Global Growth Fund Global Small Capitalization
Fund InternationalFund Assets Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized appreciation on open forward currency contracts $ — $ 607 $ 1,367 Forward currency Currency Receivables for closed forward currency contracts — — 7 Interest rate swaps Interest Net unrealized appreciation* — — — Credit default swaps Credit Net unrealized appreciation* — — — Futures contracts Equity Net unrealized appreciation* — — — Futures contracts Currency Net unrealized appreciation* — — — $ — $ 607 $ 1,374
Liabilities Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized depreciation on open forward currency contracts $ 590 $ 106 $ 950 Forward currency Currency Payables for closed forward currency contracts — 9 — Interest rate swaps Interest Net unrealized depreciation* — — — Credit default swaps Credit Net unrealized depreciation* — — — Futures contracts Equity Net unrealized depreciation* — — — Futures contracts Currency Net unrealized depreciation* — — — $ 590 $ 115 $ 950
Net realized
gain Risk type Location on statements of operations
Forward currency Currency Net realized gain on forward currency contracts $ 2,184 $4,141 $ 3,508 Interest rate swaps Interest Net realized gain on interest rate swaps — — — Credit default swaps Credit Net realized gain on credit default swaps — — — Futures contracts Equity Net realized gain on futures contracts — — — Futures contracts Currency Net realized gain on futures contracts — — — $ 2,184 $4,141 $ 3,508
Net unrealized (depreciation)
appreciation Risk type Location on statements of operations
Forward currency Currency Net unrealized (depreciation) appreciation on forward currency
contracts $(1,958) $ 94 $(3,684) Interest rate swaps Interest Net unrealized appreciation on interest rate swaps — — — Credit default swaps Credit Net unrealized appreciation on credit default swaps — — — Futures contracts Equity Net unrealized appreciation on futures contracts — — — Futures contracts Currency Net unrealized appreciation on futures contracts — — — $(1,958) $ 94 $(3,684)
New World Fund Global Growth and Income Fund International Growth and Income Fund Assets Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized appreciation on open forward currency contracts $ 86 $ 133 $— Forward currency Currency Receivables for closed forward currency contracts — — — Interest rate swaps Interest Net unrealized appreciation* — — — Credit default swaps Credit Net unrealized appreciation* — — — Futures contracts Equity Net unrealized appreciation* — — — Futures contracts Currency Net unrealized appreciation* — — — $ 86 $ 133 $—
Liabilities Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized depreciation on open forward currency contracts $ 57 $ 75 $— Forward currency Currency Payables for closed forward currency contracts — — — Interest rate swaps Interest Net unrealized depreciation* — — — Credit default swaps Credit Net unrealized depreciation* — — — Futures contracts Equity Net unrealized depreciation* — — — Futures contracts Currency Net unrealized depreciation* — — — $ 57 $ 75 $—
Net realized
gain Risk type Location on statements of operations
Forward currency Currency Net realized gain on forward currency contracts $2,386 $ 2,373 $9 Interest rate swaps Interest Net realized gain on interest rate swaps — — — Credit default swaps Credit Net realized gain on credit default swaps — — — Futures contracts Equity Net realized gain on futures contracts — — — Futures contracts Currency Net realized gain on futures contracts — — — $2,386 $ 2,373 $9
Net unrealized
depreciation Risk type Location on statements of operations
Forward currency Currency Net unrealized depreciation on forward currency contracts $ (537) $(1,206) $— Interest rate swaps Interest Net unrealized appreciation on interest rate swaps — — — Credit default swaps Credit Net unrealized appreciation on credit default swaps — — — Futures contracts Equity Net unrealized appreciation on futures contracts — — — Futures contracts Currency Net unrealized appreciation on futures contracts — — — $ (537) $(1,206) $— See end of tables for footnote.
