1%

     

ArcelorMittal

     61,334        1,892,767  

BlueScope Steel, Ltd.

     78,416        962,477  

Gerdau SA (Preference Shares)

     84,500        359,673  

Nippon Steel & Sumitomo Metal Corp.

     51,670        1,093,019  

Reliance Steel & Aluminum Co.

     8,567        730,680  

Steel Dynamics, Inc.

     28,564        1,290,807  
     

 

 

 
        6,329,423  
     

 

 

 

Total Common Stocks

(cost $90,522,958)

        101,396,001  
     

 

 

 

EQUITY CERTIFICATES - 0.3%

     

Non-Ferrous Metals - 0.3%

     

Merrill Lynch - Korea Zinc Co., Ltd.†(1)
(cost $380,197)

     779        306,192  
     

 

 

 

Total Long-Term Investment Securities

(cost $90,903,155)

        101,702,193  
     

 

 

 

REPURCHASE AGREEMENTS - 1.3%

     

Bank of America Securities LLC
Joint Repurchase Agreement(2)

   $ 260,000        260,000  

Barclays Capital, Inc.
Joint Repurchase Agreement(2)

     85,000        85,000  

BNP Paribas SA
Joint Repurchase Agreement(2)

     500,000        500,000  

Deutsche Bank AG
Joint Repurchase Agreement(2)

     90,000        90,000  

RBS Securities, Inc.
Joint Repurchase Agreement(2)

     400,000        400,000  
     

 

 

 

Total Repurchase Agreements

(cost $1,335,000)

        1,335,000  
     

 

 

 


TOTAL INVESTMENTS

(cost $92,238,155)

     98.8      103,037,193  

Other assets less liabilities

     1.2        1,201,818  
  

 

 

    

 

 

 

NET ASSETS

     100.0    $ 104,239,011  
  

 

 

    

 

 

 

 

#

Subsequent to September 30, 2018, the SA Wellington Natural Resources Portfolio reorganized into SA AB Growth Portfolio, a series of SunAmerica Series Trust, effective on October 22, 2018.

Non-income producing security

(1)

Illiquid security. At September 30, 2018, the aggregate value of these securities was $306,192 representing 0.3% of net assets.

(2)

See Note 2 for details of Joint Repurchase Agreements

ADR - American Depositary Receipt

NYSE - New York Stock Exchange

TSX - Toronto Stock Exchange

The following is a summary of the inputs used to value the Portfolio’s net assets as of September 30, 2018 (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

   $ 101,396,001      $ —        $ —        $ 101,396,001  

Equity Certificates

     —          306,192        —          306,192  

Repurchase Agreements

     —          1,335,000        —          1,335,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments at Value

   $ 101,396,001      $ 1,641,192      $ —        $ 103,037,193  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.

The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $38,149,922 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

See Notes to Portfolio of Investments


Anchor Series Trust SA BlackRock Multi-Asset Income Portfolio

PORTFOLIO OF INVESTMENTS - September 30, 2018 - (unaudited)

 

Security Description

   Shares     Value
(Note 1)
 

EXCHANGE-TRADED FUNDS - 97.8%

    

Global X MLP ETF

     184,308     $ 1,760,141  

iShares 0-5 Year High Yield Corporate Bond ETF

     94,596       4,453,580  

iShares 1-3 Year Credit Bond ETF

     93,011       4,820,760  

iShares 10+ Year Credit Bond ETF

     56,596       3,297,849  

iShares CMBS ETF

     28,259       1,407,016  

iShares Core Dividend Growth ETF

     18,726       693,986  

iShares Core High Dividend ETF

     20,429       1,849,642  

iShares Emerging Markets Dividend ETF

     23,402       910,572  

iShares Floating Rate Bond ETF

     41,225       2,103,299  

iShares iBoxx $ High Yield Corporate Bond ETF

     141,095       12,196,252  

iShares Intermediate Credit Bond ETF

     35,349       1,877,032  

iShares International Developed Real Estate ETF

     24,143       691,697  

iShares International Select Dividend ETF

     49,082       1,601,546  

iShares MSCI Eurozone ETF

     72,492       2,972,534  

iShares U.S. Real Estate ETF

     8,727       698,334  

iShares U.S. Preferred Stock ETF

     126,155       4,684,135  
    

 

 

 

TOTAL INVESTMENTS

    

(cost $46,382,396)

     97.8     46,018,375  

Other assets less liabilities

     2.2       1,056,273  
  

 

 

   

 

 

 

NET ASSETS

     100.0   $ 47,074,648  
  

 

 

   

 

 

 

 

ETF – Exchange-Traded Fund

Futures Contracts

 

Number of
Contracts
   Type      Description    Expiration Month      Notional
Basis*
     Notional
Value*
     Unrealized
Appreciation
(Depreciation)
 
15      Short      Euro Currency Futures      December 2018      $ 2,207,552      $ 2,190,375      $ 17,177  
19      Short      Euro Stoxx 50 Index      December 2018        732,902        747,171        (14,269
6      Long      S&P 500 E-Mini Index      December 2018        873,105        875,700        2,595  
5      Long      U.S. 10 Year Ultra Bonds      December 2018        640,886        630,000        (10,886
2      Short      U.S. Long Bond      December 2018        289,782        281,000        8,782  
6      Short      U.S. Treasury 2 Year Notes      December 2018        1,268,342        1,264,406        3,936  
5      Short      U.S. Treasury 5 Year Notes      December 2018        567,105        562,383        4,722  
4      Short      U.S. Treasury 10 Year Notes      December 2018        481,344        475,125        6,219  
5      Short      U.S. Ultra Bonds      December 2018        802,455        771,406        31,049  
                 

 

 

 
                  $ 49,325  
                 

 

 

 

 

*

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, 2018 (see Note 1):

 

     Level 1-
Unadjusted Quoted
Prices
     Level 2 -
Other Observable
Inputs
     Level 3 -
Significant Unobservable
Inputs
     Total  

ASSETS:

           

Investments at Value:*

           

Exchange-Traded Funds

   $  46,018,375      $ —        $ —        $  46,018,375  
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:+

           

Futures Contracts

   $ 74,480      $  —        $ —        $ 74,480  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES:

           

Other Financial Instruments:+

           

Futures Contracts

   $ 25,155      $ —        $  —        $ 25,155  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.

+

Other financial instruments are derivative instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument

The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. There were no transfers between Levels during the reporting period.

See Notes to Portfolio of Investments


Anchor Series Trust SA Wellington Strategic Multi-Asset Portfolio#

PORTFOLIO OF INVESTMENTS - September 30, 2018 - (unaudited)

 

Security Description

   Shares/
Principal
Amount(1)
     Value
(Note 1)
 

COMMON STOCKS - 58.9%

     

Aerospace/Defense - 1.4%

     

General Dynamics Corp.

