LEGG MASON INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) | January 31, 2020 |
SECURITY |
SHARES | VALUE | ||||||
COMMON STOCKS - 97.6% | ||||||||
COMMUNICATION SERVICES - 18.8% | ||||||||
Diversified Telecommunication Services - 15.5% |
||||||||
BCE Inc. |
32,266 | $ | 1,521,385 | |||||
BT Group PLC |
642,909 | 1,363,769 | ||||||
CITIC Telecom International Holdings Ltd. |
107,423 | 37,353 | ||||||
HKT Trust & HKT Ltd. |
170,865 | 256,136 | ||||||
Orange SA |
96,657 | 1,371,612 | ||||||
Proximus SADP |
12,620 | 359,707 | ||||||
Swisscom AG, Registered Shares |
3,003 | 1,649,011 | ||||||
Telefonica SA |
216,830 | 1,467,938 | ||||||
Telstra Corp. Ltd. |
380,152 | 977,252 | ||||||
TELUS Corp. |
21,609 | 866,778 | ||||||
|
|
|||||||
Total Diversified Telecommunication Services |
9,870,941 | |||||||
|
|
|||||||
Media - 0.7% |
||||||||
Atresmedia Corp. de Medios de Comunicacion SA |
11,449 | 38,799 | ||||||
Eutelsat Communications SA |
15,428 | 231,583 | ||||||
Mediaset Espana Comunicacion SA |
19,603 | 107,556 | ||||||
Metropole Television SA |
2,088 | 34,755 | ||||||
|
|
|||||||
Total Media |
412,693 | |||||||
|
|
|||||||
Wireless Telecommunication Services - 2.6% |
||||||||
NTT DOCOMO Inc. |
57,600 | 1,651,180 | ||||||
Softbank Corp. |
2,500 | 34,507 | ||||||
|
|
|||||||
Total Wireless Telecommunication Services |
1,685,687 | |||||||
|
|
|||||||
TOTAL COMMUNICATION SERVICES |
11,969,321 | |||||||
|
|
|||||||
CONSUMER DISCRETIONARY - 12.8% | ||||||||
Auto Components - 0.4% |
||||||||
Bridgestone Corp. |
7,400 | 266,341 | ||||||
|
|
|||||||
Automobiles - 8.0% |
||||||||
Bayerische Motoren Werke AG |
18,614 | 1,327,208 | ||||||
Daimler AG, Registered Shares |
26,083 | 1,208,381 | ||||||
Nissan Motor Co. Ltd. |
179,100 | 990,640 | ||||||
Toyota Motor Corp. |
22,100 | 1,560,264 | ||||||
|
|
|||||||
Total Automobiles |
5,086,493 | |||||||
|
|
|||||||
Hotels, Restaurants & Leisure - 0.0% |
||||||||
Marstons PLC |
26,489 | 36,559 | ||||||
|
|
See Notes to Schedule of Investments.
