iMGP Global Select Fund (formerly iMGP Equity Fund)
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 93.3% | ||||||||
Communication Services: 10.4% | ||||||||
35,053 | Alphabet, Inc. - Class A* | $ | 3,352,820 | |||||
29,200 | Baidu, Inc. - ADR* | 3,430,708 | ||||||
88,100 | Comcast Corp. - Class A | 2,583,973 | ||||||
20,200 | CTS Eventim AG & Co. KGaA* | 840,137 | ||||||
271,000 | Grupo Televisa SAB - ADR | 1,457,980 | ||||||
140,000 | Kakaku.com, Inc. | 2,381,867 | ||||||
22,000 | Tencent Holdings Ltd. | 746,613 | ||||||
25,800 | Tencent Holdings Ltd. - ADR | 872,556 | ||||||
|
| |||||||
15,666,654 | ||||||||
|
| |||||||
Consumer Discretionary: 9.3% | ||||||||
9,200 | Adidas AG | 1,069,799 | ||||||
19,315 | Advance Auto Parts, Inc. | 3,019,707 | ||||||
16,279 | Amazon.com, Inc.* | 1,839,527 | ||||||
19,700 | Five Below, Inc.* | 2,712,099 | ||||||
16,700 | Floor & Decor Holdings, Inc. - Class A* | 1,173,342 | ||||||
2,100 | LVMH Moet Hennessy Louis Vuitton SE | 1,253,832 | ||||||
64,000 | Revolve Group, Inc.* | 1,388,160 | ||||||
25,900 | Sony Group Corp. | 1,661,996 | ||||||
|
| |||||||
14,118,462 | ||||||||
|
| |||||||
Consumer Staples: 6.9% | ||||||||
103,511 | Beiersdorf AG - ADR | 2,029,851 | ||||||
11,267 | Clorox Co. (The) | 1,446,570 | ||||||
5,369 | Diageo Plc - ADR | 911,710 | ||||||
221,699 | Henkel AG & Co. KGaA - ADR | 3,128,173 | ||||||
15,310 | Kimberly-Clark Corp. | 1,722,987 | ||||||
27,336 | Unilever Plc - ADR | 1,198,410 | ||||||
|
| |||||||
10,437,701 | ||||||||
|
| |||||||
Financials: 13.0% | ||||||||
410,000 | AIA Group Ltd. | 3,418,473 | ||||||
6,270 | Aon Plc - Class A | 1,679,545 | ||||||
3 | Berkshire Hathaway, Inc. - Class A* | 1,219,410 | ||||||
10,400 | Berkshire Hathaway, Inc. - Class B* | 2,777,008 | ||||||
3,213 | Charles Schwab Corp. (The) | 230,918 | ||||||
3,105 | Chubb Ltd. | 564,737 | ||||||
24,430 | Euronext N.V.(a) | 1,555,643 | ||||||
3,054 | Everest Re Group Ltd. | 801,492 | ||||||
42,310 | Goosehead Insurance, Inc. - Class A* | 1,507,929 | ||||||
2,102 | Hartford Financial Services Group, Inc. (The) | 130,198 | ||||||
19,156 | Northern Trust Corp. | 1,638,987 | ||||||
6,267 | Reinsurance Group of America, Inc. | 788,451 | ||||||
12,800 | TMX Group Ltd. | 1,182,555 | ||||||
13,636 | Travelers Cos., Inc. (The) | 2,089,035 | ||||||
2,856 | US Bancorp | 115,154 | ||||||
|
| |||||||
19,699,535 | ||||||||
|
| |||||||
Health Care: 22.6% | ||||||||
23,800 | Abbott Laboratories | 2,302,888 | ||||||
4,300 | Align Technology, Inc.* | 890,573 | ||||||
33,000 | Azenta, Inc. | 1,414,380 | ||||||
37,875 | Baxter International, Inc. | 2,039,947 | ||||||
1,096 | Becton Dickinson & Co. | 244,222 |
Shares | Value | |||||||
Health Care (continued) | ||||||||
19,400 | Centene Corp* | $ | 1,509,514 | |||||
28,600 | CompuGroup Medical SE & Co. KgaA | 994,794 | ||||||
38,800 | CVS Health Corp. | 3,700,356 | ||||||
45,517 | Dechra Pharmaceuticals Plc | 1,328,376 | ||||||
105,909 | Dentsply Sirona, Inc. | 3,002,520 | ||||||
12,900 | ICON Plc* | 2,370,762 | ||||||
2,865 | Medtronic Plc | 231,349 | ||||||
46,100 | Novartis AG - ADR | 3,504,061 | ||||||
45,000 | Siemens Healthineers AG(a) | 1,949,062 | ||||||
135,146 | Smith & Nephew Plc - ADR | 3,138,090 | ||||||
5,100 | Tecan Group AG | 1,776,751 | ||||||
21,880 | Universal Health Services, Inc. - Class B | 1,929,378 | ||||||
16,834 | Zimmer Biomet Holdings, Inc. | 1,759,995 | ||||||
|
| |||||||
34,087,018 | ||||||||
|
| |||||||
Industrials: 5.3% | ||||||||
17,740 | 3M Co. | 1,960,270 | ||||||
72,522 | Atlas Copco AB - Class A, ADR | 668,653 | ||||||
201,639 | Knorr-Bremse AG - ADR | 2,157,537 | ||||||
122,183 | Legrand S.A. - ADR | 1,572,495 | ||||||
80,900 | MillerKnoll, Inc. | 1,262,040 | ||||||
14,931 | Schneider Electric SE - ADR | 335,948 | ||||||
|
| |||||||
7,956,943 | ||||||||
|
| |||||||
Information Technology: 19.1% | ||||||||
4,700 | Accenture Plc - Class A | 1,209,310 | ||||||
7,000 | Adobe, Inc.* | 1,926,400 | ||||||
13,227 | Amphenol Corp. - Class A | 885,680 | ||||||
58,600 | Dynatrace, Inc.* | 2,039,866 | ||||||
24,809 | Endava Plc - ADR* | 2,000,350 | ||||||
2,330 | Fair Isaac Corp.* | 959,983 | ||||||
11,600 | Globant S.A.* | 2,170,128 | ||||||
89,371 | Keywords Studios Plc | 2,285,922 | ||||||
10,500 | Microsoft Corp. | 2,445,450 | ||||||
109,295 | Murata Manufacturing Co. Ltd. - ADR | 1,255,799 | ||||||
49,600 | Oracle Corp. | 3,029,072 | ||||||
6,030 | Paycom Software, Inc.* | 1,989,840 | ||||||
20,700 | SAP SE | 1,703,237 | ||||||
27,957 | Visa, Inc. - Class A | 4,966,561 | ||||||
|
| |||||||
28,867,598 | ||||||||
|
| |||||||
Materials: 4.2% | ||||||||
11,924 | Akzo Nobel N.V. - ADR | 226,318 | ||||||
190,000 | Barrick Gold Corp. | 2,945,000 | ||||||
2,248 | DuPont de Nemours, Inc. | 113,299 | ||||||
120,500 | Valvoline, Inc. | 3,053,470 | ||||||
|
| |||||||
6,338,087 | ||||||||
|
| |||||||
Real Estate: 1.1% | ||||||||
27,600 | Altus Group Ltd. | 898,661 | ||||||
40,680 | Healthcare Realty Trust, Inc. - REIT | 848,178 | ||||||
|
| |||||||
1,746,839 | ||||||||
|
|
iMGP Global Select Fund (formerly iMGP Equity Fund)
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Utilities: 1.4% | ||||||||
104,415 | United Utilities Group Plc - ADR | $ | 2,054,887 | |||||
|
| |||||||
| TOTAL COMMON STOCKS | 140,973,724 | ||||||
|
| |||||||
PREFERRED STOCK: 2.1% | ||||||||
Information Technology: 2.1% | ||||||||
95,000 | Samsung Electronics Co. Ltd. - (Preference Shares) | 3,114,210 | ||||||
|
| |||||||
| TOTAL PREFERRED STOCK | 3,114,210 | ||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS: 5.0% | ||||||||
REPURCHASE AGREEMENTS: 5.0% | ||||||||
$7,581,000 | Fixed Income Clearing Corp. 0.830%, 9/30/2022, due 10/03/2022 [collateral: par value $3,864,900, U.S. Treasury Inflation Index Bond, 3.625%, due 04/15/2028 value $7,734,362] (proceeds $7,581,524) | 7,581,000 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 7,581,000 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $166,749,881): 100.4% | 151,668,934 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets: (0.4)% | (665,574 | ) | ||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 151,003,360 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
LP | Limited Partnership |
REIT | Real Estate Investment Trust |
* | Non-Income Producing Security. |
(a) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. |
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
|
| |||||
Cost of investments | $ | 166,749,881 | ||||
|
| |||||
Gross unrealized appreciation | 10,050,788 | |||||
Gross unrealized depreciation | (25,131,735 | ) | ||||
|
| |||||
Net unrealized depreciation | $ | (15,080,947 | ) | |||
|
| |||||
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
|
iMGP International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 94.1% | ||||||||
Argentina: 0.8% | ||||||||
1,765 | MercadoLibre, Inc.* | $ | 1,461,032 | |||||
|
| |||||||
Australia: 1.5% | ||||||||
513,800 | Glencore Plc* | 2,704,636 | ||||||
|
| |||||||
Canada: 2.0% | ||||||||
240,477 | CAE, Inc.* | 3,705,161 | ||||||
|
| |||||||
China: 5.0% | ||||||||
3,138,000 | China Longyuan Power Group Corp. Ltd. - Class H | 3,924,005 | ||||||
66,919 | Prosus N.V.* | 3,480,650 | ||||||
55,400 | Tencent Holdings Ltd. | 1,870,921 | ||||||
|
| |||||||
9,275,576 | ||||||||
|
| |||||||
Denmark: 2.1% | ||||||||
33,954 | Carlsberg A/S - Class B | 3,953,814 | ||||||
|
| |||||||
Finland: 3.1% | ||||||||
132,455 | Sampo Oyj - Class A | 5,641,888 | ||||||
|
| |||||||
France: 7.5% | ||||||||
91,100 | BNP Paribas S.A. | 3,838,544 | ||||||
5,995 | Kering S.A. | 2,645,962 | ||||||
6,290 | LVMH Moet Hennessy Louis Vuitton SE | 3,690,314 | ||||||
93,300 | Worldline S.A.*(a) | 3,641,438 | ||||||
|
| |||||||
13,816,258 | ||||||||
|
| |||||||
Germany: 22.4% | ||||||||
25,625 | Adidas AG | 2,968,031 | ||||||
21,400 | Allianz SE | 3,379,999 | ||||||
72,600 | Bayer AG | 3,343,844 | ||||||
46,782 | Continental AG | 2,097,771 | ||||||
80,442 | CTS Eventim AG & Co. KGaA* | 3,346,184 | ||||||
140,418 | Daimler Truck Holding AG* | 3,207,363 | ||||||
191,265 | Fresenius SE & Co. KGaA | 4,088,811 | ||||||
174,118 | Hensoldt AG | 3,490,424 | ||||||
75,415 | Mercedes-Benz Group AG | 3,849,069 | ||||||
80,985 | SAP SE | 6,663,040 | ||||||
111,030 | Siemens Healthineers AG(a) | 4,800,132 | ||||||
|
| |||||||
41,234,668 | ||||||||
|
| |||||||
Ireland: 6.7% | ||||||||
31,715 | ICON Plc* | 5,828,583 | ||||||
109,989 | Ryanair Holdings Plc - ADR* | 6,425,557 | ||||||
|
| |||||||
12,254,140 | ||||||||
|
| |||||||
Israel: 3.7% | ||||||||
1,344,819 | Israel Discount Bank Ltd. - Class A | 6,743,943 | ||||||
