NPORT-EX 2 NWAN_LongTermGovBond.HTM HTML

Long-Term U.S. Government Bond Portfolio

SCHEDULE OF INVESTMENTS

September 30, 2019 (unaudited)

 

Corporate Bonds (0.7%)   Shares/
Par +		     Value
$ (000’s)		  

 

  

Consumer, Cyclical (0.3%)

    

United Airlines Pass Through Trust, Series 2016-2, Class A
3.100%, 4/7/30

     184,141       186  

United Airlines Pass Through Trust, Series 2016-2, Class AA
2.875%, 4/7/30

     184,141       186  
   

 

 

  

Total

       372  
   

 

 

  

Industrial (0.4%)

    

Vessel Management Services, Inc.
3.432%, 8/15/36

     473,000       503  
   

 

 

  

Total

       503  
   

 

 

  

Total Corporate Bonds (Cost: $841)

       875  
   

 

 

  
Governments (115.1%)            

 

  

Governments (115.1%)

    

Federal National Mortgage Association
5.625%, 4/17/28

     100,000       128  

Residual Funding Corp. Stripped

    

0.000%, 4/15/30

     4,800,000       3,831  

0.000%, 10/15/20

     2,000,000       1,962  

Resolution Funding Corp. Stripped
0.000%, 4/15/28

     400,000       335  

Tennessee Valley Authority Stripped
0.000%, 5/1/30

     500,000       389  

US Treasury

    

1.875%, 7/31/22 b

     8,000,000       8,061  

2.000%, 10/31/21

     3,800,000       3,827  

2.000%, 6/30/24

     700,000       714  

2.125%, 8/15/21

     400,000       403  

2.125%, 3/31/24

     1,000,000       1,024  

2.125%, 5/15/25

     410,000       422  

2.500%, 2/15/45

     2,660,000       2,865  

2.500%, 2/15/46

     940,000       1,013  

2.500%, 5/15/46

     1,710,000       1,843  

2.625%, 12/31/23

     400,000       417  

2.750%, 8/15/42

     300,000       337  

2.750%, 11/15/42

     400,000       449  

2.875%, 5/15/43

     3,810,000       4,371  

2.875%, 8/15/45 b

     5,180,000       5,974  

2.875%, 5/15/49 b

     6,800,000       7,937  

3.000%, 5/15/42

     530,000       620  

3.000%, 11/15/44

     390,000       458  

3.000%, 11/15/45

     370,000       437  

3.000%, 2/15/48

     330,000       392  

3.000%, 8/15/48

     700,000       833  

3.000%, 2/15/49

     370,000       442  

3.000%, 9/30/25

     100,000       108  

3.000%, 10/31/25

     120,000       130  

3.125%, 2/15/42

     300,000       358  

3.125%, 2/15/43 b

     10,710,000       12,782  

3.125%, 8/15/44 b

     27,230,000       32,650  

3.125%, 5/15/48

     2,430,000       2,956  

3.375%, 5/15/44 b

     15,040,000       18,748  

3.500%, 2/15/39

     50,000       63  
Governments (115.1%)   Shares/
Par +		     Value
$ (000’s)		  

 

  

Governments continued

    

3.625%, 8/15/43 b

     5,950,000       7,679  

3.750%, 11/15/43 b

     5,600,000       7,371  

3.875%, 8/15/40

     40,000       53  

4.250%, 11/15/40

     2,400,000       3,333  

4.375%, 2/15/38

     2,240,000       3,108  

4.500%, 5/15/38

     1,440,000       2,031  

US Treasury Inflation Index Bond

    

0.125%, 4/15/22

     316,482       313  

0.375%, 1/15/27

     74,346       75  

0.375%, 7/15/27

     639,768       651  

0.500%, 1/15/28

     1,081,704       1,108  

0.625%, 1/15/26

     32,392       33  

0.750%, 7/15/28

     1,338,912       1,408  

0.875%, 1/15/29

     497,869       529  

1.000%, 2/15/48

     416,156       467  

1.000%, 2/15/49

     101,956       115  

1.375%, 2/15/44

     143,107       172  

1.750%, 1/15/28

     440,870       496  

2.500%, 1/15/29

     406,286       491  

3.625%, 4/15/28

     158,623       204  

US Treasury Stripped

    