Asset Allocation
Fund
Global Balanced
Fund BondFund Assets Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized appreciation on open forward currency contracts $ — $132 $ 178 Forward currency Currency Receivables for closed forward currency contracts — — 104 Interest rate swaps Interest Net unrealized appreciation* 1,558 — 13,978 Credit default swaps Credit Net unrealized appreciation* — — — Futures contracts Equity Net unrealized appreciation* — — — Futures contracts Currency Net unrealized appreciation* — — — $ 1,558 $132 $14,260
Liabilities Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized depreciation on open forward currency contracts $ — $ 68 $ 1,210 Forward currency Currency Payables for closed forward currency contracts — 1 — Interest rate swaps Interest Net unrealized depreciation* 6,310 — 12,141 Credit default swaps Credit Net unrealized depreciation* — — — Futures contracts Equity Net unrealized depreciation* — — — Futures contracts Currency Net unrealized depreciation* — — — $ 6,310 $ 69 $13,351
Net realized
(loss) gain Risk type Location on statements of operations
Forward currency Currency Net realized (loss) gain on forward currency contracts $ — $ (5) $23,312 Interest rate swaps Interest Net realized (loss) gain on interest rate swaps (6,911) — 24,673 Credit default swaps Credit Net realized gain on credit default swaps — — — Futures contracts Equity Net realized gain on futures contracts — — — Futures contracts Currency Net realized gain on futures contracts — — — $(6,911) $ (5) $47,985
Net unrealized (depreciation)
appreciation Risk type Location on statements of operations
Forward currency Currency Net unrealized (depreciation) on forward currency contracts $ — $ (16) $ (5,894) Interest rate swaps Interest Net unrealized appreciation on interest rate swaps 4,375 — 9,298 Credit default swaps Credit Net unrealized appreciation on credit default swaps — — — Futures contracts Equity Net unrealized appreciation on futures contracts — — — Futures contracts Currency Net unrealized appreciation on futures contracts — — — $ 4,375 $ (16) $ 3,404
Global Bond Fund High- Income Bond
Fund MortgageFund Assets Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized appreciation on open forward currency contracts $4,136 $ 37 $ — Forward currency Currency Receivables for closed forward currency contracts 1,546 — — Interest rate swaps Interest Net unrealized appreciation* 713 3 2,821 Credit default swaps Credit Net unrealized appreciation* — 706 — Futures contracts Equity Net unrealized appreciation* — — — Futures contracts Currency Net unrealized appreciation* — — — $6,395 $ 746 $2,821
Liabilities Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized depreciation on open forward currency contracts $1,470 $ — $ — Forward currency Currency Payables for closed forward currency contracts 39 — — Interest rate swaps Interest Net unrealized depreciation* 648 277 1,666 Credit default swaps Credit Net unrealized depreciation* — — — Futures contracts Equity Net unrealized depreciation* — — — Futures contracts Currency Net unrealized depreciation* — — — $2,157 $ 277 $1,666
Net realized
gain (loss) Risk type Location on statements of operations
Forward currency Currency Net realized gain on forward currency contracts $6,624 $1,167 $ — Interest rate swaps Interest Net realized gain on interest rate swaps 1,875 1,109 2,444 Credit default swaps Credit Net realized loss on credit default swaps — (679) — Futures contracts Equity Net realized gain on futures contracts — — — Futures contracts Currency Net realized gain on futures contracts — — — $8,499 $1,597 $2,444
Net unrealized appreciation
(depreciation) Risk type Location on statements of operations
Forward currency Currency Net unrealized appreciation (depreciation) on forward currency
contracts $1,831 $ (196) $ —
Interest rate swaps Interest Net unrealized appreciation (depreciation) on interest rate swaps 240 (274) 1,961 Credit default swaps Credit Net unrealized appreciation on credit default swaps — 706 — Futures contracts Equity Net unrealized appreciation on futures contracts — — — Futures contracts Currency Net unrealized appreciation on futures contracts — — — $2,071 $ 236 $1,961 See end of tables for footnote.