|
| |||||||
Italy: 1.2% | ||||||||
382,962 | GVS SpA*(a) | 2,231,926 | ||||||
|
| |||||||
Netherlands: 5.1% | ||||||||
7,260 | ASML Holding N.V. | 3,005,547 | ||||||
43,493 | EXOR N.V.* | 2,785,695 | ||||||
195,760 | Universal Music Group N.V. | 3,682,938 | ||||||
|
| |||||||
9,474,180 | ||||||||
|
|
Shares | Value | |||||||
Portugal: 2.5% | ||||||||
1,064,220 | EDP - Energias de Portugal S.A. | $ | 4,598,219 | |||||
|
| |||||||
South Korea: 1.3% | ||||||||
17,860 | NAVER Corp. | 2,380,314 | ||||||
|
| |||||||
Spain: 4.5% | ||||||||
106,330 | Amadeus IT Group S.A.* | 4,912,362 | ||||||
189,968 | Siemens Gamesa Renewable Energy S.A.* | 3,329,951 | ||||||
|
| |||||||
8,242,313 | ||||||||
|
| |||||||
Sweden: 2.6% | ||||||||
59,976 | Evolution AB(a) | 4,709,444 | ||||||
|
| |||||||
Switzerland: 4.1% | ||||||||
1,170,038 | Credit Suisse Group AG* | 4,621,316 | ||||||
43,280 | Temenos AG | 2,920,620 | ||||||
|
| |||||||
7,541,936 | ||||||||
|
| |||||||
United Kingdom: 10.3% | ||||||||
245,009 | CNH Industrial N.V. | 2,729,998 | ||||||
122,124 | Coca-Cola European Partners Plc | 5,272,435 | ||||||
532,399 | Informa Plc | 3,057,580 | ||||||
7,574,650 | Lloyds Banking Group Plc | 3,449,741 | ||||||
585,820 | Sage Group Plc (The) | 4,493,019 | ||||||
|
| |||||||
19,002,773 | ||||||||
|
| |||||||
United States: 7.7% | ||||||||
13,653 | Accenture Plc - Class A | 3,512,917 | ||||||
26,086 | Aon Plc - Class A | 6,987,657 | ||||||
46,314 | Medtronic Plc | 3,739,855 | ||||||
|
| |||||||
14,240,429 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 173,212,650 | ||||||
|
| |||||||
Principal Amount | ||||||||
SHORT-TERM INVESTMENTS: 6.4% | ||||||||
REPURCHASE AGREEMENTS: 6.4% | ||||||||
$11,799,000 | Fixed Income Clearing Corp. 0.830%, 9/30/2022, due 10/03/2022 [collateral: par value $6,015,000, U.S. Treasury Inflation Index Bond, 3.625%, due 04/15/2028 value $12,037,099] (proceeds $11,799,816) | 11,799,000 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 11,799,000 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $237,316,448): 100.5% | 185,011,650 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets: (0.5)% | (998,192 | ) | ||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 184,013,458 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
LP | Limited Partnership |
* | Non-Income Producing Security. |
iMGP International Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
(a) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. |
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
Cost of investments | $ | 237,316,448 | ||||
|
| |||||
Gross unrealized appreciation | 6,458,114 | |||||
Gross unrealized depreciation | (58,762,912 | ) | ||||
|
| |||||
Net unrealized depreciation | $ | (52,304,798 | ) | |||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iMGP Oldfield International Value Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 55.7% | ||||||||
Brazil: 2.1% | ||||||||
72,300 | Embraer S.A. - ADR* | $ | 621,780 | |||||
|
| |||||||
China: 2.0% | ||||||||
58,700 | Alibaba Group Holding Ltd.* | 588,799 | ||||||
|
| |||||||
France: 3.0% | ||||||||
11,768 | Sanofi | 896,396 | ||||||
|
| |||||||
Germany: 11.6% | ||||||||
22,397 | Bayer AG | 1,031,571 | ||||||
79,094 | E.ON SE | 610,952 | ||||||
32,623 | Fresenius SE & Co. KGaA | 697,406 | ||||||
11,415 | Siemens AG | 1,127,592 | ||||||
|
| |||||||
3,467,521 | ||||||||
|
| |||||||
Italy: 2.8% | ||||||||
78,302 | Eni SpA | 830,244 | ||||||
|
| |||||||
Japan: 10.6% | ||||||||
10,600 | East Japan Railway Co. | 544,254 | ||||||
18,700 | Mitsubishi Heavy Industries Ltd. | 623,551 | ||||||
182,900 | Mitsubishi UFJ Financial Group, Inc. | 824,888 | ||||||
188,600 | Nomura Holdings, Inc. | 622,705 | ||||||
42,700 | Toyota Motor Corp. | 555,895 | ||||||
|
| |||||||
3,171,293 | ||||||||
|
| |||||||
Netherlands: 3.0% | ||||||||
14,037 | EXOR N.V.* | 899,060 | ||||||
|
| |||||||
South Korea: 7.3% | ||||||||
11,723 | KT&G Corp. | 709,286 | ||||||
1,842 | LG H&H Co. Ltd. | 807,871 | ||||||
703 | Samsung Electronics Co. Ltd. - GDR | 648,166 | ||||||
|
| |||||||
2,165,323 | ||||||||
|
| |||||||
Sweden: 2.4% | ||||||||
85,855 | Svenska Handelsbanken AB - Class A | 699,517 | ||||||
|
| |||||||
United Kingdom: 10.9% | ||||||||
708,527 | BT Group Plc | 954,972 | ||||||
191,899 | easyJet Plc* | 628,574 | ||||||
2,313,079 | Lloyds Banking Group Plc | 1,053,451 | ||||||
268,677 | Tesco Plc | 613,266 | ||||||
|
| |||||||
3,250,263 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 16,590,196 | ||||||
|
| |||||||
PREFERRED STOCK : 1.6% | ||||||||
Germany: 1.6% | ||||||||
Porsche Automobil Holding SE - (Preference Shares) | ||||||||
8,319 | 472,965 |
Shares | Value | |||||
TOTAL PREFERRED STOCK | 472,965 | |||||
|
| |||||
TOTAL INVESTMENTS (Cost: $23,623,375): 57.3% | 17,063,161 | |||||
|
| |||||
Other Assets in Excess of Liabilities: 42.7% | 12,740,398 | |||||
|
| |||||
NET ASSETS: 100.0% | $ | 29,803,559 | ||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
|
| |||||
Cost of investments | $ | 23,623,375 | ||||
Gross unrealized appreciation | 255,681 | |||||
Gross unrealized depreciation | (6,815,895 | ) | ||||
|
| |||||
Net unrealized depreciation | $ | (6,560,214 | ) | |||
|
| |||||
* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
|
iMGP SBH Focused Small Value Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 97.1% | ||||||||
Consumer Discretionary: 11.0% | ||||||||
69,550 | American Eagle Outfitters, Inc. | $ | 676,721 | |||||
39,054 | Gildan Activewear, Inc. | 1,104,057 | ||||||
24,234 | Harley-Davidson, Inc. | 845,282 | ||||||
118,634 | Modine Manufacturing Co.* | 1,535,124 | ||||||
18,176 | Ollie’s Bargain Outlet Holdings, Inc.* | 937,882 | ||||||
|
| |||||||
5,099,066 | ||||||||
|
| |||||||
Consumer Staples: 4.3% | ||||||||
212,439 | Coty, Inc. - Class A* | 1,342,615 | ||||||
37,348 | Hain Celestial Group, Inc. (The)* | 630,434 | ||||||
|
| |||||||
1,973,049 | ||||||||
|
| |||||||
Energy: 4.8% | ||||||||
17,125 | Helmerich & Payne, Inc. | 633,111 | ||||||
20,707 | PDC Energy, Inc. | 1,196,658 | ||||||
15,696 | Range Resources Corp. | 396,481 | ||||||
|
| |||||||
2,226,250 | ||||||||
|
| |||||||
Financials: 19.4% | ||||||||
28,235 | Glacier Bancorp, Inc. | 1,387,185 | ||||||
11,896 | Hancock Whitney Corp. | 544,956 | ||||||
38,822 | National Bank Holdings Corp. - Class A | 1,436,026 | ||||||
27,989 | Pacific Premier Bancorp, Inc. | 866,539 | ||||||
47,570 | Seacoast Banking Corp. of Florida | 1,438,041 | ||||||
8,138 | SouthState Corp. | 643,879 | ||||||
64,688 | Umpqua Holdings Corp. | 1,105,518 | ||||||
46,542 | United Community Banks, Inc. | 1,540,540 | ||||||
|
| |||||||
8,962,684 | ||||||||
|
| |||||||
Health Care: 5.6% | ||||||||
8,456 | ICU Medical, Inc.* | 1,273,473 | ||||||
41,123 | NeoGenomics, Inc.* | 354,069 | ||||||
49,851 | Orthofix Medical, Inc.* | 952,653 | ||||||
|
| |||||||
2,580,195 | ||||||||
|
| |||||||
Industrials: 32.5% | ||||||||
36,075 | Apogee Enterprises, Inc. | 1,378,787 | ||||||
16,455 | Astec Industries, Inc. | 513,232 | ||||||
31,482 | AZZ, Inc. | 1,149,408 | ||||||
54,819 | CIRCOR International, Inc.* | 903,965 | ||||||
13,466 | EnerSys | 783,317 | ||||||
35,767 | KBR, Inc. | 1,545,850 | ||||||
18,310 | Mercury Systems, Inc.* | 743,386 | ||||||
45,016 | Quanex Building Products Corp. | 817,491 | ||||||
11,604 | Regal Rexnord Corp. | 1,628,737 | ||||||
94,958 | REV Group, Inc. | 1,047,387 | ||||||
57,295 | SP Plus Corp.* | 1,794,479 | ||||||
27,168 | SPX Corp.* | 1,500,217 | ||||||
55,539 | Sterling Infrastructure, Inc.* | 1,192,422 | ||||||
|
| |||||||
14,998,678 | ||||||||
|
|
Shares | Value | |||||||
Information Technology: 7.7% | ||||||||
36,256 | Belden, Inc. | $ | 2,176,085 | |||||
32,173 | Progress Software Corp. | 1,368,961 | ||||||
|
| |||||||
3,545,046 | ||||||||
|
| |||||||
Materials: 6.9% | ||||||||
43,023 | Compass Minerals International, Inc. | 1,657,676 | ||||||
71,969 | Element Solutions, Inc. | 1,170,936 | ||||||
113,486 | Glatfelter Corp. | 352,941 | ||||||
|
| |||||||
3,181,553 | ||||||||
|
| |||||||
Real Estate: 4.9% | ||||||||
58,048 | Equity Commonwealth - REIT | 1,414,049 | ||||||
15,994 | Terreno Realty Corp. - REIT | 847,522 | ||||||
|
| |||||||
2,261,571 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 44,828,092 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $47,647,541): 97.1% | 44,828,092 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 2.9% | 1,332,958 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 46,161,050 | ||||||
|
|
Percentages are stated as a percent of net assets.