0.000%, 8/15/34

     850,000       635  

0.000%, 11/15/43

     700,000       418  
   

 

 

  

Total

       147,969  
   

 

 

  

Total Governments (Cost: $133,873)

       147,969  
   

 

 

  
Structured Products (23.2%)            

 

  

Asset Backed Securities (0.6%)

    

ECMC Group Student Loan Trust, Series 2018-1A, Class A

3.240%, (ICE LIBOR USD 1 Month plus 0.750%), 2/27/68 144A

     73,875       73  

Massachusetts Educational Financing Authority, Series 2008-1, Class A1

3.226%, (ICE LIBOR USD 3 Month plus 0.950%), 4/25/38

     46,749       47  

OneMain Direct Auto Receivables Trust, Series 2018-1A, Class A

3.430%, 12/16/24 144A

     600,000       610  

SLM Student Loan Trust, Series 2003-7A, Class A5A

3.319%, (ICE LIBOR USD 3 Month plus 1.200%), 12/15/33 144A

     112,946       112  
   

 

 

  

Total

       842  
   

 

 

  

Mortgage Securities (22.6%)

    

BWAY Mortgage Trust, Series 2013-1515, Class A2
3.454%, 3/10/33 144A

     300,000       318  

CityLine Commercial Mortgage Trust, Series 2016-CLNE, Class A
2.871%, (CSTR), 11/10/31 144A

     600,000       615  

COMM Mortgage Trust, Series 2018-HOME, Class A
3.942%, (AFC), 4/10/33 144A

     200,000       219  
 

 

1

Long-Term U.S. Government Bond Portfolio

 

Structured Products (23.2%)   Shares/
Par +		     Value
$ (000’s)		  

 

  

Mortgage Securities continued

    

Commercial Mortgage Pass Through Certificates, Series 2016-667M, Class A
3.140%, 10/10/36 144A

     700,000       731  

Core Industrial Trust, Series 2015-WEST, Class C
3.494%, 2/10/37 144A

     300,000       326  

Credit Suisse First Boston Mortgage Securities Corp., Series 2003-AR18, Class 2A3
4.198%, (CSTR), 7/25/33

     827       1  

DBWF Mortgage Trust, Series 2016-85T, Class A
3.791%, 12/10/36 144A

     800,000       872  

Federal Home Loan Mortgage Corp., Series 2752, Class EZ
5.500%, 2/15/34

     245,767       280  

Federal Home Loan Mortgage Corp., Series 4092, Class AY
3.000%, 8/15/32

     2,200,000       2,309  

Federal Home Loan Mortgage Corp., Series 4387, Class AZ
4.000%, 9/15/44

     2,441,993       2,761  

Federal Home Loan Mortgage Corp., Series 4398, Class ZX
4.000%, 9/15/54

     730,164       844  

Federal Home Loan Mortgage Corp., Series 4830, Class ZG
3.000%, 4/15/53

     698,712       699  

Federal Home Loan Mortgage Corp., Series T-61, Class 1A1

    

3.678%, (Federal Reserve US 12 Month Cumulative Avg 1 year CMT plus 1.400%), 7/25/44

     9,101       9  

Federal National Mortgage Association

    

3.040%, 12/1/30

     349,641       374  

3.090%, 12/1/36

     600,000       639  

3.600%, 2/1/40

     624,940       687  

4.000%, 10/12/47

     1,300,000       1,349  

5.000%, 6/1/35

     51,742       57  

5.000%, 2/1/36

     78,922       87  

5.500%, 5/1/49

     86,027       93  

Federal National Mortgage Association TBA

    

3.000%, 12/1/42

     2,900,000       2,940  

4.000%, 11/13/48

     600,000       623  

4.000%, 12/13/48 b

     6,300,000       6,543  

5.500%, 10/1/39

     100,000       108  

Federal National Mortgage Association, Series 2007-39, Class NZ
4.250%, 5/25/37

     270,889       283  

Federal National Mortgage Association, Series 2016-61, Class ML
3.000%, 9/25/46

     900,000       924  

Freddie Mac Military Housing Bonds Resecuritization Trust, Series 2015-R1, Class A2
4.096%, (CSTR), 10/25/52 144A