U.S. Government/ AAA-Rated Securities Fund Managed Risk Growth Fund Managed Risk International Fund Assets Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized appreciation on open forward currency contracts $ — $ — $ — Forward currency Currency Receivables for closed forward currency contracts — — — Interest rate swaps Interest Net unrealized appreciation* 27,879 — — Credit default swaps Credit Net unrealized appreciation* — — — Futures contracts Equity Net unrealized appreciation* — 38 101 Futures contracts Currency Net unrealized appreciation* — 34 118 $27,879 $ 72 $ 219
Liabilities Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized depreciation on open forward currency contracts $ — $ — $ — Forward currency Currency Payables for closed forward currency contracts — — — Interest rate swaps Interest Net unrealized depreciation* 26,651 — — Credit default swaps Credit Net unrealized depreciation* — — — Futures contracts Equity Net unrealized depreciation* — 101 323 Futures contracts Currency Net unrealized depreciation* — 14 62 $26,651 $ 115 $ 385
Net realized
gain (loss) Risk type Location on statements of operations
Forward currency Currency Net realized gain on forward currency contracts $ — $ — $ — Interest rate swaps Interest Net realized gain on interest rate swaps 32,833 — — Credit default swaps Credit Net realized gain on credit default swaps — — — Futures contracts Equity Net realized loss on futures contracts — (6,558) (2,419) Futures contracts Currency Net realized gain on futures contracts — 203 1,131
$32,833 $(6,355) $(1,288)
Net unrealized appreciation
(depreciation) Risk type Location on statements of operations
Forward currency Currency Net unrealized appreciation on forward currency contracts $ — $ — $ — Interest rate swaps Interest Net unrealized appreciation on interest rate swaps 8,864 — — Credit default swaps Credit Net unrealized appreciation on credit default swaps — — — Futures contracts Equity Net unrealized appreciation (depreciation) on futures contracts — 397 (31) Futures contracts Currency Net unrealized (depreciation) appreciation on futures contracts — (2) 14
Managed Risk Blue Chip Income and Growth Fund Managed Risk Growth- Income Fund Managed Risk Asset Allocation Fund Assets Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized appreciation on open forward currency contracts $ — $ — $ — Forward currency Currency Receivables for closed forward currency contracts — — — Interest rate swaps Interest Net unrealized appreciation* — — — Credit default swaps Credit Net unrealized appreciation* — — — Futures contracts Equity Net unrealized appreciation* 5 9 39 Futures contracts Currency Net unrealized appreciation* 23 31 57 $ 28 $ 40 $ 96
Liabilities Risk type Location on statements of assets and liabilities
Forward currency Currency Unrealized depreciation on open forward currency contracts $ — $ — $ — Forward currency Currency Payables for closed forward currency contracts — — — Interest rate swaps Interest Net unrealized depreciation* — — — Credit default swaps Credit Net unrealized depreciation* — — — Futures contracts Equity Net unrealized depreciation* 98 160 1,613 Futures contracts Currency Net unrealized depreciation* 1 6 9 $ 99 $ 166 $ 1,622
Net realized
(loss) gain Risk type Location on statements of operations
Forward currency Currency Net realized gain on forward currency contracts $ — $ — $ — Interest rate swaps Interest Net realized gain on interest rate swaps — — — Credit default swaps Credit Net realized gain on credit default swaps — — — Futures contracts Equity Net realized loss on futures contracts (5,774) (4,829) (44,808) Futures contracts Currency Net realized gain on futures contracts 123 133 444
$(5,651) $(4,696) $(44,364)
Net unrealized appreciation
(depreciation) Risk type Location on statements of operations
Forward currency Currency Net unrealized appreciation on forward currency contracts $ — $ — $ — Interest rate swaps Interest Net unrealized appreciation on interest rate swaps — — — Credit default swaps Credit Net unrealized appreciation on credit default swaps — — — Futures contracts Equity Net unrealized appreciation (depreciation) on futures contracts 33 53 (1,574) Futures contracts Currency Net unrealized appreciation on futures contracts 17 13 48
$ 50 $ 66 $ (1,526) *Includes cumulative appreciation/depreciation on interest rate swaps, credit default swaps and/or futures contracts as reported in the applicable table(s)