REIT | Real Estate Investment Trust |
* | Non-Income Producing Security. |
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
Cost of investments | $ | 47,647,541 | ||||
|
| |||||
Gross unrealized appreciation | 4,501,581 | |||||
Gross unrealized depreciation | (7,321,030 | ) | ||||
|
| |||||
Net unrealized depreciation | $ | (2,819,449 | ) | |||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
|
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 27.0% | ||||||||
Communication Services: 3.9% | ||||||||
128,470 | Activision Blizzard, Inc. | $ | 9,550,460 | |||||
48,537 | Alphabet, Inc. - Class A* | 4,642,564 | ||||||
34,940 | Alphabet, Inc. - Class C* | 3,359,481 | ||||||
64,481 | Altice USA, Inc. - Class A* | 375,924 | ||||||
133,860 | Bollore SE | 618,276 | ||||||
7,555 | Charter Communications, Inc. - Class A* | 2,291,809 | ||||||
48,890 | Cineplex, Inc.* | 323,492 | ||||||
137,148 | Comcast Corp. - Class A | 4,022,551 | ||||||
114,390 | Escrow Altegrity, Inc.(a)* | 434,682 | ||||||
24,160 | iHeartMedia, Inc. - Class A* | 177,093 | ||||||
7,971 | Intelsat Emergence S.A.* | 223,188 | ||||||
19,424 | Meta Platforms, Inc. - Class A* | 2,635,448 | ||||||
4,532 | Netflix, Inc.* | 1,067,014 | ||||||
37,863 | Nexon Co. Ltd. | 667,724 | ||||||
20,850 | Nintendo Co. Ltd. | 843,452 | ||||||
31,146 | Shaw Communications, Inc. - Class B | 760,703 | ||||||
7,516 | T-Mobile US, Inc.* | 1,008,422 | ||||||
361,224 | TEGNA, Inc.(b) | 7,470,112 | ||||||
135,139 | Twitter, Inc.* | 5,924,494 | ||||||
|
| |||||||
46,396,889 | ||||||||
|
| |||||||
Consumer Discretionary: 1.8% | ||||||||
75,644 | Alibaba Group Holding Ltd.* | 751,155 | ||||||
27,979 | Amazon.com, Inc.* | 3,161,627 | ||||||
23,528 | CarMax, Inc.* | 1,553,319 | ||||||
12,930 | Cie Financiere Richemont S.A. - Class A | 1,238,170 | ||||||
10,600 | Delivery Hero SE*(c) | 393,377 | ||||||
61,170 | Entain Plc | 739,406 | ||||||
7,120 | Flutter Entertainment Plc* | 787,578 | ||||||
193 | Home Depot, Inc. (The) | 53,256 | ||||||
69,259 | iRobot Corp.* | 3,901,360 | ||||||
34,651 | Just Eat Takeaway.com N.V.*(c) | 548,267 | ||||||
9,660 | Marriott International, Inc. - Class A | 1,353,752 | ||||||
43,380 | Prosus N.V.* | 2,290,063 | ||||||
914 | Starbucks Corp. | 77,014 | ||||||
202,507 | Tenneco, Inc. - Class A* | 3,521,597 | ||||||
46,124 | Terminix Global Holdings, Inc.* | 1,766,088 | ||||||
|
| |||||||
22,136,029 | ||||||||
|
| |||||||
Consumer Staples: 0.4% | ||||||||
1,207 | Coca-Cola Co. (The) | 67,616 | ||||||
55 | Costco Wholesale Corp. | 25,975 | ||||||
15,820 | Herbalife Nutrition Ltd.* | 314,660 | ||||||
77,630 | JDE Peet’s N.V. | 2,273,458 | ||||||
805 | Procter & Gamble Co. (The) | 101,631 | ||||||
232,264 | Swedish Match AB | 2,295,470 | ||||||
658 | Walmart, Inc. | 85,342 | ||||||
|
| |||||||
5,164,152 | ||||||||
|
| |||||||
Energy: 0.3% | ||||||||
18,829 | Battalion Oil Corp.* | 224,065 | ||||||
17,596 | California Resources Corp. | 676,214 | ||||||
208 | Devon Energy Corp. | 12,507 | ||||||
5,110 | Gulfport Energy Corp.* | 451,162 | ||||||
101,080 | Kinder Morgan, Inc. | 1,681,971 |
Shares | Value | |||||||
Energy (continued) | ||||||||
378 | Pioneer Natural Resources Co. | $ | 81,849 | |||||
37,516 | Shell Midstream Partners L.P. | 593,128 | ||||||
1,910 | Williams Cos., Inc. (The) | 54,683 | ||||||
|
| |||||||
3,775,579 | ||||||||
|
| |||||||
Financials: 3.5% | ||||||||
12,076 | Alleghany Corp.* | 10,136,232 | ||||||
560 | Alpha Partners Technology Merger Corp.* | 5,510 | ||||||
81,620 | American International Group, Inc. | 3,875,318 | ||||||
12,743 | Angel Pond Holdings Corp. - Class A* | 125,264 | ||||||
11,642 | Aon Plc - Class A | 3,118,542 | ||||||
2,792 | Apollo Strategic Growth Capital II* | 27,683 | ||||||
5,085 | Atlantic Coastal Acquisition Corp. II* | 51,053 | ||||||
68,106 | Avanti Acquisition Corp.* | 681,060 | ||||||
132 | BlackRock, Inc. | 72,637 | ||||||
14,913 | BurTech Acquisition Corp.* | 149,652 | ||||||
3,884 | C5 Acquisition Corp.* | 39,694 | ||||||
68,610 | Citigroup, Inc. | 2,858,979 | ||||||
67,864 | Contra Zogenix, Inc. | 48,713 | ||||||
4,507 | COVA Acquisition Corp. - Class A* | 44,800 | ||||||
48,517 | Cowen, Inc. - Class A(b) | 1,874,697 | ||||||
60,800 | Fast Sponsor Capital(a)* | 121,600 | ||||||
271,119 | First Horizon Corp. | 6,208,625 | ||||||
37,890 | Groupe Bruxelles Lambert N.V. | 2,664,024 | ||||||
7 | GSR II Meteora Acquisition Corp. - Class A* | 69 | ||||||
11,317 | Hartford Financial Services Group, Inc. (The) | 700,975 | ||||||
45,630 | Jefferies Financial Group, Inc. | 1,346,085 | ||||||
4,740 | LPL Financial Holdings, Inc. | 1,035,595 | ||||||
14,054 | Macondray Capital Acquisition Corp. I* | 141,664 | ||||||
7,468 | Metals Acquisition Corp. - Class A* | 73,224 | ||||||
320,179 | Moneylion, Inc.* | 285,792 | ||||||
771 | Morgan Stanley | 60,917 | ||||||
776 | PowerUp Acquisition Corp.* | 7,876 | ||||||
690 | Signature Bank | 104,190 | ||||||
1,763 | Silver Spike Acquisition Corp. II - Class A* | 17,489 | ||||||
76,090 | Wells Fargo & Co. | 3,060,340 | ||||||
14,016 | Willis Towers Watson Plc | 2,816,375 | ||||||
|
| |||||||
41,754,674 | ||||||||
|
| |||||||
Health Care: 4.5% | ||||||||
316,856 | 1Life Healthcare, Inc.* | 5,434,080 | ||||||
528 | Abbott Laboratories | 51,089 | ||||||
831 | AbbVie, Inc. | 111,529 | ||||||
207,165 | Aerie Pharmaceuticals, Inc.* | 3,134,406 | ||||||
15,657 | Biohaven Pharmaceutical Holding Co. Ltd.* | 2,366,869 | ||||||
737 | Bristol-Myers Squibb Co. | 52,393 | ||||||
64,291 | Cano Health, Inc.* | 557,403 | ||||||
376,695 | Change Healthcare, Inc.* | 10,355,346 | ||||||
82,411 | ChemoCentryx, Inc.* | 4,257,352 | ||||||
122,036 | Covetrus, Inc.* | 2,548,112 | ||||||
144 | Elevance Health, Inc. | 65,411 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Health Care (continued) | ||||||||
137,483 | Forma Therapeutics Holdings, Inc.* | $ | 2,742,786 | |||||
72,994 | Global Blood Therapeutics, Inc.* | 4,970,891 | ||||||
2,210 | ICON Plc* | 406,154 | ||||||
85,639 | Inovalon Holdings, Inc. - Class A* | 3,511,199 | ||||||
680 | Johnson & Johnson | 111,085 | ||||||
36,869 | LHC Group, Inc.* | 6,033,981 | ||||||
312,323 | Mediclinic International Plc | 1,713,822 | ||||||
700 | Merck & Co., Inc. | 60,284 | ||||||
121,736 | Signify Health, Inc. - Class A* | 3,548,604 | ||||||
65,964 | Swedish Orphan Biovitrum AB* | 1,277,770 | ||||||
66 | Thermo Fisher Scientific, Inc. | 33,475 | ||||||
137 | UnitedHealth Group, Inc. | 69,190 | ||||||
20,451 | UpHealth, Inc.* | 10,880 | ||||||
|
| |||||||
53,424,111 | ||||||||
|
| |||||||
Industrials: 3.0% | ||||||||
92,716 | Aerojet Rocketdyne Holdings, Inc.* | 3,707,713 | ||||||
90,404 | Atlantia SpA | 1,999,372 | ||||||
49,871 | Atlas Air Worldwide Holdings, Inc.*(b) | 4,766,171 | ||||||
215,597 | Biffa Plc(c) | 988,678 | ||||||
264 | Cummins, Inc. | 53,727 | ||||||
3,695 | CWT Travel Group, Inc. | 36,950 | ||||||
181 | Deere & Co. | 60,434 | ||||||
455 | Emerson Electric Co. | 33,315 | ||||||
10,798 | Ferguson Plc | 1,111,438 | ||||||
82,967 | HomeServe Plc | 1,093,382 | ||||||
1 | Hornbeck Offshore Services, Inc. | 10 | ||||||
54,750 | Howmet Aerospace, Inc. | 1,693,417 | ||||||
132,846 | Intertrust N.V.*(c) | 2,539,093 | ||||||
28,350 | LG Corp. | 1,466,345 | ||||||
264 | Lockheed Martin Corp. | 101,981 | ||||||
565,707 | McDermott International Ltd.* | 256,076 | ||||||
590,897 | McDermott International Ltd.* | 265,904 | ||||||
