| SCHEDULE OF INVESTMENTS | ||||
| Small Cap Growth (in thousands) | MARCH 31, 2021 (UNAUDITED) | |||
Notes to Schedule of Investments
| *Not shown | due to rounding. |
| (A) | No dividends were paid during the preceding 12 months. |
| (B) | All or a portion of securities with an aggregate value of $5,252 are on loan. |
| (C) | Investment made with cash collateral received from securities on loan. |
| (D) | Rate shown is the annualized 7-day yield at March 31, 2021. |
The following total return swap agreements were outstanding at March 31, 2021:
| Underlying Security | Long/Short |
Counterparty | Maturity Date |
Notional Amount |
Financing Fee(1)(2) |
Value | Upfront Payments/ (Receipts) |
Unrealized Depreciation |
||||||||||||||||||
| Biotech Custom Index |
Long |
JPMorgan Chase Bank N.A. | 07/01/2021 | $ | 14,555 | 1-Month LIBOR minus 0.2 bps |
$ | (2,005 | ) | $— | $(2,005) | |||||||||||||||
| (1) | The Portfolio pays the financing fee multiplied by the notional amount if long on the swap agreement. If the Portfolio is short on the swap agreement, the Portfolio receives the financing fee multiplied by the notional amount. |
| (2) | At the termination date, a net cash flow is exchanged where the market-linked total return is equivalent to the return of the underlying security less a financing rate, if any. If the Portfolio is long on the swap agreement, the Portfolio would receive payments on any net positive total return, and would owe payments in the event of a negative total return. If the Portfolio is short on the swap agreement, the Portfolio would owe payments on any net positive total return, and would receive payments in the event of a negative total return. |
The following table represents security positions within the total return basket swap as of March 31, 2021:
| Reference Entity |
Shares | |
Notional Amount |
|
Value | % of Value | ||||||||||
| Arrowhead Pharmaceuticals, Inc. |
1 | $599 | $(83) | 4.1% | ||||||||||||
| Natera, Inc. |
1 | 590 | (81) | 4.1 | ||||||||||||
| Ultragenyx Pharmaceutical, Inc. |
1 | 586 | (81) | 4.0 | ||||||||||||
| Mirati Therapeutics, Inc. |
— | * | 558 | (77) | 3.8 | |||||||||||
| Halozyme Therapeutics, Inc. |
2 | 503 | (69) | 3.5 | ||||||||||||
| Fate Therapeutics, Inc. |
1 | 468 | (64) | 3.2 | ||||||||||||
| Blueprint Medicines Corp. |
1 | 467 | (64) | 3.2 | ||||||||||||
| Bridgebio Pharma, Inc. |
1 | 402 | (55) | 2.8 | ||||||||||||
| Invitae Corp. |
1 | 402 | (55) | 2.8 | ||||||||||||
| Medpace Holdings, Inc. |
— | * | 398 | (55) | 2.7 | |||||||||||
| Emergent BioSolutions, Inc. |
1 | 370 | (51) | 2.5 | ||||||||||||
| TG Therapeutics, Inc. |
1 | 354 | (49) | 2.4 | ||||||||||||
| Twist Bioscience Corp. |
— | * | 328 | (45) | 2.3 | |||||||||||
| Denali Therapeutics, Inc. |
1 | 319 | (44) | 2.2 | ||||||||||||
| Intellia Therapeutics, Inc. |
1 | 312 | (43) | 2.1 | ||||||||||||
| Insmed, Inc. |
1 | 304 | (42) | 2.1 | ||||||||||||
| Biohaven Pharmaceutical Holding Co. Ltd. |
1 | 291 | (40) | 2.0 | ||||||||||||
| Kodiak Sciences, Inc. |
— | * | 289 | (40) | 2.0 | |||||||||||
| PTC Therapeutics, Inc. |
1 | 270 | (37) | 1.9 | ||||||||||||
| Allakos, Inc. |
— | * | 249 | (34) | 1.7 | |||||||||||
| Novavax, Inc. |
— | * | 243 | (33) | 1.7 | |||||||||||
| Veracyte, Inc. |
1 | 237 | (33) | 1.6 | ||||||||||||
| Apellis Pharmaceuticals, Inc. |
1 | 225 | (31) | 1.5 | ||||||||||||
| Pacira BioSciences, Inc. |
— | * | 223 | (31) | 1.5 | |||||||||||