     1,805      $ 369,519  

Lockheed Martin Corp.

     880        304,445  
     

 

 

 
        673,964  
     

 

 

 

Aerospace/Defense-Equipment - 1.7%

     

Airbus SE

     3,255        408,836  

Safran SA

     2,920        409,205  
     

 

 

 
        818,041  
     

 

 

 

Airlines - 0.4%

     

JetBlue Airways Corp.†

     9,197        178,054  
     

 

 

 

Apparel Manufacturers - 0.5%

     

Carter’s, Inc.

     805        79,373  

Under Armour, Inc., Class A†

     7,060        149,813  
     

 

 

 
        229,186  
     

 

 

 

Applications Software - 1.6%

     

Microsoft Corp.

     2,749        314,403  

salesforce.com, Inc.†

     1,337        212,623  

ServiceNow, Inc.†

     1,118        218,715  
     

 

 

 
        745,741  
     

 

 

 

Athletic Footwear - 0.6%

     

NIKE, Inc., Class B

     3,519        298,130  
     

 

 

 

Audio/Video Products - 0.7%

     

Sony Corp.

     5,499        337,142  
     

 

 

 

Auto-Cars/Light Trucks - 0.7%

     

Ferrari NV

     1,510        207,928  

General Motors Co.

     3,199        107,710  
     

 

 

 
        315,638  
     

 

 

 

Auto/Truck Parts & Equipment-Original - 1.3%

     

Aptiv PLC

     1,705        143,049  

Delphi Technologies PLC

     5,248        164,577  

Magna International, Inc.

     2,595        136,315  

Valeo SA

     4,021        174,605  
     

 

 

 
        618,546  
     

 

 

 

Banks-Commercial - 1.7%

     

FinecoBank Banca Fineco SpA

     8,172        109,255  

First Republic Bank

     2,595        249,120  

HDFC Bank, Ltd. ADR

     3,037        285,782  

ING Groep NV

     11,372        147,668  
     

 

 

 
        791,825  
     

 

 

 

Banks-Fiduciary - 0.6%

     

Northern Trust Corp.

     2,583        263,802  
     

 

 

 

Beverages-Wine/Spirits - 0.4%

     

Treasury Wine Estates, Ltd.

     13,180        166,630  
     

 

 

 

Building & Construction Products-Misc. - 0.5%

     

Fortune Brands Home & Security, Inc.

     4,380        229,337  
     

 

 

 

Building-Heavy Construction - 0.4%

     

China Tower Corp., Ltd.†*

     1,408,314        206,884  
     

 

 

 

Cellular Telecom - 0.7%

     

T-Mobile US, Inc.†

     4,481        314,477  
     

 

 

 

Commercial Services - 0.2%

     

Intertek Group PLC

     1,422        92,524  
     

 

 

 

Commercial Services-Finance - 1.8%

     

FleetCor Technologies, Inc.†

     1,084        246,979  

Global Payments, Inc.

     1,606        204,604  

IHS Markit, Ltd.†

     4,288        231,380  

PayPal Holdings, Inc.†

     1,800        158,112  
     

 

 

 
        841,075  
     

 

 

 

Computer Services - 0.4%

     

Cognizant Technology Solutions Corp., Class A

     2,164        166,953  
     

 

 

 

Computer Software - 0.6%

     

Splunk, Inc.†

     1,028        124,295  

SS&C Technologies Holdings, Inc.

     2,430        138,097  
     

 

 

 
        262,392  
     

 

 

 

Containers-Metal/Glass - 0.2%

     

Ball Corp.

     2,137        94,007  
     

 

 

 

Diagnostic Equipment - 1.7%

     

Danaher Corp.

     4,132        448,983  

Thermo Fisher Scientific, Inc.

     1,389        339,027  
     

 

 

 
        788,010  
     

 

 

 

Diversified Banking Institutions - 2.6%

     

Bank of America Corp.

     12,778        376,440  

Sumitomo Mitsui Financial Group, Inc.

     11,058        446,330  

UBS Group AG

     26,093        412,106  
     

 

 

 
        1,234,876  
     

 

 

 

Diversified Minerals - 0.7%

     

Anglo American PLC

     13,830        310,588  
     

 

 

 

E-Commerce/Products - 2.1%

     

Alibaba Group Holding, Ltd. ADR†

     2,619        431,506  

Amazon.com, Inc.†

     278        556,834  
     

 

 

 
        988,340  
     

 

 

 

E-Commerce/Services - 1.6%

     

58.com, Inc. ADR†

     1,975        145,360  

Booking Holdings, Inc.†

     152        301,568  

Expedia Group, Inc.

     1,623        211,769  

TripAdvisor, Inc.†

     1,457        74,409  
     

 

 

 
        733,106  
     

 

 

 

Electric-Integrated - 0.2%

     

Edison International

     1,435        97,121  

Iberdrola SA

     134        986  
     

 

 

 
        98,107  
     

 

 

 

Electronic Components-Misc. - 0.7%

     

Flex, Ltd.†

     24,650        323,408  
     

 

 

 

Electronic Components-Semiconductors - 2.9%

     

Advanced Micro Devices, Inc.†

     4,378        135,236  

ams AG

     2,226        124,433  

Broadcom, Inc.

     1,562        385,392  

Micron Technology, Inc.†

     4,153        187,840  

NVIDIA Corp.

     425        119,434  

Samsung Electronics Co., Ltd.

     5,266        220,515  

Skyworks Solutions, Inc.

     2,095        190,037  
     

 

 

 
        1,362,887  
     

 

 

 

Electronic Forms - 0.3%

     

Adobe Systems, Inc.†

     555        149,822  
     

 

 

 

Electronic Measurement Instruments - 0.4%

     

Agilent Technologies, Inc.

     2,420        170,707  
     

 

 

 

Enterprise Software/Service - 1.1%

     

Atlassian Corp. PLC, Class A†

     1,046        100,563  

Guidewire Software, Inc.†

     1,133        114,444  

Ultimate Software Group, Inc.†

     449        144,663  

Workday, Inc., Class A†

     1,023        149,338  
     

 

 

 
        509,008  
     

 

 

 


Entertainment Software - 0.6%

     

Activision Blizzard, Inc.

     3,652        303,810  
     

 

 

 

Finance-Credit Card - 0.8%

     

Visa, Inc., Class A

     2,653        398,189  
     

 

 

 

Finance-Investment Banker/Broker - 0.5%

     

TD Ameritrade Holding Corp.

     4,347        229,652  
     

 

 

 

Finance-Leasing Companies - 0.4%

     

Air Lease Corp.

     4,514        207,102  
     

 

 

 

Finance-Other Services - 0.8%

     

Intercontinental Exchange, Inc.

     4,911        367,785  
     

 

 

 

Financial Guarantee Insurance - 0.2%

     

Assured Guaranty, Ltd.