218,558 | Nielsen Holdings Plc | 6,058,428 | ||||||
32,418 | Rush Enterprises, Inc. - Class A | 1,421,853 | ||||||
18,030 | Safran S.A. | 1,657,965 | ||||||
13,490 | Samsung C&T Corp. | 975,896 | ||||||
55,730 | Siemens Gamesa Renewable Energy S.A.* | 977,133 | ||||||
17,500 | Sound Holding FP Luxemburg(a)* | 1,664,280 | ||||||
33,560 | Uber Technologies, Inc.* | 889,340 | ||||||
355 | Union Pacific Corp. | 69,161 | ||||||
478 | United Parcel Service, Inc. - Class B | 77,216 | ||||||
33,060 | Univar Solutions, Inc.* | 751,784 | ||||||
20,470 | Westinghouse Air Brake Technologies Corp. | 1,665,234 | ||||||
|
| |||||||
36,382,296 | ||||||||
|
| |||||||
Information Technology: 6.0% | ||||||||
197 | Accenture Plc - Class A | 50,688 | ||||||
30,830 | Analog Devices, Inc. | 4,295,852 | ||||||
1,882 | Apple, Inc. | 260,092 |
Shares | Value | |||||||
Information Technology (continued) | ||||||||
64,956 | Avalara, Inc.* | $ | 5,962,961 | |||||
38,824 | AVEVA Group Plc | 1,357,754 | ||||||
12,184 | Black Knight, Inc.*(b) | 788,670 | ||||||
7,991 | Broadcom, Inc. | 3,548,084 | ||||||
295,360 | BTRS Holdings, Inc. - Class A* | 2,735,034 | ||||||
120,419 | ChannelAdvisor Corp.* | 2,728,695 | ||||||
873 | Cisco Systems, Inc. | 34,920 | ||||||
16,426 | Citrix Systems, Inc. | 1,708,304 | ||||||
104,165 | Evo Payments, Inc. - Class A*(b) | 3,468,694 | ||||||
78,290 | Magnachip Semiconductor Corp.* | 801,690 | ||||||
182,863 | Micro Focus International Plc | 1,059,200 | ||||||
945 | Microchip Technology, Inc. | 57,673 | ||||||
330 | Microsoft Corp. | 76,857 | ||||||
286,704 | Momentive Global, Inc.* | 1,665,750 | ||||||
8,990 | NXP Semiconductors N.V. | 1,326,115 | ||||||
172,357 | Ping Identity Holding Corp.* | 4,838,061 | ||||||
1,611 | Qualcomm, Inc. | 182,011 | ||||||
22,208 | Rogers Corp.* | 5,371,671 | ||||||
166,756 | Sierra Wireless, Inc.* | 5,076,053 | ||||||
36,482 | Silicon Motion Technology Corp. - ADR | 2,378,262 | ||||||
144,172 | Switch, Inc. - Class A | 4,857,155 | ||||||
36,030 | TE Connectivity Ltd. | 3,976,271 | ||||||
43,877 | VMware, Inc. - Class A(b) | 4,671,145 | ||||||
112,699 | Zendesk, Inc.* | 8,576,394 | ||||||
|
| |||||||
71,854,056 | ||||||||
|
| |||||||
Materials: 1.2% | ||||||||
172,901 | Cemex SAB de C.V. - ADR* | 593,050 | ||||||
595,850 | Glencore Plc* | 3,171,143 | ||||||
19,460 | HeidelbergCement AG | 777,572 | ||||||
110,450 | Holcim AG* | 4,597,269 | ||||||
29,971 | International Flavors & Fragrances, Inc. | 2,722,266 | ||||||
1,069 | Newmont Corp. | 44,930 | ||||||
279 | Packaging Corp. of America | 31,329 | ||||||
124,401 | Resolute Forest Products, Inc.*(b) | 2,488,020 | ||||||
|
| |||||||
14,425,579 | ||||||||
|
| |||||||
Real Estate: 0.8% | ||||||||
195 | American Tower Corp. - REIT | 41,867 | ||||||
75,025 | Duke Realty Corp. - REIT | 3,616,205 | ||||||
144,464 | STORE Capital Corp. - REIT | 4,526,057 | ||||||
119,107 | Swire Pacific Ltd. - REIT | 891,423 | ||||||
8,520 | Vornado Realty Trust - REIT | 197,323 | ||||||
|
| |||||||
9,272,875 | ||||||||
|
| |||||||
Special Purpose Acquisition Companies: 0.3% | ||||||||
25 | Accelerate Acquisition Corp.* | 246 | ||||||
2,368 | African Gold Acquisition Corp.* | 23,502 | ||||||
13,096 | Agile Growth Corp.* | 129,912 | ||||||
6,668 | Ares Acquisition Corp.* | 66,313 | ||||||
16,681 | Atlantic Coastal Acquisition Corp. - Class A* | 163,807 | ||||||
11,288 | Broadscale Acquisition Corp. - Class A* | 111,187 | ||||||
8,316 | Churchill Capital Corp. VII* | 81,913 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Shares | Value | |||||||
COMMON STOCKS (CONTINUED) | ||||||||
Special Purpose Acquisition Companies (continued) | ||||||||
13,902 | Colonnade Acquisition Corp. II - Class A* | $ | 137,908 | |||||
7,012 | DHC Acquisition Corp. - Class A* | 69,384 | ||||||
972 | Digital Transformation Opportunities Corp.* | 9,589 | ||||||
13,902 | Disruptive Acquisition Corp. I* | 137,769 | ||||||
2 | ESM Acquisition Corp.* | 20 | ||||||
13,902 | Flame Acquisition Corp.* | 137,352 | ||||||
16,730 | Forest Road Acquisition Corp. II* | 164,457 | ||||||
6,664 | Fortress Value Acquisition Corp. IV* | 65,507 | ||||||
1,678 | FTAC Hera Acquisition Corp.* | 16,671 | ||||||
2,338 | Fusion Acquisition Corp. II* | 23,041 | ||||||
13,945 | Glenfarne Merger Corp.* | 137,846 | ||||||
5,221 | Global Partner Acquisition Corp. II* | 51,949 | ||||||
13,902 | Golden Arrow Merger Corp.* | 136,935 | ||||||
65 | Gores Holdings VII, Inc.* | 640 | ||||||
3,177 | Gores Holdings VIII, Inc. - Class A* | 31,357 | ||||||
88 | Gores Technology Partners II, Inc.* | 910 | ||||||
8,746 | GX Acquisition Corp. II - Class A* | 85,842 | ||||||
16,773 | Hudson Executive Investment Corp. III* | 164,879 | ||||||
11,615 | InterPrivate IV InfraTech Partners, Inc.* | 114,466 | �� | |||||
13,902 | Kismet Acquisition Three Corp.* | 137,630 | ||||||
16,705 | Landcadia Holdings IV, Inc.* | 164,711 | ||||||
506 | Lazard Growth Acquisition Corp. I* | 5,004 | ||||||
1,510 | Lead Edge Growth Opportunities Ltd.* | 14,994 | ||||||
10,143 | Mason Industrial Technology, Inc.* | 99,300 | ||||||
8,259 | Mission Advancement Corp.* | 81,186 | ||||||
940 | Monument Circle Acquisition Corp.* | 9,311 | ||||||
7,430 | Northern Star Investment Corp. III* | 73,148 | ||||||
5,739 | Northern Star Investment Corp. IV* | 56,300 | ||||||
3,367 | Orion Acquisition Corp.* | 33,232 | ||||||
7,873 | Peridot Acquisition Corp. II* | 78,149 | ||||||
6,266 | Pershing Square Tontine Holdings Ltd.* | 0 | ||||||
13,031 | Pine Technology Acquisition Corp. - Class A* | 128,225 | ||||||
13,079 | Plum Acquisition Corp. I* | 129,744 | ||||||
3,118 | Ross Acquisition Corp. II* | 30,962 | ||||||
133 | RXR Acquisition Corp.* | 1,311 | ||||||
9,637 | Slam Corp.* | 95,503 | ||||||
9,063 | Stratim Cloud Acquisition Corp.* | 89,406 | ||||||
1,601 | TCW Special Purpose Acquisition Corp.* | 15,738 | ||||||
3,992 | Tio Tech A - Class A* | 39,541 |
Shares | Value | |||||||
Special Purpose Acquisition Companies (continued) | ||||||||
16,730 | TLG Acquisition One Corp.* | $ | 164,958 | |||||
13,335 | Twelve Seas Investment Co. II* | 131,216 | ||||||
|
| |||||||
3,642,971 | ||||||||
|
| |||||||
Utilities: 1.3% | ||||||||
547 | Duke Energy Corp. | 50,882 | ||||||
147,568 | Electricite de France S.A. | 1,716,246 | ||||||
43,050 | FirstEnergy Corp. | 1,592,850 | ||||||
938 | NextEra Energy, Inc. | 73,548 | ||||||
48,138 | PG&E Corp.* | 601,725 | ||||||
125,320 | PNM Resources, Inc.(b) | 5,730,884 | ||||||
158,769 | South Jersey Industries, Inc.(b) | 5,306,060 | ||||||
|
| |||||||
15,072,195 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | 323,301,406 | ||||||
|
| |||||||
RIGHTS/WARRANTS: 0.0% | ||||||||
4,247 | Angel Pond Holdings Corp. (Expiration date 12/31/27)* | 1,533 | ||||||
5,560 | Atlantic Coastal Acquisition Corp. (Expiration date 12/31/27)* | 195 | ||||||
3,595 | BigBear.ai Holdings, Inc. (Expiration date 12/31/28)* | 539 | ||||||
24 | Biote Corp. (Expiration date 03/05/28)* | 8 | ||||||
2,822 | Broadscale Acquisition Corp. (Expiration date 02/02/26)* | 200 | ||||||
64,680 | Cie Financiere Richemont S.A. (Expiration date 11/22/23)* | 28,906 | ||||||
2,780 | Colonnade Acquisition Corp. II (Expiration date 12/31/27)* | 410 | ||||||
2,253 | COVA Acquisition Corp. (Expiration date 12/31/27)* | 74 | ||||||
2,337 | DHC Acquisition Corp. (Expiration date 12/31/27)* | 409 | ||||||