     581,401       669  

GS Mortgage Securities Trust, Series 2015- 590M, Class B
3.932%, (CSTR), 10/10/35 144A

     300,000       321  

Hilton USA Trust, Series 2016-HHV, Class A
3.719%, 11/5/38 144A

     300,000       324  
Structured Products (23.2%)   Shares/
Par +		     Value
$ (000’s)		  

 

  

Mortgage Securities continued

    

Hilton USA Trust, Series 2016-HHV, Class C
4.333%, (CSTR), 11/5/38 144A

     400,000       436  

Merrill Lynch Mortgage Investors Trust, Series 2003-A4, Class 3A
4.880%, (CSTR, AFC), 5/25/33

     1,295       1  

Morgan Stanley Bank of America Merrill Lynch Trust, Series 2016-C32, Class ASB
3.514%, 12/15/49

     700,000       740  

Morgan Stanley Capital I Trust, Series 2018- MP, Class A
4.418%, 7/11/40 144A

     100,000       114  

MSSG Trust, Series 2017-237P, Class A
3.397%, 9/13/39 144A

     700,000       745  

Structured Asset Mortgage Investments, Inc., Series 2004-AR5, Class 1A1

2.842%, (ICE LIBOR USD 1 Month plus 0.660%), (AFC), 10/19/34

     3,899       4  

VNDO Trust, Series 2016-350P, Class A
3.805%, 1/10/35 144A

     800,000       872  

WaMu Mortgage Pass-Through Certificates, Series 2004-AR1, Class A
4.863%, (CSTR, AFC), 3/25/34

     9,062       9  

Worldwide Plaza Trust, Series 2017-WWP, Class A
3.526%, 11/10/36 144A

     100,000       108  
   

 

 

  

Total

       29,034  
   

 

 

  

Total Structured Products (Cost: $28,900)

       29,876  
   

 

 

  
Short-Term Investments (0.7%)            

 

  

Money Market Funds (0.7%)

    

State Street Institutional U.S. Government Money Market Fund - Premier Class
1.880%#

     935,534       936  
   

 

 

  

Total

       936  
   

 

 

  

Total Short-Term Investments (Cost: $936)

 

     936  
   

 

 

  

Total Investments (139.7%) (Cost: $164,550)@

 

     179,656  
   

 

 

  

Other Assets, Less Liabilities (-39.7%)

       (51,093)  
   

 

 

  

Net Assets (100.0%)

       128,563  
   

 

 

  
 

 

2

Long-Term U.S. Government Bond Portfolio

 

Reverse Repurchase Agreements

 

Reference Entity    Counterparty      Interest
Rate		     Borrowing
Date		      Maturity
Date		      Currency      Amount
Borrowed
(000’s)		     Payable for
Reverse
Repurchase
Agreements
(000s)		  

 

  

US Treasury

      Deutsche Bank Securities, Inc.        2.250%       8/27/2019        10/8/2019        USD        (25,901 )    $ (25,901)    

US Treasury

      Societe Generale        2.050%       9/20/2019        10/15/2019        USD        (7,948 )      (7,948)    
                  

 

 

  
                   $     (33,849)    
                  

 

 

  

Securities Sold Short

 

Description    Coupon     Maturity Date      Principal Amount
(000’s)		      Proceeds (000’s)      Value (000’s)  

 

  

Federal National Mortgage Association TBA

      3.500%       10/12/47      $ (1,600)      $ (1,643)      $ (1,642)    

Federal National Mortgage Association TBA

      3.500%       11/13/47        (2,700)        (2,761)        (2,771)    

Federal National Mortgage Association TBA

      4.500%       10/11/48        (300)        (315)        (316)    

Federal National Mortgage Association TBA

      4.500%       11/13/48        (600)        (632)        (632)    
       

 

 