     2,687        113,472  
     

 

 

 

Food-Catering - 0.4%

     

Aramark

     4,424        190,321  
     

 

 

 

Food-Misc./Diversified - 2.0%

     

Nestle SA

     8,445        704,065  

Post Holdings, Inc.†

     2,294        224,904  
     

 

 

 
        928,969  
     

 

 

 

Hotels/Motels - 0.1%

     

Marriott International, Inc., Class A

     448        59,149  
     

 

 

 

Insurance-Multi-line - 0.7%

     

Ping An Insurance Group Co. of China, Ltd.

     34,409        349,437  
     

 

 

 

Insurance-Property/Casualty - 0.7%

     

Tokio Marine Holdings, Inc.

     6,580        326,452  
     

 

 

 

Internet Application Software - 0.8%

     

Tencent Holdings, Ltd.

     9,609        396,716  
     

 

 

 

Internet Content-Entertainment - 0.5%

     

Netflix, Inc.†

     607        227,097  
     

 

 

 

Internet Content-Information/News - 0.3%

     

Spotify Technology SA†

     660        119,348  
     

 

 

 

Investment Management/Advisor Services - 0.8%

     

BlackRock, Inc.

     777        366,223  
     

 

 

 

Medical Instruments - 0.6%

     

Medtronic PLC

     3,107        305,636  
     

 

 

 

Medical Products - 1.2%

     

Abbott Laboratories

     4,930        361,665  

Koninklijke Philips NV

     4,272        194,606  
     

 

 

 
        556,271  
     

 

 

 

Medical-Biomedical/Gene - 0.2%

     

Bluebird Bio, Inc.†

     635        92,710  
     

 

 

 

Medical-Drugs - 1.3%

     

Bausch Health Cos., Inc.†

     4,881        125,295  

Bristol-Myers Squibb Co.

     5,590        347,027  

Eisai Co., Ltd.

     1,400        136,279  
     

 

 

 
        608,601  
     

 

 

 

Medical-Generic Drugs - 0.3%

     

Mylan NV†

     4,294        157,160  
     

 

 

 

Medical-HMO - 1.2%

     

UnitedHealth Group, Inc.

     2,043        543,520  
     

 

 

 

Medical-Hospitals - 0.6%

     

HCA Healthcare, Inc.

     2,058        286,309  
     

 

 

 

Oil Companies-Exploration & Production - 1.6%

     

Concho Resources, Inc.†

     1,307        199,644  

Diamondback Energy, Inc.

     860        116,264  

EOG Resources, Inc.

     3,432        437,820  
     

 

 

 
        753,728  
     

 

 

 

Oil Companies-Integrated - 0.6%

     

TOTAL SA

     4,465        289,480  
     

 

 

 

Oil Refining & Marketing - 0.3%

     

Valero Energy Corp.

     1,165        132,519  
     

 

 

 

Oil-Field Services - 0.7%

     

Halliburton Co.

     7,764        314,675  
     

 

 

 

Photo Equipment & Supplies - 0.3%

     

Sunny Optical Technology Group Co., Ltd.

     11,100        128,038  
     

 

 

 

Real Estate Investment Trusts - 0.8%

     

Public Storage

     1,962        395,598  
     

 

 

 

Real Estate Management/Services - 0.4%

     

Vonovia SE

     3,731        182,285  
     

 

 

 

Retail-Apparel/Shoe - 1.2%

     

Industria de Diseno Textil SA

     8,344        252,949  

Tapestry, Inc.

     6,519        327,710  
     

 

 

 
        580,659  
     

 

 

 

Retail-Building Products - 0.3%

     

Lowe’s Cos., Inc.

     1,400        160,748  
     

 

 

 

Retail-Restaurants - 0.6%

     

Domino’s Pizza, Inc.

     1,033        304,528  
     

 

 

 

Schools - 0.7%

     

New Oriental Education & Technology Group, Inc. ADR†

     4,159        307,808  
     

 

 

 

Semiconductor Components-Integrated Circuits - 0.8%

     

Taiwan Semiconductor Manufacturing Co., Ltd.

     41,520        356,958  
     

 

 

 

Semiconductor Equipment - 0.3%

     

KLA-Tencor Corp.

     1,264        128,561  
     

 

 

 

Telephone-Integrated - 0.3%

     

SoftBank Group Corp.

     1,311        132,346  
     

 

 

 

Tobacco - 1.0%

     

British American Tobacco PLC

     9,774        456,645  
     

 

 

 

Transport-Equipment & Leasing - 0.6%

     

AerCap Holdings NV†

     5,173        297,551  
     

 

 

 

Transport-Rail - 1.0%

     

CSX Corp.

     6,571        486,583  
     

 

 

 

Transport-Truck - 0.2%

     

Old Dominion Freight Line, Inc.

     655        105,625  
     

 

 

 

Web Portals/ISP - 1.5%

     

Alphabet, Inc., Class C†

     452        539,448  

Yandex NV, Class A†

     4,509        148,301  
     

 

 

 
        687,749  
     

 

 

 

Total Common Stocks

     

(cost $25,915,178)

        27,649,220  
     

 

 

 

EXCHANGE-TRADED FUNDS - 0.3%

     

iShares MSCI Japan ETF
(cost $98,407)

     2,006        120,822  
     

 

 

 

U.S. CORPORATE BONDS & NOTES - 0.1%

     

Diversified Banking Institutions - 0.1%

     

Citigroup, Inc. FRS
Senior Notes
3.25% (3 ML+0.93%) due 06/07/2019
(cost $45,288)

   $ 45,000        45,240  
     

 

 

 


FOREIGN CORPORATE BONDS & NOTES - 0.1%

        

Auto-Cars/Light Trucks - 0.1%

        

Ford Credit Canada Co.
Company Guar. Notes
2.94% due 02/19/2019
(cost $46,104)

     CAD        60,000        46,508  
        

 

 

 

FOREIGN GOVERNMENT OBLIGATIONS - 15.1%

        

Sovereign - 15.1%

        