397 | Gores Holdings VIII, Inc. (Expiration date 12/31/27)* | 383 | ||||||
7 | GSR II Meteora Acquisition Corp. (Expiration date 07/22/23)* | 1 | ||||||
2,915 | GX Acquisition Corp. II (Expiration date 12/31/28)* | 263 | ||||||
1,333 | Heliogen, Inc. (Expiration date 03/31/28)* | 293 | ||||||
389 | Hornbeck Offshore SRVC, Inc. (Expiration date 04/09/30)* | 0 | ||||||
11 | Hornbeck Offshore SRVC, Inc. (Expiration date 04/09/30)* | 106 | ||||||
834 | Intelsat Jackson Holdings S. A. (Expiration date 12/05/25)* | 4,587 | ||||||
834 | Intelsat Jackson Holdings S. A. (Expiration date 12/05/25)* | 5,004 | ||||||
2,489 | Metals Acquisition Corp. (Expiration date 07/12/26)* | 919 | ||||||
4,343 | Pine Technology Acquisition Corp. (Expiration date 03/31/28)* | 288 | ||||||
145 | Prenetics Global Ltd. (Expiration date 12/31/26)* | 59 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Shares |
Value | |||||||
RIGHTS/WARRANTS (CONTINUED) | ||||||||
440 | Silver Spike Acquisition Corp. II (Expiration date 02/26/26)* | $ | 13 | |||||
367 | Swvl Holdings Corp. (Expiration date 03/31/27)* | 11 | ||||||
2,045 | UpHealth, Inc. (Expiration date 07/01/24)* | 138 | ||||||
1,275 | Virgin Orbit Holdings, Inc. (Expiration date 12/29/26)* | 381 | ||||||
|
| |||||||
| TOTAL RIGHTS/WARRANTS | 44,720 | ||||||
|
| |||||||
PREFERRED STOCKS: 0.1% | ||||||||
Energy: 0.0% | ||||||||
El Paso Energy Capital Trust I |
| |||||||
528 | 4.750%, 03/31/2028* | 24,219 | ||||||
Gulfport Energy Operating Corp. |
| |||||||
18 | 10.000%, 01/31/2022(a)(d)(e) PIK rate 15.000% | 10,755 | ||||||
|
| |||||||
34,974 | ||||||||
|
| |||||||
Financials: 0.1% | ||||||||
2020 Cash Mandatory Exchangeable Trust |
| |||||||
1,054 | 5.250%, 06/01/2023*(c) | 1,188,280 | ||||||
|
| |||||||
Industrials: 0.0% | ||||||||
Clarivate Plc - Series A |
| |||||||
7,643 | 5.250%, 06/01/2024* | 325,897 | ||||||
Element Communication Aviation |
| |||||||
170 | 0.000%, (a) | 14,467 | ||||||
McDermott International, Inc. - (Preference Shares) | ||||||||
328 | 0.000%, (a) | 196,916 | ||||||
|
| |||||||
537,280 | ||||||||
|
| |||||||
Information Technology: 0.0% | ||||||||
Riverbed Holdings, Inc. |
| |||||||
4,852 | 0.000%, | 4,852 | ||||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 1,765,386 | ||||||
|
| |||||||
Principal Amount^ | ||||||||
ASSET-BACKED SECURITIES: 8.6% | ||||||||
510 Asset-Backed Trust | ||||||||
$358,916 | Series 2021-NPL1-A1 | 335,984 | ||||||
Aaset Trust | ||||||||
355,025 | Series 2021-1A-A | 283,980 | ||||||
Accelerated Assets LLC | ||||||||
111,734 | Series 2018-1-B | 106,795 | ||||||
Adams Outdoor Advertising L.P. | ||||||||
823,714 | Series 2018-1-A | 780,680 | ||||||
Affirm Asset Securitization Trust | ||||||||
205,000 | Series 2021-A-C | 198,543 |
Principal Amount^ | Value | |||||||
AGL CLO 3 Ltd. | ||||||||
$320,000 | Series 2020-3A-C 4.662%, 01/15/2033(c)(g) 3 mo. USD LIBOR + 2.150% | $ | 294,340 | |||||
470,000 | Series 2020-3A-D 5.812%, 01/15/2033(c)(g) 3 mo. USD LIBOR + 3.300% | 418,007 | ||||||
AIM Aviation Finance Ltd. | ||||||||
637,452 | Series 2015-1A-B1 7.072%, 02/15/2040(c)(f) | 178,442 | ||||||
Aimco CLO 14 Ltd. | ||||||||
1,010,000 | Series 2021-14A-D 5.610%, 04/20/2034(c)(g) 3 mo. USD LIBOR + 2.900% | 890,198 | ||||||
American Homes 4 Rent Trust | ||||||||
875,000 | Series 2014-SFR2-E 6.231%, 10/17/2036(c) | 871,080 | ||||||
600,000 | Series 2014-SFR3-E 6.418%, 12/17/2036(c) | 599,559 | ||||||
845,000 | Series 2015-SFR1-E 5.639%, 04/17/2052(c) | 832,855 | ||||||
AMSR Trust | ||||||||
1,800,000 | Series 2020-SFR5-G 4.112%, 11/17/2037(c) | 1,624,747 | ||||||
5,000,000 | Series 2021-SFR1-G 4.612%, 06/17/2038(c)(h) | 4,078,480 | ||||||
Apidos CLO XX | ||||||||
265,000 | Series 2015-20A-BRR 4.690%, 07/16/2031(c)(g) 3 mo. USD LIBOR + 1.950% | 247,218 | ||||||
Apidos CLO XXIII | ||||||||
855,000 | Series 2015-23A-CR 4.512%, 04/15/2033(c)(g) 3 mo. USD LIBOR + 2.000% | 787,332 | ||||||
Apidos CLO XXIV | ||||||||
1,000,000 | Series 2016-24A-DR 8.510%, 10/20/2030(c)(g) 3 mo. USD LIBOR + 5.800% | 828,452 | ||||||
ARES LX CLO Ltd. | ||||||||
500,000 | Series 2021-60A-D 5.690%, 07/18/2034(c)(g) 3 mo. USD LIBOR + 2.950% | 442,074 | ||||||
Atrium CLO XIII | ||||||||
500,000 | Series 13A-E 8.833%, 11/21/2030(c)(g) 3 mo. USD LIBOR + 6.050% | 430,457 | ||||||
Atrium CLO XIV LLC | ||||||||
750,000 | Series 14A-E 8.390%, 08/23/2030(c)(g) 3 mo. USD LIBOR + 5.650% | 636,138 | ||||||
Avid Automobile Receivables Trust | ||||||||
180,000 | Series 2019-1-C 3.140%, 07/15/2026(c) | 178,767 | ||||||
Avis Budget Rental Car Funding AESOP LLC | ||||||||
215,000 | Series 2020-2A-B 2.960%, 02/20/2027(c) | 193,385 | ||||||
355,000 | Series 2020-2A-C 4.250%, 02/20/2027(c) | 321,297 | ||||||
Bain Capital Credit CLO Ltd. | ||||||||
500,000 | Series 2021-2A-D 5.890%, 07/16/2034(c)(g) 3 mo. USD LIBOR + 3.150% | 435,640 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Barings CLO Ltd. | ||||||||
$1,500,000 | Series 2018-3A-E 8.460%, 07/20/2029(c)(g) 3 mo. USD LIBOR + 5.750% | $ | 1,262,640 | |||||
500,000 | Series 2018-4A-E 8.332%, 10/15/2030(c)(g) 3 mo. USD LIBOR + 5.820% | 421,148 | ||||||
BHG Securitization Trust | ||||||||
545,000 | Series 2022-A-B 2.700%, 02/20/2035(c) | 470,535 | ||||||
Blackbird Capital Aircraft Lease Securitization Ltd. | ||||||||
233,489 | Series 2016-1A-A 4.213%, 12/16/2041(c)(f) | 198,769 | ||||||
Brex Commercial Charge Card Master Trust | ||||||||
165,000 | Series 2021-1-A 2.090%, 07/15/2024(c) | 161,908 | ||||||
Bristol Park CLO Ltd. | ||||||||
260,000 | Series 2016-1A-CR 4.462%, 04/15/2029(c)(g) 3 mo. USD LIBOR + 1.950% | 243,929 | ||||||
Buttermilk Park CLO Ltd. | ||||||||
750,000 | Series 2018-1A-E 8.262%, 10/15/2031(c)(g) 3 mo. USD LIBOR + 5.750% | 623,239 | ||||||
California Republic Auto Receivables Trust | ||||||||
355,657 | Series 2018-1-D 4.330%, 04/15/2025 | 355,693 | ||||||
Canyon Capital CLO Ltd. | ||||||||
1,000,000 | Series 2016-1A-ER 8.262%, 07/15/2031(c)(g) 3 mo. USD LIBOR + 5.750% | 771,519 | ||||||
500,000 | Series 2018-1A-E 8.262%, 07/15/2031(c)(g) 3 mo. USD LIBOR + 5.750% | 395,806 | ||||||
1,000,000 | Series 2021-4A-E 8.812%, 10/15/2034(c)(g) 3 mo. USD LIBOR + 6.300% | 834,084 | ||||||
Carlyle Global Market Strategies CLO Ltd. | ||||||||
500,000 | Series 2014-2RA-D 8.255%, 05/15/2031(c)(g) 3 mo. USD LIBOR + 5.350% | 383,490 | ||||||
Carlyle US CLO Ltd. | ||||||||
500,000 | Series 2021-1A-D 8.512%, 04/15/2034(c)(g) 3 mo. USD LIBOR + 6.000% | 409,532 | ||||||
Carvana Auto Receivables Trust | ||||||||
3,000 | Series 2021-N1-R 0.010%, 01/10/2028(c) | 828,356 | ||||||
150,000 | Series 2021-N4-D 2.300%, 09/11/2028 | 137,919 | ||||||
Castlelake Aircraft Securitization Trust | ||||||||
4,230,406 | Series 2018-1-C 6.625%, 06/15/2043(c) | 2,113,468 | ||||||
Castlelake Aircraft Structured Trust | ||||||||
3,000,000 | Series 2019-1A-E 0.010%, 04/15/2039(c) | 465,000 | ||||||
927,840 | Series 2021-1A-A 3.474%, 01/15/2046(c) | 814,428 |
Principal Amount^ | Value | |||||||
Catskill Park CLO Ltd. | ||||||||
$1,000,000 | Series 2017-1A-D 8.710%, 04/20/2029(c)(g) 3 mo. USD LIBOR + 6.000% | $ | 839,576 | |||||
Chenango Park CLO Ltd. | ||||||||
500,000 | Series 2018-1A-D 8.312%, 04/15/2030(c)(g) 3 mo. USD LIBOR + 5.800% | 410,021 | ||||||
CIFC Funding CLO Ltd. | ||||||||
205,000 | Series 2013-2A-A3LR 4.690%, 10/18/2030(c)(g) 3 mo. USD LIBOR + 1.950% | 192,196 | ||||||
500,000 | Series 2017-4A-D 8.883%, 10/24/2030(c)(g) 3 mo. USD LIBOR + 6.100% | 428,119 | ||||||