| ||||
Legg Mason International Low Volatility High Dividend ETF 2020 Quarterly Report |
1 |
LEGG MASON INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (contd) | January 31, 2020 |
SECURITY |
SHARES | VALUE | ||||||
Household Durables - 4.1% |
||||||||
Barratt Developments PLC |
94,148 | $ | 996,323 | |||||
Crest Nicholson Holdings PLC |
20,386 | 134,364 | ||||||
Persimmon PLC |
31,408 | 1,264,004 | ||||||
Redrow PLC |
19,753 | 207,005 | ||||||
|
|
|||||||
Total Household Durables |
2,601,696 | |||||||
|
|
|||||||
Multiline Retail - 0.3% |
||||||||
Harvey Norman Holdings Ltd. |
58,638 | 166,050 | ||||||
|
|
|||||||
Textiles, Apparel & Luxury Goods - 0.0% |
||||||||
Li & Fung Ltd. |
401,030 | 35,636 | ||||||
|
|
|||||||
TOTAL CONSUMER DISCRETIONARY |
8,192,775 | |||||||
|
|
|||||||
CONSUMER STAPLES - 4.1% | ||||||||
Tobacco - 4.1% |
||||||||
British American Tobacco PLC |
24,736 | 1,094,780 | ||||||
Japan Tobacco Inc. |
68,300 | 1,459,453 | ||||||
Scandinavian Tobacco Group A/S |
3,589 | 47,022 | ||||||
|
|
|||||||
TOTAL CONSUMER STAPLES |
2,601,255 | |||||||
|
|
|||||||
ENERGY - 10.2% | ||||||||
Oil, Gas & Consumable Fuels - 10.2% |
||||||||
Eni SpA |
101,227 | 1,419,972 | ||||||
Paz Oil Co. Ltd. |
247 | 30,069 | ||||||
Pembina Pipeline Corp. |
25,839 | 990,148 | ||||||
Repsol SA |
88,786 | 1,226,464 | ||||||
Royal Dutch Shell PLC, Class A Shares |
53,021 | 1,393,932 | ||||||
Total SA |
28,933 | 1,415,446 | ||||||
|
|
|||||||
TOTAL ENERGY |
6,476,031 | |||||||
|
|
|||||||
FINANCIALS - 19.7% | ||||||||
Banks - 12.3% |
||||||||
Canadian Imperial Bank of Commerce |
17,676 | 1,442,361 | ||||||
Commonwealth Bank of Australia |
29,837 | 1,703,015 | ||||||
National Australia Bank Ltd. |
77,167 | 1,335,913 | ||||||
Nordea Bank Abp |
170,157 | 1,343,793 | ||||||
Svenska Handelsbanken AB, Class A Shares |
41,947 | 412,043 | ||||||
Swedbank AB, Class A Shares |
62,193 | 956,577 | ||||||
Valiant Holding AG, Registered Shares |
434 | 44,640 | ||||||
Westpac Banking Corp. |
35,399 | 595,290 | ||||||
|
|
|||||||
Total Banks |
7,833,632 | |||||||
|
|
|||||||
Capital Markets - 0.4% |
||||||||
IGM Financial Inc. |
4,604 | 133,224 | ||||||
Jupiter Fund Management PLC |
27,362 | 139,080 | ||||||
|
|
|||||||
Total Capital Markets |
272,304 | |||||||
|
|
See Notes to Schedule of Investments.
|
||||
2 |
Legg Mason International Low Volatility High Dividend ETF 2020 Quarterly Report |
LEGG MASON INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (contd) | January 31, 2020 |
SECURITY |
SHARES | VALUE | ||||||
Insurance - 6.7% |
||||||||
Assicurazioni Generali SpA |
37,048 | $ | 722,391 | |||||
Legal & General Group PLC |
263,508 | 1,061,174 | ||||||
Poste Italiane SpA |
52,000 | 596,433 | ||||||
Power Financial Corp. |
10,503 | 272,790 | ||||||
Zurich Insurance Group AG |
3,859 | 1,603,298 | ||||||
|
|
|||||||
Total Insurance |
4,256,086 | |||||||
|
|
|||||||
Thrifts & Mortgage Finance - 0.3% |
||||||||
Aareal Bank AG |
5,147 | 168,950 | ||||||
|
|
|||||||
TOTAL FINANCIALS |
12,530,972 | |||||||
|
|
|||||||
INDUSTRIALS - 8.5% | ||||||||
Aerospace & Defense - 0.3% |
||||||||
Singapore Technologies Engineering Ltd. |