  
        $             (5,200)      $             (5,351)      $             (5,361)    
       

 

 

  

Exchange Traded or Centrally Cleared Derivatives

Futures

 

Issuer   Long/
Short		   Currency   Notional Par
(000’s)		     Number
of
Contracts		     Expiration
Date		    Notional
Value
(000’s)		      Unrealized
Appreciation/
(Depreciation)
(000’s)		     Variation Margin
(000’s)		  

 

  

CME Ninety-Day Eurodollar Future

   Long   USD     18,750       75     12/19    $   18,382      $ 12     $ –     

Five-Year US Treasury Note Future

   Long   USD     7,200       72     12/19      8,579        (67 )      (3)    

Ten-Year US Treasury Note Future

   Short   USD     3,700       37     12/19      4,822        55       3     

Thirty-Day Federal Fund Futures

   Long   USD     15,418       37     10/19      15,133        5       –p     

Ultra Long Term US Treasury Bond Future

   Long   USD     8,900       89     12/19      17,080        (293 )      6     

Ultra Ten-Year US Treasury Note Future

   Short   USD     25,500       255     12/19      36,314        439       8     
               

 

 

  
                $             151     $             14     
               

 

 

  

Centrally Cleared Interest Rate Swaps - Receive Floating Rate

 

Floating Rate Index    Fixed
Rate		     Expiration
Date		      Notional
Amount
(000’s)		      Currency      Upfront
Premium Paid/
(Received)
(000’s)		     Unrealized
Appreciation/
(Depreciation)
(000’s)		     Market Value
(000’s)		     Variation
Margin(000’s)		  

 

  

3-Month USD-LIBOR

      1.750%       12/26        3,110        USD      $ 115     $ (164 )    $ (49 )    $ (2)    

3-Month USD-LIBOR

      2.250%       6/28        1,800        USD        22       (126 )      (104 )      (1)    

3-Month USD-LIBOR

      2.500%       6/46        1,300        USD        33       (257 )      (224 )      (2)    

3-Month USD-LIBOR

      1.750%       6/47        600        USD        102       (106 )      (4 )      (1)    

3-Month USD-LIBOR

      2.384%       9/47        2,000        USD        99       (403 )      (304 )      (2)    

3-Month USD-LIBOR

      2.750%       12/47        800        USD        (25 )      (166 )      (191 )      (1)    
             

 

 

  
              $             346     $             (1,222 )    $             (876 )    $             (9)    
             

 

 

  

Written Options

 

Description    Currency      Notional Par
(000’s)		      Exercise Price      Expiration
Date		      Number of
Contracts		      Value (000’s)  

 

  

Call - Five-Year US Treasury Note Future

      USD        11      $ 119.000        10/19        11      $ (5)    

Put - Five-Year US Treasury Note Future

      USD        11        116.750        10/19        11                    —p     
                 

 

 

  

(Premiums Received $5)

                   $ (5)    
                 

 

 

  

 

3

Long-Term U.S. Government Bond Portfolio

 

     Financial Derivative Assets      Financial Derivative Liabilities         
     Variation Margin (000’s)      Variation Margin (000’s)     

Market Value

(000’s)

 
     Swaps      Futures      Total      Swaps      Futures      Total      Options  
  

 

 

  
Total Exchange-Traded or Centrally Cleared Derivatives    $             –      $             17      $             17      $             (9)      $             (3)      $             (12)      $             (5)    
  

 

 

  

 

+

All par is stated in U.S Dollar unless otherwise noted.

b

Cash or securities with an aggregate value of $107,745 (in thousands) has been pledged as collateral for futures, swap contracts outstanding, short sales, when issued securities or written options on 9/30/2019.

144A

Security exempt from registration under Rule 144A of the Securities Act of 1933. These securities may be resold as transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2019 the value of these securities (in thousands) was $7,465 representing 5.8% of the net assets.

#

7-Day yield as of 9/30/2019.

