Note 2.Repurchase Agreements
As of March 31, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with Bank of America Securities LLC:
| | | | | | | | |
| Portfolio | | Percentage Ownership | | | Principal Amount | |
SA Wellington Capital Appreciation | | | 11.69 | % | | $ | 3,840,000 | |
SA Wellington Government and Quality Bond | | | 67.44 | | | | 22,155,000 | |
SA Wellington Strategic Multi-Asset | | | 0.91 | | | | 300,000 | |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Bank of America Securities LLC, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $32,850,000, a repurchase price of $32,850,009, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
| | | | | | | | | | | | | | | | |
| Type of Collateral | | Interest Rate | | | Maturity Date | | | Principal Amount | | | Value | |
U.S. Treasury Bonds | | | 3.00 | % | | | 11/15/2045 | | | $ | 24,215,000 | | | $ | 33,830,214 | |
As of March 31, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with Barclays Capital, Inc.:
| | | | | | | | |
| Portfolio | | Percentage Ownership | | | Principal Amount | |
SA Wellington Capital Appreciation | | | 11.69 | % | | $ | 4,675,000 | |
SA Wellington Government and Quality Bond | | | 67.44 | | | | 26,975,000 | |
SA Wellington Strategic Multi-Asset | | | 0.93 | | | | 370,000 | |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Barclays Capital, Inc., dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $40,000,000, a repurchase price of $40,000,011, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
| | | | | | | | | | | | | | | | |
| Type of Collateral | | Interest Rate | | | Maturity Date | | | Principal Amount | | | Value | |
U.S. Treasury Bonds | | | 3.00 | % | | | 05/15/2047 | | | $ | 29,066,000 | | | $ | 40,993,466 | |
As of March 31, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with BNP Paribas SA:
| | | | | | | | |
| Portfolio | | Percentage Ownership | | | Principal Amount | |
SA Wellington Capital Appreciation | | | 11.70 | % | | $ | 5,265,000 | |
SA Wellington Government and Quality Bond | | | 67.48 | | | | 30,365,000 | |
SA Wellington Strategic Multi-Asset | | | 0.94 | | | | 425,000 | |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
BNP Paribas SA, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $45,000,000, a repurchase price of $45,000,013, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
| | | | | | | | | | | | | | | | |
| Type of Collateral | | Interest Rate | | | Maturity Date | | | Principal Amount | | | Value | |
U.S. Treasury Notes | | | 1.50 | % | | | 09/30/2024 | | | $ | 43,649,400 | | | $ | 45,874,580 | |
As of March 31, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with Deutsche Bank AG:
| | | | | | | | |
| Portfolio | | Percentage Ownership | | | Principal Amount | |
SA Wellington Capital Appreciation | | | 11.69 | % | | $ | 4,675,000 | |
SA Wellington Government and Quality Bond | | | 67.44 | | | | 26,975,000 | |
SA Wellington Strategic Multi-Asset | | | 0.93 | | | | 370,000 | |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
Deutsche Bank AG, dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $40,000,000, a repurchase price of $40,000,006, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
| | | | | | | | | | | | | | | | |
| Type of Collateral | | Interest Rate | | | Maturity Date | | | Principal Amount | | | Value | |
U.S. Treasury Notes | | | 1.88 | % | | | 01/31/2022 | | | $ | 39,506,000 | | | $ | 40,829,203 | |
As of March 31, 2020, the following Portfolios held an undivided interest in a joint repurchase agreement with RBS Securities, Inc.:
| | | | | | | | |
| Portfolio | | Percentage Ownership | | | Principal Amount | |
SA Wellington Capital Appreciation | | | 11.68 | % | | $ | 4,440,000 | |
SA Wellington Government and Quality Bond | | | 67.45 | | | | 25,630,000 | |
SA Wellington Strategic Multi-Asset | | | 0.92 | | | | 350,000 | |
As of such date, the repurchase agreement in that joint account and the collateral thereof were as follows:
RBS Securities, Inc., dated March 31, 2020, bearing interest at a rate of 0.01% per annum, with a principal amount of $38,000,000, a repurchase price of $38,000,005, and a maturity date of April 1, 2020. The repurchase agreement is collateralized by the following:
| | | | | | | | | | | | | | | | |
| Type of Collateral | | Interest Rate | | | Maturity Date | | | Principal Amount | | | Value | |
U.S. Treasury Notes | | | 2.00 | % | | | 04/30/2024 | | | $ | 36,075,000 | | | $ | 38,797,829 | |
Note 3.Derivative Instruments
Forward Foreign Currency Contracts: During the period, the SA Wellington Strategic Multi-Asset Portfolio used forward contracts to attempt to protect the value of securities and related receivables and payables against changes in future foreign exchange rates to manage and/or gain exposure to certain foreign currencies and/or to attempt to enhance return.
A forward contract is an agreement between two parties to buy or sell currency at a set price on a future date. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked-to-market daily using the forward rate and the cumulative change in market value is recorded by the Portfolio as unrealized appreciation or depreciation. On the settlement date, the Portfolio records either realized gains or losses equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Risks to the Portfolios of entering into forward contracts include counterparty risk, market risk and illiquidity risk. Counterparty risk arises upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts. If the counterparty defaults, a Portfolio’s loss will generally consist of the net amount of contractual payments that a Portfolio has not yet received though the Portfolio’s maximum risk due to counterparty risk could extend to the notional amount of the contract. Market risk is the risk that the value of the forward contract will depreciate due to unfavorable changes in the exchange rates. These contracts may involve market risk in excess of the unrealized appreciation or depreciation reported in the Portfolio of Investments. Illiquidity risk arises because the secondary market for forwards may have less liquidity relative to markets for other securities. Currency transactions are also subject to risks different from those of other Portfolio transactions. Because currency control is of great importance to the issuing governments and influences economic planning and policy, purchases and sales of currency and related instruments can be adversely affected by government exchange controls, limitations or restrictions on repatriation of currency, and manipulations or exchange restrictions imposed by governments.
Forward foreign currency contracts outstanding at the end of the period, if any, are reported on a schedule at the end of the Portfolio’s Portfolio of Investments.
Futures:During the period, SA Wellington Government and Quality Bond and the SA Wellington Strategic Multi-Asset Portfolios used futures contracts to attempt to increase or decrease exposure to equity, bond and currency markets and to manage duration and yield curve positioning.
A futures contract is an agreement between two parties to buy and sell a financial instrument at a set price on a future date. Upon entering into a futures transaction, a Portfolio will be required to segregate an initial margin payment of cash or other liquid securities with the futures commission merchant (the “broker”). Subsequent payments are made or received by the Portfolio as a result of changes in the value of the contract and/or changes in the value of the initial margin requirement. When a contract is closed, the Portfolios record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