60,100 | 180,974 | ||||||
|
|
|||||||
Air Freight & Logistics - 0.1% |
||||||||
Oesterreichische Post AG |
1,772 | 67,356 | ||||||
|
|
|||||||
Construction & Engineering - 1.0% |
||||||||
Peab AB, Class B Shares |
10,158 | 102,016 | ||||||
Skanska AB, Class B Shares |
22,759 | 526,552 | ||||||
|
|
|||||||
Total Construction & Engineering |
628,568 | |||||||
|
|
|||||||
Industrial Conglomerates - 1.3% |
||||||||
CK Hutchison Holdings Ltd. |
96,426 | 860,581 | ||||||
|
|
|||||||
Marine - 1.1% |
||||||||
Kuehne + Nagel International AG, Registered Shares |
4,406 | 712,671 | ||||||
|
|
|||||||
Professional Services - 1.8% |
||||||||
Adecco Group AG, Registered Shares |
19,191 | 1,128,239 | ||||||
|
|
|||||||
Road & Rail - 0.3% |
||||||||
ComfortDelGro Corp. Ltd. |
135,600 | 215,585 | ||||||
|
|
|||||||
Trading Companies & Distributors - 1.3% |
||||||||
Marubeni Corp. |
111,500 | 818,054 | ||||||
|
|
|||||||
Transportation Infrastructure - 1.3% |
||||||||
Aena SME SA |
4,425 | 819,668 | ||||||
|
|
|||||||
TOTAL INDUSTRIALS |
5,431,696 | |||||||
|
|
|||||||
INFORMATION TECHNOLOGY - 2.3% | ||||||||
Communications Equipment - 0.1% |
||||||||
VTech Holdings Ltd. |
9,038 | 82,233 | ||||||
|
|
|||||||
IT Services - 0.1% |
||||||||
TietoEVRY oyj |
1,751 | 57,205 | ||||||
|
|
|||||||
Technology Hardware, Storage & Peripherals - 2.1% |
||||||||
Canon Inc. |
51,000 | 1,358,228 | ||||||
|
|
|||||||
TOTAL INFORMATION TECHNOLOGY |
1,497,666 | |||||||
|
|
See Notes to Schedule of Investments.
| ||||
Legg Mason International Low Volatility High Dividend ETF 2020 Quarterly Report |
3 |
LEGG MASON INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (contd) | January 31, 2020 |
SECURITY |
SHARES | VALUE | ||||||
MATERIALS - 1.4% | ||||||||
Paper & Forest Products - 1.4% |
||||||||
Navigator Co. SA |
28,591 | $ | 102,658 | |||||
UPM-Kymmene oyj |
25,189 | 796,399 | ||||||
|
|
|||||||
TOTAL MATERIALS |
899,057 | |||||||
|
|
|||||||
REAL ESTATE - 6.4% | ||||||||
Equity Real Estate Investment Trusts (REITs) - 5.8% |
||||||||
Artis Real Estate Investment Trust |
5,088 | 45,358 | ||||||
Ascendas Real Estate Investment Trust |
261,300 | 603,044 | ||||||
CapitaLand Mall Trust |
187,700 | 346,549 | ||||||
Charter Hall Retail REIT |
19,547 | 61,634 | ||||||
Cromwell Property Group |
69,712 | 57,169 | ||||||
Daiwa House REIT Investment Corp. |
45 | 120,197 | ||||||
Frontier Real Estate Investment Corp. |
34 | 142,261 | ||||||
H&R Real Estate Investment Trust |
11,682 | 188,937 | ||||||
Hankyu Hanshin Reit Inc. |
49 | 78,845 | ||||||
Industrial & Infrastructure Fund Investment Corp. |
80 | 123,117 | ||||||
Invesco Office J-Reit Inc. |
383 | 81,628 | ||||||
Japan Rental Housing Investments Inc. |
62 | 61,608 | ||||||
Kenedix Retail REIT Corp. |
43 | 106,523 | ||||||
Keppel DC REIT |
48,212 | 79,829 | ||||||
Mapletree Commercial Trust |
123,200 | 212,118 | ||||||
Mapletree Industrial Trust |
83,700 | 170,478 | ||||||
Mapletree Logistics Trust |
181,400 | 244,542 | ||||||
Mapletree North Asia Commercial Trust |
80,700 | 70,359 | ||||||
Mirai Corp. |
133 | 75,099 | ||||||
Mori Hills REIT Investment Corp., Class C Shares |