@

At September 30, 2019, the aggregate cost of investments, including derivatives, for federal tax purposes (in thousands) was $138,072 and the net unrealized appreciation of investments based on that cost was $1,644 which is comprised of $3,896 aggregate gross unrealized appreciation and $2,252 aggregate gross unrealized depreciation. Because tax adjustments are calculated annually, these amounts do not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to the Financial Statements section in the Portfolio’s most recent annual report.

p

Amount is less than one thousand.

The Fair Value Measurements and Disclosures Topic of the FASB Accounting Standards Codification defines fair value as the price that a Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes and requires disclosure of a fair value hierarchy, separately for each major category of asset and liability, which segregates fair value measurements into levels. A summary of the fair value hierarchy is described below:

Level 1 - fair value is determined by unadjusted quoted prices in active markets for identical securities or derivatives

Level 2 - fair value is determined by other significant observable inputs

Level 3 - fair value is determined by significant unobservable inputs

The categorization of a value determined for a financial instrument within the hierarchy is based upon the pricing transparency of the instrument and does not necessarily correspond to the Portfolio’s perceived risk of that instrument.

The following is a summary of the inputs used in valuing the Portfolio’s assets and liabilities at September 30, 2019.

 

            Valuation Inputs         
  

 

 

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

 

  
    
 (Amounts in thousands)
  

Assets:

            

Corporate Bonds

       $ —      $ 875      $ —  

Governments

         —        147,969        —  

Structured Products

         —        29,876        —  

Short-Term Investments

         936        —        —  

Other Financial Instruments^

                         

Futures

         511        —        —  
     

 

 

  

Total Assets:

       $ 1,447      $ 178,720      $ —  
     

 

 

  

Liabilities:

            

Other Financial Instruments^

            

Futures

         (360)        —        —  

Written Options

         (5)        —        —  

Interest Rate Swaps

         —        (876)        —  

Reverse Repurchase Agreements

         —        (33,849)        —  

Securities Sold Short

         —        (5,361)        —  
     

 

 

  

Total Liabilities:

       $ (365)      $ (40,086)      $ —  
     

 

 

  

^ Other financial instruments are derivative instruments such as futures and forwards, which are valued at the unrealized appreciation (depreciation) on the instrument, and securities sold short, reverse repurchase agreements, written options and swaps contracts, which are valued at market value.

 

4

Abbreviations (unaudited)

 

Abbreviations that may be used in the preceding statements

 

ADR

    American Depositary Receipt

AFC

    Available Funds Cap security - Security accrues interest at an assumed or uncapped rate. If the interest rate on the underlying loans is lower than the uncapped rate, then the security will pay at the lower rate.

CSTR

    Collateral Strip Rate security - interest is based on the weighted net interest rate of the collateral.

EXE

    Security receives collateral principal and interest paid which exceeds the amount of principal and income obligated to all bonds in the deal.

IO

    Interest Only Security

GO

    General Obligation

RB

    Revenue Bond

CPURNSA            

    U.S. Consumer Price Index - All Urban Consumers - Not Seasonally Adjusted

LIBOR

    London Interbank Offered Rate

SOFR

    Secured Overnight Financing Rate

CME

    Chicago Mercantile Exchange

ICE

    Intercontinental Exchange

Currency Abbreviations

ARS

    Argentine Peso

AUD

    Australian Dollar

BRL

    Brazilian Real

CAD

    Canadian Dollar

CHF

    Swiss Franc

CNH

    Chinese Yuan Renminbi - Offshore

CNY

    Chinese Yuan Renminbi

DKK

    Danish Krone

EUR

    Euro

GBP

    British Pound

HKD

    Hong Kong Dollar

IDR

    Indonesian Rupiah

INR

    Indian Rupee

JPY

    Japanese Yen

KES

    Kenyan Shilling

KRW

    South Korean Won

MXN

    Mexican New Peso

MYR

    Malaysian Ringgit

NOK

    Norwegian Krone

NZD

    New Zealand Dollar

PHP

    Philippines Peso

RUB

    Russian Ruble

SEK

    Swedish Krona

SGD

    Singapore Dollar

THB

    Thai Baht

TRY

    Turkish Lira

TWD

    Taiwan Dollar

ZAR

    South African Rand

 

5