| Amicus Therapeutics, Inc. |
3 | 223 | (31) | 1.5 | ||||||||||||
| Vir Biotechnology, Inc. |
1 | 221 | (30) | 1.5 | ||||||||||||
| FibroGen, Inc. |
1 | 220 | (30) | 1.5 |
| Turning Point Therapeutics, Inc. |
— | * | 215 | (30) | 1.5 | |||||||||||
| Editas Medicine, Inc. |
1 | 206 | (28) | 1.4 | ||||||||||||
| ChemoCentryx, Inc. |
1 | 202 | (28) | 1.4 | ||||||||||||
| Corcept Therapeutics, Inc. |
1 | 202 | (28) | 1.4 | ||||||||||||
| Xencor, Inc. |
1 | 198 | (27) | 1.4 | ||||||||||||
| Ligand Pharmaceuticals, Inc. |
— | * | 195 | (27) | 1.3 | |||||||||||
| Heron Therapeutics, Inc. |
2 | 194 | (27) | 1.3 | ||||||||||||
| NanoString Technologies, Inc. |
— | * | 190 | (26) | 1.3 | |||||||||||
| Arvinas, Inc. |
— | * | 178 | (25) | 1.2 | |||||||||||
| Karuna Therapeutics, Inc. |
— | * | 169 | (23) | 1.2 | |||||||||||
| Ironwood Pharmaceuticals, Inc. |
2 | 158 | (22) | 1.1 | ||||||||||||
| Allogene Therapeutics, Inc. |
1 | 153 | (21) | 1.0 | ||||||||||||
| Dicerna Pharmaceuticals, Inc. |
1 | 148 | (20) | 1.0 | ||||||||||||
| Deciphera Pharmaceuticals, Inc. |
— | * | 148 | (20) | 1.0 | |||||||||||
| Axsome Therapeutics, Inc. |
— | * | 147 | (20) | 1.0 | |||||||||||
| SpringWorks Therapeutics, Inc. |
— | * | 135 | (19) | 0.9 | |||||||||||
| Kura Oncology, Inc. |
1 | 131 | (18) | 0.9 | ||||||||||||
| Sorrento Therapeutics, Inc. |
2 | 129 | (18) | 0.9 | ||||||||||||
| Sangamo Therapeutics, Inc. |
1 | 129 | (18) | 0.9 | ||||||||||||
| Inovio Pharmaceuticals, Inc. |
2 | 124 | (17) | 0.9 | ||||||||||||
| Revance Therapeutics, Inc. |
1 | 107 | (15) | 0.7 | ||||||||||||
| REGENXBIO, Inc. |
— | * | 105 | (14) | 0.7 | |||||||||||
| Cytokinetics, Inc. |
1 | 102 | (14) | 0.7 | ||||||||||||
| Madrigal Pharmaceuticals, Inc. |
— | * | 99 | (14) | 0.7 | |||||||||||
| Zogenix, Inc. |
1 | 96 | (13) | 0.7 | ||||||||||||
| Travere Therapeutics, Inc. |
1 | 92 | (13) | 0.6 | ||||||||||||
| Intercept Pharmaceuticals, Inc. |
1 | 87 | (12) | 0.6 | ||||||||||||
| Alector, Inc. |
1 | 84 | (12) | 0.6 | ||||||||||||
| Y-mAbs Therapeutics, Inc. |
— | * | 81 | (11) | 0.6 | |||||||||||
| Coherus Biosciences, Inc. |
1 | 75 | (11) | 0.5 |
| Translate Bio, Inc. |
1 | 73 | (10) | 0.5 | ||||||||||||
| Theravance Biopharma, Inc. |
— | * | 72 | (10) | 0.5 | |||||||||||
| Innoviva, Inc. |
1 | 67 | (9) | 0.5 | ||||||||||||
| Karyopharm Therapeutics, Inc. |
1 | 67 | (9) | 0.5 | ||||||||||||
| Mersana Therapeutics, Inc. |
1 | 65 | (9) | 0.4 | ||||||||||||
| Esperion Therapeutics, Inc. |
— | * | 64 | (9) | 0.4 | |||||||||||
| Kadmon Holdings, Inc. |
2 | 57 | (8) | 0.4 | ||||||||||||
| Adverum Biotechnologies, Inc. |
1 | 53 | (7) | 0.4 | ||||||||||||
| Epizyme, Inc. |
1 | 41 | (6) | 0.3 | ||||||||||||
| Akebia Therapeutics, Inc. |
2 | 38 | (5) | 0.3 | ||||||||||||
| Athenex, Inc. |
1 | 28 | (4) | 0.2 | ||||||||||||
|
|
|
|||||||||||||||
| $ | (2,005) | |||||||||||||||
|
|
|
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 inputs 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, 2021:
| Level 1 | Level 2 | Level 3 | ||||||||||
| Assets |
||||||||||||
| Investments in Securities |
||||||||||||
| Common Stocks |
$ | 450,848 | $ | — | $ | — | ||||||
| Short-Term Securities |
14,867 | — | — | |||||||||
|
|
|
|||||||||||
| Total |
$ | 465,715 | $ | — | $ | — | ||||||
|
|
|
|||||||||||
| Total Return Swaps |
$ | — | $ | 2,005 | $ | — | ||||||
The following acronym is used throughout this schedule:
LIBOR = London Interbank Offered Rate