72 | 120,703 | ||||||
NIPPON REIT Investment Corp. |
15 | 70,305 | ||||||
RioCan Real Estate Investment Trust |
13,938 | 286,232 | ||||||
Samty Residential Investment Corp. |
41 | 43,313 | ||||||
SmartCentres Real Estate Investment Trust |
5,692 | 135,183 | ||||||
Star Asia Investment Corp. |
42 | 44,447 | ||||||
Suntec Real Estate Investment Trust |
100,100 | 134,943 | ||||||
|
|
|||||||
Total Equity Real Estate Investment Trusts (REITs) |
3,704,421 | |||||||
|
|
|||||||
Real Estate Management & Development - 0.6% |
||||||||
Swiss Prime Site AG, Registered Shares |
3,281 | 400,749 | * | |||||
|
|
|||||||
TOTAL REAL ESTATE |
4,105,170 | |||||||
|
|
See Notes to Schedule of Investments.
|
||||
4 |
Legg Mason International Low Volatility High Dividend ETF 2020 Quarterly Report |
LEGG MASON INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (contd) | January 31, 2020 |
SECURITY |
SHARES | VALUE | ||||||||||
UTILITIES - 13.4% | ||||||||||||
Electric Utilities - 6.4% |
||||||||||||
Emera Inc. |
13,990 | $ | 623,682 | |||||||||
Enel SpA |
206,934 | 1,801,342 | ||||||||||
Power Assets Holdings Ltd. |
62,862 | 455,786 | ||||||||||
Red Electrica Corp. SA |
59,842 | 1,196,026 | ||||||||||
|
|
|||||||||||
Total Electric Utilities |
4,076,836 | |||||||||||
|
|
|||||||||||
Gas Utilities - 3.0% |
||||||||||||
Enagas SA |
34,671 | 934,433 | ||||||||||
Snam SpA |
186,427 | 999,317 | ||||||||||
|
|
|||||||||||
Total Gas Utilities |
1,933,750 | |||||||||||
|
|
|||||||||||
Multi-Utilities - 3.0% |
||||||||||||
National Grid PLC |
138,200 | 1,832,319 | ||||||||||
REN - Redes Energeticas Nacionais SGPS SA |
14,239 | 43,078 | ||||||||||
|
|
|||||||||||
Total Multi-Utilities |
1,875,397 | |||||||||||
|
|
|||||||||||
Water Utilities - 1.0% |
||||||||||||
United Utilities Group PLC |
47,437 | 633,756 | ||||||||||
|
|
|||||||||||
TOTAL UTILITIES |
8,519,739 | |||||||||||
|
|
|||||||||||
TOTAL COMMON STOCKS |
62,223,682 | |||||||||||
|
|
|||||||||||
RATE | ||||||||||||
PREFERRED STOCKS - 0.2% | ||||||||||||
CONSUMER DISCRETIONARY - 0.2% | ||||||||||||
Automobiles - 0.2% |
||||||||||||
Bayerische Motoren Werke AG (Cost - $125,637) |
| 1,637 | 91,432 | |||||||||
|
|
|||||||||||
TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS |
|
62,315,114 | ||||||||||
|
|
|||||||||||
SHORT-TERM INVESTMENTS - 0.4% | ||||||||||||
Invesco Treasury Portfolio, Institutional Class (Cost - $276,789) |
1.480 | % | 276,789 | 276,789 | ||||||||
|
|
|||||||||||
TOTAL INVESTMENTS - 98.2% |
62,591,903 | |||||||||||
Other Assets in Excess of Liabilities - 1.8% |
1,160,951 | |||||||||||
|
|
|||||||||||
TOTAL NET ASSETS - 100.0% |
$ | 63,752,854 | ||||||||||
|
|
* | Non-income producing security. |
Abbreviation used in this schedule:
REIT | Real Estate Investment Trust |
At January 31, 2020, the Fund had the following open futures contracts:
Number of Contracts |
Expiration Date |
Notional Amount |
Market Value |
Unrealized Depreciation |
||||||||||||||||
Contracts to Buy: | ||||||||||||||||||||
MSCI EAFE Index Futures |
4 | 3/20 | $ | 406,301 | $ | 395,300 | $ | (11,001 | ) |
See Notes to Schedule of Investments.