Commonwealth of Australia
Senior Notes
2.25% due 11/21/2022

     AUD        60,000        43,455  

Commonwealth of Australia
Senior Notes
2.75% due 11/21/2027

     AUD        85,000        61,881  

Commonwealth of Australia
Senior Notes
3.00% due 03/21/2047

     AUD        100,000        70,187  

Commonwealth of Australia
Senior Notes
3.25% due 06/21/2039

     AUD        25,000        18,619  

Commonwealth of Australia
Senior Bonds
4.25% due 04/21/2026

     AUD        55,000        44,369  

Commonwealth of Australia
Senior Notes
5.75% due 05/15/2021

     AUD        25,000        19,763  

Federal Republic of Germany
Bonds
zero coupon due 10/07/2022

     EUR        45,000        52,771  

Federal Republic of Germany
Bonds
zero coupon due 04/14/2023

     EUR        175,000        204,696  

Federal Republic of Germany
Bonds
0.25% due 10/16/2020

     EUR        135,000        159,263  

Federal Republic of Germany
Bonds
0.50% due 02/15/2028

     EUR        15,000        17,546  

Federal Republic of Germany
Bonds
2.50% due 07/04/2044

     EUR        65,000        100,742  

Federal Republic of Germany
Bonds
4.25% due 07/04/2039

     EUR        10,000        19,017  

Government of Canada
Bonds
0.75% due 03/01/2021

     CAD        125,000        93,414  

Government of Canada
Bonds
1.50% due 06/01/2026

     CAD        70,000        50,761  

Government of Canada
Bonds
3.50% due 12/01/2045

     CAD        15,000        14,067  

Government of Canada
Bonds
4.00% due 06/01/2041

     CAD        15,000        14,739  

Government of Canada
Bonds
5.75% due 06/01/2033

     CAD        10,000        10,868  

Government of Finland
Notes
0.50% due 09/15/2027*

     EUR        15,000        17,246  

Government of Finland
Bonds
1.13% due 04/15/2034*

     EUR        5,000        5,885  

Government of Finland
Senior Notes
1.63% due 09/15/2022*

     EUR        15,000        18,635  

Government of France
Bonds
zero coupon due 02/25/2020

     EUR        115,000        134,467  

Government of France
Bonds
zero coupon due 05/25/2020

     EUR        45,000        52,664  

Government of France
Bonds
zero coupon due 05/25/2021

     EUR        100,000        117,127  

Government of France
Bonds
zero coupon due 03/25/2023

     EUR        240,000        278,789  

Government of France
Bonds
zero coupon due 03/25/2024

     EUR        20,000        22,998  

Government of France
Bonds
0.75% due 05/25/2028

     EUR        140,000        162,565  

Government of France
Bonds
1.25% due 05/25/2036*

     EUR        60,000        69,135  

Government of France
Bonds
2.00% due 05/25/2048*

     EUR        20,000        25,047  

Government of France
Bonds
3.25% due 05/25/2045

     EUR        55,000        87,358  

Government of France
Bonds
5.75% due 10/25/2032†

     EUR        35,000        65,726  

Government of Japan
Senior Bonds
0.10% due 12/20/2019

     JPY        6,350,000        56,037  

Government of Japan
Senior Bonds
0.10% due 06/20/2020

     JPY        35,000,000        309,163  

Government of Japan
Senior Notes
0.10% due 03/20/2027

     JPY        27,750,000        244,758  

Government of Japan
Senior Notes
0.20% due 06/20/2036

     JPY        42,300,000        350,325  

Government of Japan
Senior Notes
0.30% due 12/20/2024

     JPY        25,000,000        224,263  

Government of Japan
Senior Notes
0.30% due 06/20/2046

     JPY        6,800,000        51,831  

Government of Japan
Senior Notes
0.80% due 09/20/2023

     JPY        2,200,000        20,186  

Government of Japan
Senior Notes
0.80% due 09/20/2047

     JPY        17,000,000        146,874  

Government of Japan
Senior Notes
0.90% due 06/20/2022

     JPY        23,450,000        213,915  

Government of Japan
Senior Notes
1.20% due 06/20/2021

     JPY        6,500,000        59,216  

Government of Japan
Senior Bonds
1.70% due 06/20/2033

     JPY        17,550,000        183,399  


Government of Japan
Senior Notes
1.80% due 03/20/2043

     JPY        5,400,000        58,318  

Government of Japan
Senior Notes
1.90% due 09/20/2042

     JPY        2,400,000        26,344  

Government of Japan
Senior Notes
2.10% due 03/20/2027

     JPY        4,700,000        48,412  

Government of Japan
Senior Notes
2.20% due 09/20/2028

     JPY        12,400,000        131,345  

Government of Japan
Senior Bonds
2.30% due 03/20/2039

     JPY        650,000        7,495  

Government of Malaysia
Senior Notes
3.42% due 08/15/2022

     MYR        75,000        17,907  

Government of Malaysia
Senior Notes
4.13% due 04/15/2032

     MYR        50,000        11,569  

Government of New Zealand
Senior Notes
5.50% due 04/15/2023

     NZD        200,000        152,654  

Kingdom of Belgium
Senior Notes
0.20% due 10/22/2023*

     EUR        25,000        29,146  

Kingdom of Belgium
Bonds
0.80% due 06/22/2025*

     EUR        10,000        11,920  

Kingdom of Belgium
Senior Notes
0.80% due 06/22/2027*

     EUR        40,000        46,809  

Kingdom of Belgium
Senior Notes
0.80% due 06/22/2028*

     EUR        20,000        23,145  

Kingdom of Belgium
Senior Notes
1.90% due 06/22/2038*

     EUR        15,000        18,710  

Kingdom of Belgium
Senior Notes
3.00% due 06/22/2034*

     EUR        10,000        14,471  

Kingdom of Belgium
Bonds
3.75% due 09/28/2020*

     EUR        50,000        62,927  

Kingdom of Belgium
Senior Notes
3.75% due 06/22/2045

     EUR        20,000        33,787  

Kingdom of Denmark
Bonds
1.75% due 11/15/2025

     DKK        180,000        31,142  

Kingdom of Denmark
Bonds
4.50% due 11/15/2039

     DKK        56,000        14,914  

Kingdom of Norway
Bonds
2.00% due 05/24/2023*

     NOK        135,000        16,929  

Kingdom of Spain
Bonds
0.05% due 01/31/2021

     EUR        75,000        87,202  

Kingdom of Spain
Senior Notes
0.35% due 07/30/2023

     EUR        45,000        51,793  

Kingdom of Spain
Bonds
1.50% due 04/30/2027*

     EUR        120,000        141,370  

Kingdom of Spain
Senior Bonds
1.95% due 04/30/2026*

     EUR        45,000        55,338  

Kingdom of Spain
Senior Notes
2.35% due 07/30/2033*

     EUR        30,000        36,490  

Kingdom of Spain
Senior Notes
2.70% due 10/31/2048*

     EUR        5,000        5,943  

Kingdom of Spain
Senior Notes
2.90% due 10/31/2046*

     EUR        20,000        25,016  

Kingdom of Spain
Senior Notes
4.70% due 07/30/2041*