500,000 | Series 2019-3A-DR 9.540%, 10/16/2034(c)(g) 3 mo. USD LIBOR + 6.800% | 448,858 | ||||||
1,000,000 | Series 2021-7A-D 5.783%, 01/23/2035(c)(g) 3 mo. USD LIBOR + 3.000% | 872,605 | ||||||
Cologix Data Centers US Issuer LLC | ||||||||
1,500,000 | Series 2021-1A-C 5.990%, 12/26/2051(c) | 1,316,481 | ||||||
Cook Park CLO Ltd. | ||||||||
1,000,000 | Series 2018-1A-E 8.140%, 04/17/2030(c)(g) 3 mo. USD LIBOR + 5.400% | 812,084 | ||||||
Corevest American Finance Trust | ||||||||
305,000 | Series 2020-4-C 2.250%, 12/15/2052(c) | 243,285 | ||||||
Credit Acceptance Auto Loan Trust | ||||||||
275,000 | Series 2020-3A-C 2.280%, 02/15/2030(c) | 257,149 | ||||||
CSAB Mortgage-Backed Trust | ||||||||
1,857,684 | Series 2006-2-A6B 6.200%, 09/25/2036(f) | 176,187 | ||||||
DB Master Finance LLC | ||||||||
129,025 | Series 2021-1A-A2II 2.493%, 11/20/2051(c) | 106,397 | ||||||
Dell Equipment Finance Trust | ||||||||
200,000 | Series 2020-2-D 1.920%, 03/23/2026(c) | 195,756 | ||||||
Diamond Resorts Owner Trust | ||||||||
132,849 | Series 2018-1-C 4.530%, 01/21/2031(c) | 130,478 | ||||||
99,286 | Series 2019-1A-B 3.530%, 02/20/2032(c) | 96,500 | ||||||
Dryden 40 Senior Loan Fund CLO | ||||||||
1,000,000 | Series 2015-40A-ER 8.655%, 08/15/2031(c)(g) 3 mo. USD LIBOR + 5.750% | 773,667 | ||||||
Dryden 45 Senior Loan Fund CLO | ||||||||
275,000 | Series 2016-45A-ER 8.362%, 10/15/2030(c)(g) 3 mo. USD LIBOR + 5.850% | 227,310 | ||||||
Dryden 55 CLO Ltd. | ||||||||
500,000 | Series 2018-55A-F 9.712%, 04/15/2031(c)(g) 3 mo. USD LIBOR + 7.200% | 364,954 | ||||||
DT Auto Owner Trust | ||||||||
270,000 | Series 2020-3A-D 1.840%, 06/15/2026(c) | 254,865 | ||||||
545,000 | Series 2022-2A D 5.460%, 03/15/2028(c) | 515,493 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Education Funding Trust | ||||||||
$314,424 | Series 2020-A-A 2.790%, 07/25/2041(c) | $ | 291,774 | |||||
Elevation CLO Ltd. | ||||||||
500,000 | Series 2021-14A-C 5.010%, 10/20/2034(c)(g) 3 mo. USD LIBOR + 2.300% | 438,860 | ||||||
Exeter Automobile Receivables Trust | ||||||||
305,000 | Series 2020-2A-D 4.730%, 04/15/2026(c) | 303,219 | ||||||
Fillmore Park CLO Ltd. | ||||||||
500,000 | Series 2018-1A-E 7.912%, 07/15/2030(c)(g) 3 mo. USD LIBOR + 5.400% | 419,381 | ||||||
First Investors Auto Owner Trust | ||||||||
160,000 | Series 2019-2A-D 2.800%, 12/15/2025(c) | 156,983 | ||||||
365,000 | Series 2019-2A-E 3.880%, 01/15/2026(c) | 357,886 | ||||||
FirstKey Homes Trust | ||||||||
775,000 | Series 2020-SFR1-F1 3.638%, 08/17/2037(c) | 693,824 | ||||||
1,010,000 | Series 2020-SFR2-F1 3.017%, 10/19/2037(c) | 888,113 | ||||||
Flagship Credit Auto Trust | ||||||||
755,000 | Series 2022-1-D 3.640%, 03/15/2028(c) | 683,230 | ||||||
FMC GMSR Issuer Trust | ||||||||
1,900,000 | Series 2021-GT1-B 4.360%, 07/25/2026(c)(h) | 1,471,783 | ||||||
2,500,000 | Series 2021-GT2-B 4.440%, 10/25/2026(c)(h) | 1,954,634 | ||||||
Galaxy XIX CLO Ltd. | ||||||||
1,000,000 | Series 2015-19A-D1R 9.313%, 07/24/2030(c)(g) 3 mo. USD LIBOR + 6.530% | 799,380 | ||||||
Gilbert Park CLO Ltd. | ||||||||
500,000 | Series 2017-1A-E 8.912%, 10/15/2030(c)(g) 3 mo. USD LIBOR + 6.400% | 423,743 | ||||||
GLS Auto Receivables Issuer Trust | ||||||||
1,000,000 | Series 2021-4A-E 4.430%, 10/16/2028(c) | 862,410 | ||||||
Goldentree Loan Management US CLO 3 Ltd. | ||||||||
500,000 | Series 2018-3A-D 5.560%, 04/20/2030(c)(g) 3 mo. USD LIBOR + 2.850% | 448,498 | ||||||
Greystone Commercial Real Estate Notes Ltd. | ||||||||
355,000 | Series 2021-HC2-A 4.760%, 12/15/2039(c)(g) TSFR1M + 1.914% | 350,768 | ||||||
GSAA Home Equity Trust | ||||||||
547,374 | Series 2006-10-AF5 6.948%, 06/25/2036(f) | 155,995 | ||||||
Hayfin US CLO XII Ltd. | ||||||||
300,000 | Series 2020-12A-D 6.870%, 01/20/2034(c)(g) 3 mo. USD LIBOR + 4.160% | 278,178 |
Principal Amount^ | Value | |||||||
Hertz Vehicle Financing III LLC | ||||||||
$357,000 | Series 2022-1A D 4.850%, 06/25/2026(c) | $ | 311,970 | |||||
366,000 | Series 2022-3A D 6.310%, 03/25/2025(c) | 350,741 | ||||||
Hertz Vehicle Financing LLC | ||||||||
270,000 | Series 2022-4A-D 6.560%, 09/25/2026(c) | 244,359 | ||||||
Highbridge Loan Management CLO Ltd. | ||||||||
500,000 | Series 2013-2A-DR 9.310%, 10/20/2029(c)(g) 3 mo. USD LIBOR + 6.600% | 409,841 | ||||||
Hilton Grand Vacations Trust | ||||||||
64,548 | Series 2018-AA-C 4.000%, 02/25/2032(c) | 61,852 | ||||||
Horizon Aircraft Finance I Ltd. | ||||||||
3,049,504 | Series 2018-1-C 6.657%, 12/15/2038(c) | 1,341,782 | ||||||
HPEFS Equipment Trust | ||||||||
265,000 | Series 2020-1A-D 2.260%, 02/20/2030(c) | 261,026 | ||||||
Kestrel Aircraft Funding Ltd. | ||||||||
474,982 | Series 2018-1A-A 4.250%, 12/15/2038(c) | 401,010 | ||||||
LCM CLO 26 Ltd. | ||||||||
500,000 | Series 26A-E 8.010%, 01/20/2031(c)(g) 3 mo. USD LIBOR + 5.300% | 379,319 | ||||||
LCM CLO XVII L.P. | ||||||||
1,000,000 | Series 17A-ER 8.512%, 10/15/2031(c)(g) 3 mo. USD LIBOR + 6.000% | 763,027 | ||||||
LCM CLO XX L.P. | ||||||||
500,000 | Series 20A-ER 8.160%, 10/20/2027(c)(g) 3 mo. USD LIBOR + 5.450% | 425,608 | ||||||
LCM Loan Income Fund I Income Note Issuer CLO Ltd. | ||||||||
500,000 | Series 27A-E 8.340%, 07/16/2031(c)(g) 3 mo. USD LIBOR + 5.600% | 380,155 | ||||||
Lehman XS Trust | ||||||||
1,945,826 | Series 2005-6-3A3A 6.260%, 11/25/2035(f) | 1,009,809 | ||||||
Madison Park Funding CLO XIV Ltd. | ||||||||
1,000,000 | Series 2014-14A-ER 8.559%, 10/22/2030(c)(g) 3 mo. USD LIBOR + 5.800% | 835,943 | ||||||
Madison Park Funding CLO XLV Ltd. | ||||||||
500,000 | Series 2020-45A ER 8.862%, 07/15/2034(c)(g) 3 mo. USD LIBOR + 6.350% | 438,097 | ||||||
Madison Park Funding CLO XXVI Ltd. | ||||||||
445,000 | Series 2007-4A-DR 5.806%, 07/29/2030(c)(g) 3 mo. USD LIBOR + 3.000% | 404,649 | ||||||
Madison Park Funding CLO XXXVIII Ltd. | ||||||||
500,000 | Series 2021-38A-E 8.740%, 07/17/2034(c)(g) 3 mo. USD LIBOR + 6.000% | 427,631 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
MAPS Ltd. | ||||||||
$462,202 | Series 2018-1A-A 4.212%, 05/15/2043(c) | $ | 412,435 | |||||
171,440 | Series 2019-1A-A 4.458%, 03/15/2044(c) | 150,414 | ||||||
Marlette Funding Trust | ||||||||
1,065,000 | Series 2022-1A-D 3.390%, 04/15/2032(c) | 953,334 | ||||||
Milos CLO Ltd. | ||||||||
500,000 | Series 2017-1A-ER 8.860%, 10/20/2030(c)(g) 3 mo. USD LIBOR + 6.150% | 426,569 | ||||||
Mosaic Solar Loans LLC | ||||||||
958,092 | Series 2017-2A-B 4.770%, 06/22/2043(c) | 888,146 | ||||||
MVW LLC | ||||||||
42,174 | Series 2020-1A-C 4.210%, 10/20/2037(c) | 38,964 | ||||||
MVW Owner Trust | ||||||||
44,505 | Series 2019-1A-C 3.330%, 11/20/2036(c) | 41,468 | ||||||
332,373 | Series 2021-1WA-D 3.170%, 01/22/2041(c) | 303,917 | ||||||
Myers Park CLO Ltd. | ||||||||
1,000,000 | Series 2018-1A-E 8.210%, 10/20/2030(c)(g) 3 mo. USD LIBOR + 5.500% | 837,021 | ||||||
Navient Private Education Refi Loan Trust | ||||||||
260,000 | Series 2018-A-B 3.680%, 02/18/2042(c) | 244,693 | ||||||
855,000 | Series 2019-FA-B 3.120%, 08/15/2068(c) | 710,164 | ||||||
180,000 | Series 2019-GA-B 3.080%, 10/15/2068(c) | 154,306 | ||||||
320,000 | Series 2020-FA-B 2.690%, 07/15/2069(c) | 269,972 | ||||||
Neuberger Berman CLO XVI-S Ltd. | ||||||||
500,000 | Series 2017-16SA-ER 8.762%, 04/15/2034(c)(g) 3 mo. USD LIBOR + 6.250% | 428,978 | ||||||
Neuberger Berman Loan Advisers CLO 24 Ltd. | ||||||||
1,000,000 | Series 2017-24A-E 8.758%, 04/19/2030(c)(g) 3 mo. USD LIBOR + 6.020% | 856,201 | ||||||