| ||||
Legg Mason International Low Volatility High Dividend ETF 2020 Quarterly Report |
5 |
LEGG MASON INTERNATIONAL LOW VOLATILITY HIGH DIVIDEND ETF
Schedule of investments (unaudited) (contd) | January 31, 2020 |
At January 31, 2020, the Fund had the following open forward foreign currency contracts:
Currency Purchased |
Currency Sold |
Counterparty |
Settlement Date |
Unrealized Appreciation (Depreciation) |
||||||||||||||||||
USD | 287,144 | CHF | 278,226 | Bank of New York | 2/11/20 | $ | (1,551 | ) | ||||||||||||||
USD | 5,304,776 | CHF | 5,127,992 | Bank of New York | 2/11/20 | (16,165 | ) | |||||||||||||||
USD | 1,004,133 | EUR | 905,649 | Bank of New York | 2/11/20 | (162 | ) | |||||||||||||||
USD | 18,756,708 | EUR | 16,708,341 | Bank of New York | 2/11/20 | 228,446 | ||||||||||||||||
USD | 243,980 | AUD | 356,616 | UBS Securities LLC | 2/11/20 | 5,196 | ||||||||||||||||
USD | 4,621,365 | AUD | 6,593,990 | UBS Securities LLC | 2/11/20 | 206,148 | ||||||||||||||||
USD | 329,373 | CAD | 432,140 | UBS Securities LLC | 2/11/20 | 2,631 | ||||||||||||||||
USD | 6,145,544 | CAD | 7,976,314 | UBS Securities LLC | 2/11/20 | 114,633 | ||||||||||||||||
USD | 524,778 | GBP | 399,166 | UBS Securities LLC | 2/11/20 | (1,554 | ) | |||||||||||||||
USD | 9,740,487 | GBP | 7,379,045 | UBS Securities LLC | 2/11/20 | 10,637 | ||||||||||||||||
USD | 93,632 | HKD | 727,922 | UBS Securities LLC | 2/11/20 | (95 | ) | |||||||||||||||
USD | 1,720,027 | HKD | 13,402,193 | UBS Securities LLC | 2/11/20 | (5,642 | ) | |||||||||||||||
USD | 171,698 | SEK | 1,633,758 | UBS Securities LLC | 2/11/20 | 2,112 | ||||||||||||||||
USD | 3,219,128 | SEK | 30,020,101 | UBS Securities LLC | 2/11/20 | 103,009 | ||||||||||||||||
USD | 114,644 | SGD | 154,700 | UBS Securities LLC | 2/11/20 | 1,301 | ||||||||||||||||
USD | 2,119,421 | SGD | 2,853,671 | UBS Securities LLC | 2/11/20 | 28,644 | ||||||||||||||||
USD | 479,209 | JPY | 52,619,832 | Bank of New York | 2/12/20 | (6,578 | ) | |||||||||||||||
USD | 8,965,355 | JPY | 968,846,483 | Bank of New York | 2/12/20 | 20,952 | ||||||||||||||||
|
|
|||||||||||||||||||||
Total |
$ | 691,962 | ||||||||||||||||||||
|
|
Abbreviations used in this table:
AUD | Australian Dollar | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
EUR | Euro | |
GBP | British Pound | |
HKD | Hong Kong Dollar | |
JPY | Japanese Yen | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
USD | United States Dollar |
This Schedule of Investments is unaudited and is intended to provide information about the Funds investments as of the date of the schedule. Other information regarding the Fund is available in the Funds most recent annual or semi-annual shareholder report.