     EUR        20,000        32,968  

Kingdom of Spain
Senior Notes
4.80% due 01/31/2024*

     EUR        35,000        49,416  

Kingdom of Spain
Senior Bonds
4.90% due 07/30/2040*

     EUR        15,000        25,260  

Kingdom of Spain
Senior Notes
5.85% due 01/31/2022*

     EUR        10,000        13,800  

Kingdom of Sweden
Bonds
0.75% due 05/12/2028

     SEK        40,000        4,550  

Kingdom of Sweden
Bonds
1.00% due 11/12/2026

     SEK        80,000        9,389  

Kingdom of Sweden
Bonds
5.00% due 12/01/2020

     SEK        225,000        28,325  

Kingdom of the Netherlands
Bonds
0.75% due 07/15/2027*

     EUR        30,000        35,632  

Kingdom of the Netherlands
Bonds
1.75% due 07/15/2023*

     EUR        70,000        88,324  

Kingdom of the Netherlands
Bonds
2.75% due 01/15/2047*

     EUR        10,000        16,276  

Kingdom of the Netherlands
Bonds
4.00% due 01/15/2037*

     EUR        17,500        30,921  

Republic of Austria
Senior Notes
zero coupon due 07/15/2023*

     EUR        15,000        17,401  

Republic of Austria
Senior Notes
0.75% due 10/20/2026*

     EUR        5,000        5,915  

Republic of Austria
Senior Notes
0.75% due 02/20/2028*

     EUR        20,000        23,350  

Republic of Austria
Senior Notes
3.15% due 06/20/2044*

     EUR        15,000        24,362  

Republic of Austria
Senior Notes
3.65% due 04/20/2022*

     EUR        30,000        39,616  

Republic of Austria
Senior Notes
4.15% due 03/15/2037*

     EUR        10,000        17,399  

Republic of Finland
Senior Notes
1.50% due 04/15/2023*

     EUR        5,000        6,213  


Republic of Ireland
Bonds
0.90% due 05/15/2028

     EUR        15,000        17,275  

Republic of Ireland
Bonds
1.00% due 05/15/2026

     EUR        20,000        23,742  

Republic of Ireland
Bonds
2.00% due 02/18/2045

     EUR        5,000        6,072  

Republic of Ireland
Bonds
3.40% due 03/18/2024

     EUR        5,000        6,781  

Republic of Italy
Bonds
0.05% due 04/15/2021

     EUR        125,000        139,624  

Republic of Italy
Bonds
0.35% due 06/15/2020

     EUR        40,000        45,898  

Republic of Italy
Bonds
0.95% due 03/15/2023

     EUR        180,000        197,679  

Republic of Italy
Bonds
2.05% due 08/01/2027

     EUR        185,000        199,677  

Republic of Italy
Bonds
3.45% due 03/01/2048*

     EUR        15,000        16,681  

Republic of Italy
Senior Bonds
3.50% due 03/01/2030*

     EUR        35,000        41,619  

Republic of Italy
Bonds
4.75% due 09/01/2044*

     EUR        10,000        13,646  

Republic of Italy
Bonds
5.00% due 09/01/2040

     EUR        75,000        104,100  

Republic of Poland
Bonds
2.50% due 07/25/2026

     PLN        40,000        10,383  

Republic of Poland
Bonds
5.75% due 09/23/2022

     PLN        65,000        19,928  

Republic of Singapore
Senior Notes
3.50% due 03/01/2027

     SGD        40,000        31,542  

Republic of South Africa
Bonds
8.25% due 03/31/2032

     ZAR        650,000        41,335  

United Kingdom Gilt Treasury
Bonds
1.25% due 07/22/2027

     GBP        75,000        95,878  

United Kingdom Gilt Treasury
Bonds
1.75% due 09/07/2022

     GBP        115,000        153,938  

United Kingdom Gilt Treasury
Bonds
2.50% due 07/22/2065

     GBP        13,000        20,780  

United Kingdom Gilt Treasury
Bonds
3.50% due 01/22/2045

     GBP        80,000        137,631  

United Kingdom Gilt Treasury
Notes
3.75% due 07/22/2052

     GBP        27,000        51,693  

United Kingdom Gilt Treasury
Bonds
4.25% due 03/07/2036

     GBP        25,000        44,314  

United Kingdom Gilt Treasury
Bonds
4.25% due 12/07/2046

     GBP        30,000        58,773  

United Kingdom Gilt Treasury
Bonds
4.75% due 03/07/2020

     GBP        30,000        41,297  

United Mexican States
Senior Notes
8.50% due 11/18/2038

     MXN        314,000        17,453  

United Mexican States
Bonds
10.00% due 11/20/2036

     MXN        296,500        18,730  
        

 

 

 

Total Foreign Government Obligations

(cost $7,319,610)

           7,100,449  
        

 

 

 

U.S. GOVERNMENT TREASURIES - 7.5%

        

United States Treasury Bonds - 1.5%

        

2.50% due 05/15/2046

        210,000        183,127  

3.00% due 11/15/2045

        305,000        294,146  

5.00% due 05/15/2037

        175,000        221,457  
        

 

 

 
           698,730  
        

 

 

 

United States Treasury Notes - 6.0%

        

1.38% due 04/30/2020

        357,000        349,260  

1.38% due 08/31/2023(3)

        761,000        706,392  

2.00% due 11/30/2020

        475,000        466,595  

2.00% due 02/28/2021

        91,000        89,177  

2.00% due 11/30/2022

        45,000        43,356  

2.00% due 11/15/2026

        135,000        124,896  

2.13% due 08/15/2021

        550,000        538,570  

2.25% due 07/31/2021

        280,000        275,188  

2.75% due 02/15/2028

        230,000        224,241  
        

 

 

 
           2,817,675  
        

 

 

 

Total U.S. Government Treasuries

(cost $3,584,356)

           3,516,405  
        

 

 

 

Total Long-Term Investment Securities

(cost $37,008,943)

           38,478,644  
        

 

 

 

REPURCHASE AGREEMENTS - 17.8%

        

Bank of America Securities LLC Joint Repurchase Agreement(2)

        1,625,000        1,625,000  

Barclays Capital, Inc. Joint Repurchase Agreement(2)

        540,000        540,000  

BNP Paribas SA Joint Repurchase Agreement(2)

        3,080,000        3,080,000  

Deutsche Bank AG Joint Repurchase Agreement(2)

        570,000        570,000  

RBS Securities, Inc. Joint Repurchase Agreement(2)

        2,530,000        2,530,000  
        

 

 

 

Total Repurchase Agreements

(cost $8,345,000)

           8,345,000  
        

 

 

 

TOTAL INVESTMENTS(2)

(cost $45,353,943)

        99.8      46,823,644  

Other assets less liabilities

        0.2        100,991  
     

 

 

    

 

 

 

NET ASSETS

        100.0    $ 46,924,635  
     

 

 

    

 

 

 

 

#

Effective May 1, 2018 SA Wellington Multi-Asset Income Portfolio changed its name to SA Wellington Strategic Multi-Asset Portfolio.

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, 2018, the aggregate value of these securities was $1,329,845 representing 2.8% of net assets. Unless otherwise indicated, these securities are not considered to be illiquid.