Neuberger Berman Loan Advisers CLO 26 Ltd. | ||||||||
1,000,000 | Series 2017-26A-INC 0.000%, 10/18/2030(c)(h) | 549,715 | ||||||
Neuberger Berman Loan Advisers CLO 37 Ltd. | ||||||||
500,000 | Series 2020-37A-ER 8.460%, 07/20/2031(c)(g) 3 mo. USD LIBOR + 5.750% | 428,291 | ||||||
Ocean Trails CLO V | ||||||||
700,000 | Series 2014-5A-DRR 5.905%, 10/13/2031(c)(g) 3 mo. USD LIBOR + 3.450% | 589,740 | ||||||
Octagon Investment Partners CLO 26 Ltd. | ||||||||
1,000,000 | Series 2016-1A-FR 10.602%, 07/15/2030(c)(g) 3 mo. USD LIBOR + 8.090% | 724,443 |
Principal Amount^ | Value | |||||||
Octagon Investment Partners CLO 29 Ltd. | ||||||||
$500,000 | Series 2016-1A-DR 5.883%, 01/24/2033(c)(g) 3 mo. USD LIBOR + 3.100% | $ | 447,503 | |||||
1,000,000 | Series 2016-1A-ER 10.033%, 01/24/2033(c)(g) 3 mo. USD LIBOR + 7.250% | 818,699 | ||||||
Octagon Investment Partners CLO 39 Ltd. | ||||||||
275,000 | Series 2018-3A-E 8.460%, 10/20/2030(c)(g) 3 mo. USD LIBOR + 5.750% | 231,249 | ||||||
Octagon Investment Partners CLO 40 Ltd. | ||||||||
500,000 | Series 2019-1A-ER 9.710%, 01/20/2035(c)(g) 3 mo. USD LIBOR + 7.000% | 431,222 | ||||||
Octagon Investment Partners CLO XVI Ltd. | ||||||||
1,000,000 | Series 2013-1A-ER 8.490%, 07/17/2030(c)(g) 3 mo. USD LIBOR + 5.750% | 815,601 | ||||||
1,500,000 | Series 2013-1A-SUB 0.000%, 07/17/2030(c)(h) | 261,114 | ||||||
Octagon Investment Partners CLO XXI Ltd. | ||||||||
500,000 | Series 2014-1A-DRR 9.905%, 02/14/2031(c)(g) 3 mo. USD LIBOR + 7.000% | 435,939 | ||||||
OHA Credit Funding CLO 5 Ltd. | ||||||||
475,000 | Series 2020-5A-C 4.740%, 04/18/2033(c)(g) 3 mo. USD LIBOR + 2.000% | 438,464 | ||||||
OneMain Financial Issuance Trust | ||||||||
290,000 | Series 2020-1A-B 4.830%, 05/14/2032(c) | 287,554 | ||||||
265,000 | Series 2020-2A-C 2.760%, 09/14/2035(c) | 220,936 | ||||||
Pagaya AI Debt Selection Trust | ||||||||
800,000 | Series 2021-5-CERT 0.100%, 08/15/2029(c) | 960,107 | ||||||
Planet Fitness Master Issuer LLC | ||||||||
758,550 | Series 2019-1A-A2 3.858%, 12/05/2049(c) | 648,541 | ||||||
Prestige Auto Receivables Trust | ||||||||
330,000 | Series 2019-1A-E 3.900%, 05/15/2026(c) | 323,917 | ||||||
210,000 | Series 2020-1A-E 3.670%, 02/15/2028(c) | 206,309 | ||||||
Progress Residential Trust | ||||||||
235,000 | Series 2019-SFR3-D 2.871%, 09/17/2036(c) | 223,012 | ||||||
255,000 | Series 2020-SFR3-F 2.796%, 10/17/2027(c) | 227,860 | ||||||
140,000 | Series 2021-SFR1-F 2.757%, 04/17/2038(c) | 118,936 | ||||||
3,500,000 | Series 2021-SFR10-F 4.608%, 12/17/2040(c) | 2,898,073 | ||||||
170,000 | Series 2021-SFR2-E2 2.647%, 04/19/2038(c) | 144,777 | ||||||
7,000,000 | Series 2021-SFR2-G 4.254%, 04/19/2038(c) | 6,019,863 | ||||||
355,000 | Series 2021-SFR3-F 3.436%, 05/17/2026(c) | 304,996 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Progress Residential Trust (continued) | ||||||||
$735,000 | Series 2021-SFR4-F 3.407%, 05/17/2038(c) | $ | 631,616 | |||||
250,000 | Series 2021-SFR5-F 3.158%, 07/17/2038(c) | 209,107 | ||||||
125,000 | Series 2021-SFR6-E2 2.525%, 07/17/2038(c) | 104,994 | ||||||
835,000 | Series 2021-SFR7-F 3.834%, 08/17/2040(c) | 683,735 | ||||||
Rockford Tower CLO Ltd. | ||||||||
700,000 | Series 2017-2A-CR 4.412%, 10/15/2029(c)(g) 3 mo. USD LIBOR + 1.900% | 650,585 | ||||||
RR CLO 2 Ltd. | ||||||||
500,000 | Series 2017-2A-DR 8.312%, 04/15/2036(c)(g) 3 mo. USD LIBOR + 5.800% | 421,230 | ||||||
RR CLO 6 Ltd. | ||||||||
500,000 | Series 2019-6A-DR 8.362%, 04/15/2036(c)(g) 3 mo. USD LIBOR + 5.850% | 417,537 | ||||||
S-Jets Ltd. | ||||||||
912,110 | Series 2017-1-A 3.967%, 08/15/2042(c) | 735,401 | ||||||
Santander Drive Auto Receivables Trust | ||||||||
890,000 | Series 2020-1-D 5.350%, 03/15/2028 | 893,303 | ||||||
300,000 | Series 2020-2-D 2.220%, 09/15/2026 | 293,081 | ||||||
SCF Equipment Leasing LLC | ||||||||
295,000 | Series 2021-1A-E 3.560%, 08/20/2032(c) | 261,878 | ||||||
Sierra Timeshare Receivables Funding LLC | ||||||||
192,426 | Series 2020-2A-C 3.510%, 07/20/2037(c) | 180,471 | ||||||
Slam Ltd. | ||||||||
235,085 | Series 2021-1A-B 3.422%, 06/15/2046(c) | 188,262 | ||||||
SLM Private Credit Student Loan Trust | ||||||||
149,000 | Series 2003-A-A3 6.205%, 06/15/2032(g) | 145,326 | ||||||
420,000 | Series 2003-B-A3 6.514%, 03/15/2033(g) | 408,338 | ||||||
50,000 | Series 2003-B-A4 5.559%, 03/15/2033(g) | 48,612 | ||||||
SoFi Consumer Loan Program Trust | ||||||||
194,707 | Series 2019-4-C 2.840%, 08/25/2028(c) | 193,819 | ||||||
SoFi Professional Loan Program LLC | ||||||||
133,000 | Series 2017-F-R1 0.010%, 01/25/2041(c) | 1,911,951 | ||||||
SoFi Professional Loan Program Trust | ||||||||
360,000 | Series 2020-A-BFX 3.120%, 05/15/2046(c) | 306,066 | ||||||
45,000 | Series 2020-A-R1 0.010%, 05/15/2046(c) | 1,443,511 |
Principal Amount^ | Value | |||||||
Sound Point CLO XXXII Ltd. | ||||||||
$500,000 | Series 2021-4A-E 9.483%, 10/25/2034(c)(g) 3 mo. USD LIBOR + 6.700% | $ | 388,833 | |||||
SpringCastle America Funding LLC | ||||||||
483,475 | Series 2020-AA-A 1.970%, 09/25/2037(c) | 442,528 | ||||||
Stewart Park CLO Ltd. | ||||||||
500,000 | Series 2015-1A-ER 7.792%, 01/15/2030(c)(g) 3 mo. USD LIBOR + 5.280% | 399,184 | ||||||
Textainer Marine Containers VII Ltd. | ||||||||
89,037 | Series 2020-1A-A 2.730%, 08/21/2045(c) | 80,494 | ||||||
196,132 | Series 2021-1A-B 2.520%, 02/20/2046(c) | 164,610 | ||||||
THL Credit Wind River CLO Ltd. | ||||||||
2,000,000 | Series 2014-2A-INC 0.010%, 01/15/2031(c) | 265,144 | ||||||
500,000 | Series 2017-3A-ER 9.562%, 04/15/2035(c)(g) 3 mo. USD LIBOR + 7.050% | 432,541 | ||||||
500,000 | Series 2018-2A-E 8.262%, 07/15/2030(c)(g) 3 mo. USD LIBOR + 5.750% | 392,522 | ||||||
TICP CLO VII Ltd. | ||||||||
280,000 | Series 2017-7A-CR 4.662%, 04/15/2033(c)(g) 3 mo. USD LIBOR + 2.150% | 259,600 | ||||||
TICP CLO XV Ltd. | ||||||||
250,000 | Series 2020-15A-C 4.860%, 04/20/2033(c)(g) 3 mo. USD LIBOR + 2.150% | 232,125 | ||||||
Towd Point Mortgage Trust | ||||||||
310,000 | Series 2018-5-M1 3.250%, 07/25/2058(c)(h) | 251,603 | ||||||
385,000 | Series 2019-2-M1 3.750%, 12/25/2058(c)(h) | 319,171 | ||||||
Trestles CLO II Ltd. | ||||||||
335,000 | Series 2018-2A-D 8.533%, 07/25/2031(c)(g) 3 mo. USD LIBOR + 5.750% | 267,432 | ||||||
Tricon American Homes Trust | ||||||||
250,000 | Series 2020-SFR1-E 3.544%, 07/17/2038(c) | 221,379 | ||||||
290,000 | Series 2020-SFR2-E1 2.730%, 11/17/2039(c) | 240,433 | ||||||
Unity-Peace Park CLO Ltd. | ||||||||
500,000 | Series 2022-1A-E 8.271%, 04/20/2035(c)(g) TSFR3M + 7.175% | 429,299 | ||||||
Upstart Pass-Through Trust | ||||||||
1,000,000 | Series 2021-ST8-CERT 0.010%, 10/20/2029(c) | 453,375 | ||||||
929,000 | Series 2021-ST9-CERT 0.010%, 11/20/2029(c) | 357,608 | ||||||
Upstart Securitization Trust | ||||||||
1,000 | Series 2021-2-CERT 0.010%, 06/20/2031 | 269,694 | ||||||
VCAT LLC | ||||||||
245,836 | Series 2021-NPL5-A1 1.868%, 08/25/2051(c)(f) | 225,060 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
VOLT XCIII LLC | ||||||||
$663,550 | Series 2021-NPL2-A1 1.893%, 02/27/2051(c)(f) | $ | 619,174 | |||||
VOLT XCIV LLC | ||||||||
675,000 | Series 2021-NPL3-A2 4.949%, 02/27/2051(c)(f) | 588,504 | ||||||
Voya CLO Ltd. | ||||||||
500,000 | Series 2018-2A-E 7.762%, 07/15/2031(c)(g) 3 mo. USD LIBOR + 5.250% | 378,625 | ||||||
500,000 | Series 2019-1A-ER 8.632%, 04/15/2031(c)(g) 3 mo. USD LIBOR + 6.120% | 395,471 | ||||||
WAVE Trust | ||||||||