See Notes to Schedule of Investments.
|
||||
6 |
Legg Mason International Low Volatility High Dividend ETF 2020 Quarterly Report |
Notes to Schedule of Investments (unaudited)
1. Organization and significant accounting policies
Legg Mason International Low Volatility High Dividend ETF (the Fund) is a separate diversified investment series of Legg Mason ETF Investment Trust (the Trust). The Trust, a Maryland statutory trust, is registered under the Investment Company Act of 1940, as amended (the 1940 Act), as an open-end management investment company.
The Fund is an exchange-traded fund (ETF). ETFs are funds that trade like other publicly-traded securities. The Fund is designed to track an index. Similar to shares of an index mutual fund, each share of the Fund represents an ownership interest in an underlying portfolio of securities intended to track an index. Unlike shares of a mutual fund, which can be bought from and redeemed by the issuing fund by all shareholders at a price based on net asset value (NAV), shares of the Fund may be directly purchased from and redeemed by the Fund at NAV solely by certain large institutional investors who have entered into agreements with the Funds distributor (Authorized Participants). Also unlike shares of a mutual fund, shares of the Fund are listed on a national securities exchange and trade in the secondary market at market prices that change throughout the day.
Shares of the Fund are listed and traded at market prices on the Cboe BZX Exchange, Inc. The market price for the Funds shares may be different from the Funds NAV. The Fund issues and redeems shares at NAV only in blocks of a specified number of shares or multiples thereof (Creation Units). Only Authorized Participants may purchase or redeem Creation Units directly with the Fund at NAV. Creation Units are issued and redeemed generally in-kind for a basket of securities and/or cash. Except when aggregated in Creation Units, shares of the Fund are not redeemable securities. Shareholders who are not Authorized Participants may not redeem shares directly from the Fund at NAV.
The Fund seeks to track the investment results of the QS International Low Volatility High Dividend Hedged Index (the Underlying Index). The Underlying Index seeks to provide more stable income through investments in stocks of profitable companies in developed markets outside of the United States with relatively high dividend yields or anticipated dividend yields and lower price and earnings volatility, while mitigating exposure to exchange-rate fluctuations between the U.S. dollar and other international currencies and is based on a proprietary methodology created and sponsored by QS Investors, LLC, the Funds subadviser.
The following are significant accounting policies consistently followed by the Fund and are in conformity with U.S. generally accepted accounting principles (GAAP).
(a) Investment valuation. Equity securities for which market quotations are available are valued at the last reported sales price or official closing price on the primary market or exchange on which they trade. The valuations for fixed income securities (which may include, but are not limited to, corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and certain derivative instruments are typically the prices supplied by independent third party pricing services,
| ||||
7 |
Notes to Schedule of Investments (unaudited) (continued)
which may use market prices or broker/dealer quotations or a variety of valuation techniques and methodologies. The independent third party pricing services use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar securities. Investments in open-end funds are valued at the closing net asset value per share of each fund on the day of valuation. Futures contracts are valued daily at the settlement price established by the board of trade or exchange on which they are traded. When the Fund holds securities or other assets that are denominated in a foreign currency, the Fund will use the currency exchange rates, generally determined as of 4:00 p.m. (London Time). If independent third party pricing services are unable to supply prices for a portfolio investment, or if the prices supplied are deemed by the manager to be unreliable, the market price may be determined by the manager using quotations from one or more broker/dealers or at the transaction price if the security has recently been purchased and no value has yet been obtained from a pricing service or pricing broker. When reliable prices are not readily available, such as when the value of a security has been significantly affected by events after the close of the exchange or market on which the security is principally traded, but before the Fund calculates its net asset value, the Fund values these securities as determined in accordance with procedures approved by the Funds Board of Trustees.