(1)

Denominated in United States dollars unless otherwise indicated.

(2)

See Note 2 for details of Joint Repurchase Agreements.

(3)

The security or a portion thereof was pledged as collateral to cover margin requirements for open futures contracts.

ADR - American Depositary Receipt

ETF - Exchanged-Traded Fund

FRS - Floating Rate Security

The rates shown on FRS are the current interest rates at September 30, 2018 and unless noted otherwise, the dates shown are the original maturity dates.

Index Legend

3 ML - 3 Month USD Libor

Currency Legend

AUD - Australian Dollar

CAD - Canadian Dollar

DKK - Danish Krone

EUR - Euro Currency

GBP - British Sterling Pound

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

ZAR - South African Rand

Futures Contracts

Number of
Contracts
   Type      Description    Expiration Month      Notional Basis*      Notional Value*      Unrealized
Appreciation
(Depreciation)
 
8      Long      MSCI EAFE Index      December 2018      $ 777,220      $ 790,200      $ 12,980  
8      Long      S&P 500 E-Mini Index      December 2018        1,160,530        1,167,600        7,070  
21      Long      U.S. Treasury 10 Year Notes      December 2018        2,518,531        2,494,406        (24,125
                 

 

 

 
                  $ (4,075
                 

 

 

 

 

*

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      26,000      USD      30,231        10/04/2018      $ 39      $ —    
   GBP      672,000      USD      873,521        10/04/2018        —          (2,440
   SEK      60,000      USD      6,815        11/05/2018        46        —    
   USD      6,763      JPY      765,000        11/05/2018        —          (14
                 

 

 

    

 

 

 
                    85        (2,454
                 

 

 

    

 

 

 

Barclays Bank PLC

   CAD      304,000      USD      232,951        10/04/2018        —          (2,424
   GBP      575,000      USD      752,218        11/05/2018        1,636        —    
   JPY      3,125,000      USD      28,278        10/04/2018        770        —    
   NOK      90,000      USD      11,033        10/04/2018        —          (26
   SEK      130,000      USD      14,652        10/04/2018        22        —    
   USD      27,951      EUR      24,000        10/04/2018        —          (81
   USD      751,157      GBP      575,000        10/04/2018        —          (1,636
                 

 

 

    

 

 

 
                    2,428        (4,167
                 

 

 

    

 

 

 

BNP Paribas SA

   AUD      10,000      USD      7,176        10/04/2018        —          (53
   CHF      7,000      USD      7,186        10/04/2018        52        —    
   GBP      20,000      USD      26,406        10/04/2018        335        —    
   JPY      802,000      USD      7,202        10/04/2018        142        —    
                 

 

 

    

 

 

 
                    529        (53
                 

 

 

    

 

 

 

Canadian Imperial Bank of Commerce

   USD      13,060      GBP      10,000        11/05/2018        —          (6
   USD      11,474      JPY      1,300,000        11/05/2018        —          (4
                 

 

 

    

 

 

 
                    —          (10
                 

 

 

    

 

 

 

Citibank N.A.

   AUD      15,000      USD      10,827        10/04/2018        —          (16
   AUD      366,000      USD      264,230        11/05/2018        —          (391
   EUR      14,000      USD      16,479        10/04/2018        221        —    
   JPY      3,125,000      USD      28,137        10/04/2018        629        —    
   NOK      30,000      USD      3,678        10/04/2018        —          (8
   NOK      89,000      USD      10,926        11/05/2018        —          (24
   SEK      110,000      USD      12,536        10/04/2018        157        —    
   SGD      46,000      USD      33,643        11/05/2018        —          (32
   USD      275,106      AUD      381,000        10/04/2018        300        —    
   USD      125,069      EUR      107,000        10/04/2018        —          (817
   USD      25,525      NOK      209,000        10/04/2018        156        —    
   USD      33,618      SGD      46,000        10/04/2018        33        —    
   USD      10,829      AUD      15,000        11/05/2018        16        —    
   USD      3,683      NOK      30,000        11/05/2018        8        —    
                 

 

 

    

 

 

 
                    1,520        (1,288
                 

 

 

    

 

 

 

Commonwealth Bank of Australia

   USD      208,366      EUR      180,000        10/04/2018        656        —    
                 

 

 

    

 

 

 

Credit Suisse International

   USD      7,236      CHF      7,000        10/04/2018        —          (102
                 

 

 

    

 

 

 

Goldman Sachs International

   MYR      124,000      USD      30,017        10/04/2018        47        —    
   MYR      124,000      USD      29,981        11/05/2018        33        —    
   USD      30,002      MYR      124,000        10/04/2018        —          (32
                 

 

 

    

 

 

 
                    80        (32
                 

 

 

    

 

 

 

HBSC Bank USA

   EUR      36,000      USD      41,983        10/04/2018        179        —    
   GBP      66,000      USD      85,810        10/04/2018        —          (222
   JPY      1,250,000      USD      11,276        10/04/2018        273        —    
   PLN      103,000      USD      27,917        11/05/2018        —          (41
   USD      11,656      EUR      10,000        10/04/2018        —          (44
   USD      33,729      JPY      3,750,000        10/04/2018        —          (719
   USD      27,898      PLN      103,000        10/04/2018        41        —    
                 

 

 

    

 

 

 
                    493        (1,026
                 

 

 

    

 

 

 

JPMorgan Chase Bank N.A

   AUD      532,000      USD      384,467        10/04/2018        —          (90
   CAD      8,000      USD      6,203        10/04/2018        9        —    
   CAD      9,000      USD      6,922        11/05/2018        —          (51
   CHF      2,000      USD      2,057        11/05/2018        13        —    
   EUR      106,000      USD      123,439        10/04/2018        348        —    
   EUR      55,000      USD      64,168        11/05/2018        141        —    
   GBP      30,000      USD      39,751        10/04/2018        646        —    
   JPY      3,125,000      USD      28,267        10/04/2018        759        —    
   JPY      281,000      USD      2,483        11/05/2018        4        —    
   NOK      143,000      USD      17,329        10/04/2018        —          (243
   PLN      103,000      USD      28,067        10/04/2018        128        —    
   SEK      50,000      USD      5,689        10/04/2018        62        —    
   USD      127,841      AUD      176,000        10/04/2018        —          (620
   USD      18,575      CAD      24,000        10/04/2018        7        —    
   USD      27,938      EUR      24,000        10/04/2018        —          (69
   USD      19,651      GBP      15,000        10/04/2018        —          (98
   USD      105,846      JPY      11,829,000        10/04/2018        —          (1,721
   USD      6,583      NOK      54,000        10/04/2018        53        —    
   USD      41,817      ZAR      594,000        10/04/2018        177        —    
   USD      8,218      CHF      8,000        11/05/2018        —          (42
   USD      9,304      EUR      8,000        11/05/2018        9        —    
   USD      99,506      JPY      11,250,000        11/05/2018        —          (249
   USD      2,480      SEK      22,000        11/05/2018        2        —    
   ZAR      594,000      USD      41,267        10/04/2018        —          (726
   ZAR      594,000      USD      41,640        11/05/2018        —          (176
                 

