| SCHEDULE OF INVESTMENTS | ||||
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Global Bond (in thousands) |
MARCH 31, 2019 (UNAUDITED) | |||
Notes to Schedule of Investments
| * | Not shown due to rounding. |
| (A) | Securities were purchased pursuant to an exemption from registration available under Rule 144A under the Securities Act of 1933 and may only be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2019 the total value of these securities amounted to $10,873 or 48.9% of net assets. |
| (B) | All or a portion of securities with an aggregate value of $395 are on loan. |
| (C) | Non-income producing as the issuer has either missed its most recent interest payment or declared bankruptcy. |
| (D) | Principal amounts are denominated in the indicated foreign currency, where applicable (COP - Columbian Peso). |
| (E) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2019. Description of the reference rate and spread, if applicable, are included in the security description. |
| (F) | Other Government Securities may include emerging markets sovereign, quasi-sovereign, corporate and supranational agency and organization debt securities. |
| (G) | Variable rate security. Interest rate disclosed is that which is in effect at March 31, 2019. Date shown represents the date that the variable rate resets. Description of the reference rate and spread, if applicable, are included in the security description. |
| (H) | Rate shown is the annualized 7-day yield at March 31, 2019. |
| (I) | Investment made with cash collateral received from securities on loan. |
Each Portfolio’s investments are reported at fair value. Fair value is defined as the price that each Portfolio would receive upon selling an asset or would pay upon satisfying a liability in an orderly transaction between market participants at the measurement date.
Accounting standards establish a framework for measuring fair value and a three-level hierarchy for fair value measurements based upon the transparency of inputs to the valuation of an asset or liability. Inputs may be observable or unobservable and refer broadly to the assumptions that market participants would use in pricing the asset or liability. Observable inputs reflect the assumptions market participants would use in pricing the asset or liability based on market data obtained from sources independent of the reporting entity. Unobservable inputs reflect the reporting entity’s own assumptions about the factors that market participants would use in pricing the asset or liability developed based on the best information available in the circumstances.
Reoccurring fair value measurements of Level 3 securities shall include a reconciliation of the beginning to ending balances for reported fair market values. A fair value hierarchy and Level 3 reconciliation, if applicable, have been included in the Notes to Schedule of Investments for each respective Portfolio.
An individual investment’s fair value measurement is assigned a level based upon the observability of the inputs which are significant to the overall valuation. The three-tier hierarchy of inputs is summarized as follows:
| • | Level 1 - Observable input such as quoted prices, available in active markets, for identical assets or liabilities. |
| • | Level 2 - Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. |
| • | Level 3 - Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments. |
The following table is a summary of the valuation of the Portfolio’s investments by the fair value hierarchy levels as of March 31, 2019:
| Level 1 | Level 2 | Level 3 | ||||||||||
| Assets |
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| Investments in Securities |
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| Common Stocks |
$ | 152 | $ | — | $ | — | ||||||
| Corporate Debt Securities |
— | 15,168 | — | |||||||||
| Other Government Securities |
— | 3,823 | — | |||||||||
| United States Government Obligations |
— | 2,429 | — | |||||||||
| Short-Term Securities |
405 | 620 | — | |||||||||
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| Total |
$ | 557 | $ | 22,040 | $ | — | ||||||
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The following acronyms are used throughout this schedule:
GTD = Guaranteed
LIBOR = London Interbank Offered Rate