The Board of Trustees is responsible for the valuation process and has delegated the supervision of the daily valuation process to the Legg Mason North Atlantic Fund Valuation Committee (the Valuation Committee). The Valuation Committee, pursuant to the policies adopted by the Board of Trustees, is responsible for making fair value determinations, evaluating the effectiveness of the Funds pricing policies, and reporting to the Board of Trustees. When determining the reliability of third party pricing information for investments owned by the Fund, the Valuation Committee, among other things, conducts due diligence reviews of pricing vendors, monitors the daily change in prices and reviews transactions among market participants.
The Valuation Committee will consider pricing methodologies it deems relevant and appropriate when making fair value determinations. Examples of possible methodologies include, but are not limited to, multiple of earnings; discount from market of a similar freely traded security; discounted cash-flow analysis; book value or a multiple thereof; risk premium/yield analysis; yield to maturity; and/or fundamental investment analysis. The Valuation Committee will also consider factors it deems relevant and appropriate in light of the facts and circumstances. Examples of possible factors include, but are not limited to, the type of security; the issuers financial statements; the purchase price of the security; the discount from market value of unrestricted securities of the same class at the time of purchase; analysts research and observations from financial institutions; information regarding any transactions or offers with respect to the security; the existence of merger proposals or tender offers affecting the security; the price and extent of public trading in similar securities of the issuer or comparable companies; and the existence of a shelf registration for restricted securities.
|
||||
8 |
Notes to Schedule of Investments (unaudited) (continued)
For each portfolio security that has been fair valued pursuant to the policies adopted by the Board of Trustees, the fair value price is compared against the last available and next available market quotations. The Valuation Committee reviews the results of such back testing monthly and fair valuation occurrences are reported to the Board of Trustees quarterly.
The Fund uses valuation techniques to measure fair value that are consistent with the market approach and/or income approach, depending on the type of security and the particular circumstance. The market approach uses prices and other relevant information generated by market transactions involving identical or comparable securities. The income approach uses valuation techniques to discount estimated future cash flows to present value.
GAAP establishes a disclosure hierarchy that categorizes the inputs to valuation techniques used to value assets and liabilities at measurement date. These inputs are summarized in the three broad levels listed below:
| Level 1 quoted prices in active markets for identical investments |
| Level 2 other significant observable inputs (including quoted prices for similar investments, interest rates, prepayment speeds, credit risk, etc.) |
| Level 3 significant unobservable inputs (including the Funds own assumptions in determining the fair value of investments) |
The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used in valuing the Funds assets and liabilities carried at fair value:
ASSETS |
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DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Long-Term Investments: |
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Common Stocks |
$ | 62,223,682 | | | $ | 62,223,682 | ||||||||||
Preferred Stocks |
91,432 | | | 91,432 | ||||||||||||
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Total Long-Term Investments |
62,315,114 | | | 62,315,114 | ||||||||||||
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Short-Term Investments |
276,789 | | | 276,789 | ||||||||||||
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Total Investments |
$ | 62,591,903 | | | $ | 62,591,903 | ||||||||||
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Other Financial Instruments: |
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Forward Foreign Currency Contracts |
| $ | 723,709 | | $ | 723,709 | ||||||||||
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Total |
$ | 62,591,903 | $ | 723,709 | | $ | 63,315,612 | |||||||||
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LIABILITIES |
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DESCRIPTION |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTAL | ||||||||||||
Other Financial Instruments: |
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Futures Contracts |
$ | 11,001 | | | $ | 11,001 | ||||||||||
Forward Foreign Currency Contracts |
| $ | 31,747 | | 31,747 | |||||||||||
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Total |
$ | 11,001 | $ | 31,747 | | $ | 42,748 | |||||||||
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| See Schedule of Investments for additional detailed categorizations. |
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9 |