 

 

    

 

 

 
                    2,358        (4,085
                 

 

 

    

 

 

 

Morgan Stanley and Co. International PLC

   DKK      319,000      USD      49,876        11/05/2018        69        —    
   EUR      3,248,000      USD      3,774,273        11/05/2018        —          (6,837
   NZD      231,000      USD      153,259        10/04/2018        139        —    
   NZD      231,000      USD      152,902        11/05/2018        —          (246
   SEK      429,000      USD      46,905        10/04/2018        —          (1,373
   SEK      719,000      USD      81,289        11/05/2018        165        —    
   SGD      46,000      USD      33,712        10/04/2018        61        —    
   USD      49,743      DKK      319,000        10/04/2018        —          (69
   USD      3,756,727      EUR      3,241,000        10/04/2018        6,830        —    
   USD      258,755      GBP      198,000        10/04/2018        —          (659
   USD      28,337      JPY      3,154,000        10/04/2018        —          (574
   USD      152,876      NZD      231,000        10/04/2018        245        —    
   USD      81,078      SEK      719,000        10/04/2018        —          (164
   USD      22,103      JPY      2,500,000        11/05/2018        —          (45
                 

 

 

    

 

 

 
                    7,509        (9,967
                 

 

 

    

 

 

 

Royal Bank of Canada

   CAD      16,000      USD      12,302        10/04/2018        —          (86
   CAD      304,000      USD      233,891        11/05/2018        —          (1,643
   JPY      2,257,000      USD      19,957        11/05/2018        44        —    
   MXN      664,000      USD      34,501        10/04/2018        —          (969
   MXN      664,000      USD      35,057        11/05/2018        —          (236
   USD      233,738      CAD      304,000        10/04/2018        1,636        —    
   USD      35,234      MXN      664,000        10/04/2018        237        —    
   USD      12,310      CAD      16,000        11/05/2018        86        —    
                 

 

 

    

 

 

 
                    2,003        (2,934
                 

 

 

    

 

 

 

Standard Chartered Bank

   EUR      2,000      USD      2,358        10/04/2018        35        —    
                 

 

 

    

 

 

 

State Street Bank and Trust Company

   EUR      52,000      USD      60,522        11/05/2018        —          (13
   JPY      240,763,000      USD      2,176,526        10/04/2018        57,196        —    
   USD      15,156      JPY      1,700,000        10/04/2018        —          (192
                 

 

 

    

 

 

 
                    57,196        (205
                 

 

 

    

 

 

 

Toronto Dominion Bank

   EUR      3,402,000      USD      3,980,340        10/04/2018        29,824        —    
                 

 

 

    

 

 

 

UBS AG

   DKK      319,000      USD      50,192        10/04/2018        518        —    
                 

 

 

    

 

 

 

Net Unrealized Appreciation/(Depreciation)

                  $ 105,234      $ (26,323
                 

 

 

    

 

 

 

AUD - Australian Dollar

CAD - Canadian Dollar

CHF - Swiss Franc

DKK - Danish Krone

EUR - Euro Currency

GBP - British Pound Sterling

JPY - Japanese Yen

MXN - Mexican Peso

MYR - Myalaysian Ringgit

NOK - Norwegian Krone

NZD - New Zealand Dollar

PLN - Polish Zloty

SEK - Swedish Krona

SGD - Singapore Dollar

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, 2018 (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

   $ 27,649,220      $ —        $ —        $ 27,649,220  

Exchange-Traded Funds

     120,822        —          —          120,822  

U.S. Corportate Bonds & Notes

     —          45,240        —          45,240  

Foreign Corportate Bonds & Notes

     —          46,508        —          46,508  

Foreign Government Obligations

     —          7,100,449        —          7,100,449  

U.S. Government Treasuries

     —          3,516,405        —          3,516,405  

Repurchase Agreements

     —          8,345,000        —          8,345,000  
  

 

 

    

 

 

    

 

 

    

 

 

 

Total Investments at Value

   $ 27,770,042      $ 19,053,602      $ —        $ 46,823,644  
  

 

 

    

 

 

    

 

 

    

 

 

 

Other Financial Instruments:+

           

Futures Contracts

   $ 20,050      $ —        $ —        $ 20,050  

Forward Foreign Currency Contracts

     —          105,234        —          105,234  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 20,050      $ 105,234      $ —        $ 125,284  
  

 

 

    

 

 

    

 

 

    

 

 

 

LIABILITIES

           

Other Financial Instruments:+

           

Futures Contracts

   $ 24,125      $ —        $ —        $ 24,125  

Forward Foreign Currency Contracts

     —          26,323        —          26,323  
  

 

 

    

 

 

    

 

 

    

 

 

 
   $ 24,125      $ 26,323      $ —        $ 50,448  
  

 

 

    

 

 

    

 

 

    

 

 

 

 

*

For a detailed presentation of investments, please refer to the Portfolio of Investments.

+

Other Financial Instruments are derivative Instruments, not reflected in the Portfolio of Investments, such as futures, forward, swap and written option contracts, which are valued at the unrealized appreciation (depreciation) on the instrument.

The Portfolio’s policy is to recognize transfers between Levels as of the end of the reporting period. Securities currently valued at $5,086,744 were transferred from Level 2 to Level 1 due to foreign equity securities whose values were previously adjusted for fair value pricing procedures for foreign equity securities. There were no additional transfers between Levels during the reporting period.

See Notes to Portfolio of Investments


NOTES TO PORTFOLIO OF INVESTMENTS — September 30, 2018 — (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, 2018 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, 2018, the following Portfolios held an undivided interest in a joint repurchase agreement with Bank of America Securities LLC:

 

     Percentage     Principal  
Portfolio    Ownership     Amount  

SA Wellington Government and Quality Bond

     62.66   $ 28,195,000  

SA Wellington Growth and Income

     0.46       205,000  

SA Wellington Growth

     1.19       535,000  

SA Wellington Capital Appreciation

     4.78       2,150,000  

SA Wellington Natural Resources

     0.58       260,000  

SA Wellington Strategic Multi-Asset

     3.61       1,625,000  

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 28, 2018, bearing interest at a rate of 2.24% per annum, with a principal amount of $45,000,000, a repurchase price of $45,008,400, and a maturity date of October 1, 2018. The repurchase agreement is collateralized by the following:

 

Type of Collateral   

Interest

Rate

    Maturity
Date
     Principal
Amount
     Value  

U.S. Treasury Notes

     1.25     06/30/2019      $ 46,306,000      $ 46,007,779  

As of September 30, 2018, the following Portfolios held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:

 

Portfolio    Percentage
Ownership
    Principal
Amount
 

SA Wellington Government and Quality Bond

     62.63   $ 9,395,000  

SA Wellington Growth and Income

     0.43       65,000  

SA Wellington Growth

     1.17       175,000  

SA Wellington Capital Appreciation

     4.77       715,000  

SA Wellington Natural Resources

     0.57       85,000  

SA Wellington Strategic Multi-Asset

     3.60       540,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Barclays Capital, Inc., dated September 28, 2018, bearing interest at a rate of 2.20% per annum, with a principal amount of $15,000,000, a repurchase price of $15,002,750, and a maturity date of October 1, 2018. The repurchase agreement is collateralized by the following:

 

Type of Collateral   

Interest

Rate

    Maturity
Date
     Principal
Amount
     Value  

U.S. Treasury Notes

     2.50     05/15/2024      $ 15,514,000      $ 15,270,540  
          

As of September 30, 2018, the following Portfolios held an undivided interest in a joint repurchase agreement with BNP Paribas SA:

 

Portfolio    Percentage
Ownership
    Principal
Amount
 

SA Wellington Government and Quality Bond

     62.68   $ 53,280,000  

SA Wellington Growth and Income

     0.48       410,000  

SA Wellington Growth

     1.21       1,030,000  

SA Wellington Capital Appreciation

     4.79       4,070,000  

SA Wellington Natural Resources

     0.59       500,000  

SA Wellington Strategic Multi-Asset

     3.62       3,080,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

BNP Paribas SA, dated September 28, 2018, bearing interest at a rate of 2.22% per annum, with a principal amount of $85,000,000, a repurchase price of $85,015,725, and a maturity date of October 1, 2018. 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      $ 89,302,200      $ 86,599,929  

As of September 30, 2018, the following Portfolios held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:

 

Portfolio    Percentage
Ownership
    Principal
Amount
 

SA Wellington Government and Quality Bond

     62.65   $ 9,940,000  

SA Wellington Growth and Income

     0.44       70,000  

SA Wellington Growth

     1.17       185,000  

SA Wellington Capital Appreciation

     4.76       755,000  

SA Wellington Natural Resources

     0.57       90,000  

SA Wellington Strategic Multi-Asset

     3.59       570,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

Deutsche Bank AG, dated September 28, 2018, bearing interest at a rate of 2.23% per annum, with a principal amount of $15,865,000, a repurchase price of $15,867,948, and a maturity date of October 1, 2018. The repurchase agreement is collateralized by the following:

 

Type of Collateral    Interest
Rate
    Maturity
Date
     Principal
Amount
     Value  

U.S. Treasury Notes

     2.13     05/15/2025      $ 17,085,000      $ 16,309,182  

As of September 30, 2018, the following Portfolios held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:

 

Portfolio    Percentage
Ownership
    Principal
Amount
 

SA Wellington Government and Quality Bond

     62.66   $ 43,865,000  

SA Wellington Growth and Income

     0.46       320,000  

SA Wellington Growth

     1.19       835,000  

SA Wellington Capital Appreciation

     4.78       3,345,000  

SA Wellington Natural Resources

     0.57       400,000  

SA Wellington Strategic Multi-Asset

     3.61       2,530,000  

As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:

RBS Securities, Inc., dated September 28, 2018, bearing interest at a rate of 2.23% per annum, with a principal amount of $70,000,000, a repurchase price of $70,013,008, and a maturity date of October 1, 2018. The repurchase agreement is collateralized by the following:

 

Type of Collateral    Interest
Rate
    Maturity
Date
     Principal
Amount
     Value  

U.S. Treasury Bills

     2.42     05/23/2019      $ 72,610,000      $ 71,469,932  

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 BlackRock Multi-Asset Income, 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.


The following tables present the value of derivatives held as of September 30, 2018, by their primary underlying risk exposure. The derivative contracts held under the period are not accounted for as hedging instruments under GAAP. For a detailed presentation of derivatives held as of September 30, 2018, please refer to the schedule at the end of each Portfolio’s Portfolio of Investments.

 

    Asset Derivatives  
    Interest Rate Contracts     Equity Contracts     Foreign Exchange Contracts        
Portfolio   Futures Contracts(1)     Futures Contracts(1)     Forward Foreign
Currency
Contracts(2)
    Futures Contracts(1)     Total  

SA Wellington Government and Quality Bond

  $ 37,680     $ —       $ —       $ —       $ 37,680  

SA BlackRock Multi-Asset Income

    2,031       10,810       —         9,094       21,935  

SA Wellington Strategic Multi-Asset

    609       17,655       105,234       —         123,498  
    Liability Derivatives  
    Interest Rate Contracts     Equity Contracts     Foreign Exchange Contracts        
Portfolio   Futures Contracts(1)     Futures Contracts(1)     Forward Foreign
Currency
Contracts(2)
    Futures Contracts(1)     Total  

SA Wellington Government and Quality Bond

  $ 1,250     $ —       $ —       $ —       $ 1,250  

SA BlackRock Multi-Asset Income

    680       270       —         —         950  

SA Wellington Strategic Multi-Asset

    —         360       26,323       —         26,683  

 

(1)

The variation margin on futures contracts is included in the cumulative appreciation (depreciation) as reported on each Portfolio’s Portfolio of Investments in the following amounts:

 

Portfolio    Cumulative Appreciation
(Depreciation)
 

SA Wellington Government and Quality Bond

   $ 516,438  

SA BlackRock Multi-Asset Income

     49,325  

SA Wellington Strategic Multi-Asset

     (4,075

 

(2)

Reported as unrealized appreciation (depreciation) on the Portfolio of Investments

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.


Item 2. Controls and Procedures.

 

a)

An evaluation was performed within 90 days of the filing of this report, under the supervision and with the participation of the registrant’s management, including the President and Treasurer, of the effectiveness of the design and operation of the registrant’s disclosure controls and procedures (as defined under Rule 30a-3(c) under the Investment Act of 1940 (17 CFR 270.30a-3(c))). Based on that evaluation, the registrant’s management, including the President and Treasurer, concluded that the registrant’s disclosure controls and procedures are effective.

 

b)

There was no change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d))) that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

Item 3. Exhibits.

Certification pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 (17 CFR 270.30a-2(a)) attached hereto as Exhibit 99. CERT.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Anchor Series Trust

 

BY:  

  /s/ John T. Genoy

 

  John T. Genoy

  President

Date:

  November 28, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

BY:  

  /s/ John T. Genoy

 

  John T. Genoy

  President

Date:

 

November 28, 2018

 

BY:  

  /s/ Gregory R. Kingston

 

  Gregory R. Kingston

  Treasurer

Date:

 

November 28, 2018