479,194 | Series 2017-1A-A 3.844%, 11/15/2042(c) | 367,590 | ||||||
Webster Park CLO Ltd. | ||||||||
1,000,000 | Series 2015-1A-DR 8.210%, 07/20/2030(c)(g) 3 mo. USD LIBOR + 5.500% | 821,500 | ||||||
Wendy’s Funding LLC | ||||||||
173,375 | Series 2019-1A-A2II 4.080%, 06/15/2049(c) | 151,535 | ||||||
Westlake Automobile Receivables Trust | ||||||||
390,000 | Series 2020-3A-D 1.650%, 02/17/2026(c) | 371,375 | ||||||
460,000 | Series 2022-2A D 5.480%, 09/15/2027(c) | 449,748 | ||||||
Willis Engine Structured Trust | ||||||||
213,771 | Series 2020-A-A 3.228%, 03/15/2045(c) | 171,399 | ||||||
1,665,532 | Series 2021-A-C 7.385%, 05/15/2046(c) | 1,287,206 | ||||||
Wind River CLO Ltd. | ||||||||
500,000 | Series 2021-2A-E 9.140%, 07/20/2034(c)(g) 3 mo. USD LIBOR + 6.430% | 418,599 | ||||||
|
| |||||||
| TOTAL ASSET-BACKED SECURITIES | 102,688,999 | ||||||
|
| |||||||
BANK LOANS: 1.6% | ||||||||
Air Methods Corp. | ||||||||
564,168 | 7.174%, 04/22/2024(g) 3 mo. LIBOR + 3.500% | 453,922 | ||||||
American Tire Distributors Holdings, Inc. | ||||||||
492,525 | 9.033%, 10/20/2028(g) 3 mo. LIBOR + 6.250% | 462,535 | ||||||
Applied Systems, Inc. | ||||||||
840,000 | 9.174%, 09/19/2025(g) 3 mo. LIBOR + 5.500% | 830,340 | ||||||
Astra Acquisition Corp. | ||||||||
266,783 | 8.365%, 10/25/2028(g) 1 mo. LIBOR + 5.250% | 228,099 | ||||||
1,069,743 | 11.990%, 10/25/2029(g) 1 mo. LIBOR + 8.875% | 984,163 | ||||||
Asurion LLC | ||||||||
160,000 | 8.365%, 01/31/2028(g) 1 mo. LIBOR + 5.250% | 121,400 | ||||||
Atlas Purchaser, Inc. | ||||||||
622,348 | 8.117%, 05/08/2028(g) 3 mo. LIBOR + 5.250% | 490,877 |
Principal Amount^ | Value | |||||||
Aveanna Healthcare LLC | ||||||||
$885,000 | 10.052%, 12/10/2029(g) 1 mo. LIBOR + 7.000% | $ | 654,900 | |||||
Blackhawk Network Holdings, Inc. | ||||||||
125,000 | 9.500%, 06/15/2026(g) 3 mo. LIBOR + 7.000% | 118,438 | ||||||
Bright Bidco B.V. | ||||||||
62,080 | 0.000%, 02/28/2023(i) | 62,080 | ||||||
35,474 | 0.000%, 02/28/2023(i) | 35,474 | ||||||
859,195 | 6.514%, 06/30/2024(g) 1 mo. LIBOR + 3.500% | 299,915 | ||||||
BYJU’s Alpha, Inc. | ||||||||
323,375 | 8.980%, 11/24/2026(g) 3 mo. LIBOR + 6.000% | 236,987 | ||||||
Cengage Learning, Inc. | ||||||||
400,950 | 7.814%, 07/14/2026(g) 3 mo. LIBOR + 4.750% | 364,051 | ||||||
Constant Contact, Inc. | ||||||||
875,000 | 9.923%, 02/12/2029(g) 3 mo. LIBOR + 7.500% | 691,250 | ||||||
Cyxtera DC Holdings, Inc. | ||||||||
462,517 | 5.790%, 05/01/2024(g) 3 mo. LIBOR + 3.000% | 423,450 | ||||||
DCert Buyer, Inc. | ||||||||
485,000 | 9.903%, 02/19/2029(g) 3 mo. LIBOR + 7.000% | 454,688 | ||||||
DG Investment Intermediate Holdings 2, Inc. | ||||||||
420,000 | 9.865%, 03/30/2029(g) 1 mo. LIBOR + 6.750% | 394,275 | ||||||
Edgewater Generation LLC | ||||||||
234,888 | 6.865%, 12/13/2025(g) 1 mo. LIBOR + 3.750% | 207,303 | ||||||
Envision Healthcare Corp. | ||||||||
1,027,178 | 6.325%, 03/31/2027(g) 3 mo. SOFR + 3.750% | 291,035 | ||||||
419,499 | 6.830%, 03/31/2027(g) 3 mo. SOFR + 4.250% | 195,067 | ||||||
Finastra USA, Inc. | ||||||||
453,928 | 6.871%, 06/13/2024(g) 3 mo. LIBOR + 3.500% | 396,279 | ||||||
405,000 | 8.489%, 06/13/2025(g) 1 wk. LIBOR + 7.250% | 333,368 | ||||||
Grab Holdings, Inc. | ||||||||
480,780 | 7.620%, 01/29/2026(g) 1 mo. LIBOR + 4.500% | 452,837 | ||||||
Gulf Finance LLC | ||||||||
412,631 | 9.390%-9.870%, 08/25/2026(g) 1 mo. LIBOR + 6.750% | 328,853 | ||||||
Intelsat Jackson Holdings S.A. | ||||||||
376,977 | 7.445%, 02/01/2029(g) 6 mo. SOFR + 4.500% | 354,736 | ||||||
Kenan Advantage Group, Inc. | ||||||||
220,000 | 10.365%, 09/01/2027(g) 1 mo. LIBOR + 7.250% | 203,500 | ||||||
Lealand Finance Company B.V. | ||||||||
273,000 | 0.000%, 06/28/2024(i) | 156,975 | ||||||
51,237 | 3.109%-6.115%, 06/28/2024(g) 1 mo. LIBOR + 3.000% | 32,664 | ||||||
956,546 | 0.000%, 06/30/2024(i) | 550,014 | ||||||
581,126 | 7.674%, 06/30/2024(g) 3 mo. LIBOR + 4.000% | 334,147 | ||||||
578,314 | 0.000%, 06/30/2025(i) | 294,217 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Lealand Finance Company B.V. (continued) | ||||||||
$774,325 | 7.115%, 06/30/2025(e)(g) 1 mo. LIBOR + 1.000% Cash, 3.000% PIK | $ | 393,938 | |||||
LSF9 Atlantis Holdings LLC | ||||||||
245,000 | 10.803%, 03/31/2029(g) 3 mo. SOFR + 7.250% | 233,363 | ||||||
Mediaco Holding, Inc. | ||||||||
2,071,990 | 10.482%, 11/21/2024(a)(e)(g) 1 mo. LIBOR + 6.400% Cash, 1.000% PIK | 1,926,951 | ||||||
Minotaur Acquisition, Inc. | ||||||||
453,020 | 8.134%, 03/27/2026(g) 1 mo. SOFR + 5.000% | 431,542 | ||||||
Playtika Holding Corp. | ||||||||
474,214 | 5.865%, 03/13/2028(g) 1 mo. LIBOR + 2.750% | 455,435 | ||||||
Riverbed Technology, Inc. | ||||||||
557,601 | 10.660%, 12/07/2026(e)(g) 1 mo. LIBOR + 6.000% Cash, 2.000% PIK | 217,233 | ||||||
Sweetwater Borrower LLC | ||||||||
184,181 | 7.375%, 08/07/2028(g) 1 mo. LIBOR + 4.250% | 168,526 | ||||||
Team Health Holdings, Inc. | ||||||||
494,857 | 5.865%, 02/06/2024(g) 1 mo. LIBOR + 2.750% | 454,650 | ||||||
Travel Leaders Group LLC | ||||||||
946,068 | 7.115%, 01/25/2024(g) 1 mo. LIBOR + 4.000% | 873,174 | ||||||
Travelport Finance (Luxembourg) S.A.R.L. | ||||||||
514,236 | 19.674%, 02/28/2025(e)(g) 3 mo. LIBOR + 8.750% Cash, 7.250% PIK | 509,952 | ||||||
377 | 8.674%, 05/29/2026(e)(g) 3 mo. LIBOR + 5.000% Cash, 0.000% PIK | 268 | ||||||
Ultimate Software Group, Inc. (The) | ||||||||
765,000 | 7.535%, 05/03/2027(g) 3 mo. LIBOR + 5.250% | 727,389 | ||||||
Vantage Specialty Chemicals, Inc. | ||||||||
470,940 | 6.306%-7.174%, 10/28/2024(g) 3 mo. LIBOR + 3.500% | 454,311 | ||||||
Viad Corp. | ||||||||
376,200 | 8.115%, 07/30/2028(g) 1 mo. LIBOR + 5.000% | 358,643 | ||||||
Waterbridge Midstream Operating LLC | ||||||||
476,233 | 9.127%, 06/22/2026(g) 3 mo. LIBOR + 5.750% | 460,853 | ||||||
Ziggo B.V. | ||||||||
| 490,000 (EUR) | | 3.764%, 01/31/2029(g) 6 mo. EURIBOR + 3.000% | 433,650 | ||||
|
| |||||||
| TOTAL BANK LOANS | 19,537,717 | ||||||
|
| |||||||
CONVERTIBLE BONDS: 1.3% | ||||||||
Communications: 0.5% | ||||||||
Cable One, Inc. | ||||||||
5,000 | 0.000%, 03/15/2026(j) | 3,823 | ||||||
Delivery Hero SE | ||||||||
| 1,400,000 (EUR) | | 1.000%, 01/23/2027 | 1,053,463 |
Principal Amount^ | Value | |||||||
Communications (continued) | ||||||||
| 100,000 (EUR) | | 1.000%, 04/30/2026 | $ | 69,907 | |||
DISH Network Corp. | ||||||||
1,080,000 | 0.000%, 12/15/2025(j) | 712,444 | ||||||
3,435,000 | 3.375%, 08/15/2026 | 2,371,867 | ||||||
SNAP, Inc. | ||||||||
370,000 | 0.000%, 05/01/2027(j) | 256,965 | ||||||
Spotify USA, Inc. | ||||||||
335,000 | 0.000%, 03/15/2026(j) | 264,650 | ||||||
Twitter, Inc. | ||||||||
110,000 | 0.000%, 03/15/2026(j) | 101,247 | ||||||
Uber Technologies, Inc. | ||||||||
580,000 | 0.000%, 12/15/2025(j) | 484,246 | ||||||
Wayfair, Inc. | ||||||||
1,319,000 | 0.625%, 10/01/2025 | 890,329 | ||||||
Zillow Group, Inc. | ||||||||
27,000 | 2.750%, 05/15/2025 | 24,678 | ||||||
269,000 | 1.375%, 09/01/2026 | 262,678 | ||||||
|
| |||||||
6,496,297 | ||||||||
|
| |||||||
Consumer, Cyclical: 0.2% | ||||||||
Cineplex, Inc. | ||||||||
| 1,041,000 (CAD) | | 5.750%, 09/30/2025(c) | 772,064 | ||||
JetBlue Airways Corp. | ||||||||
195,000 | 0.500%, 04/01/2026 | 139,425 | ||||||
Lightning eMotors, Inc. | ||||||||
257,000 | 7.500%, 05/15/2024(c) | 172,189 | ||||||
NCL Corp. Ltd. | ||||||||
570,000 | 1.125%, 02/15/2027(c) | 359,825 | ||||||
Peloton Interactive, Inc. | ||||||||
50,000 | 0.000%, 02/15/2026(j) | 33,565 | ||||||
Penn Entertainment, Inc. | ||||||||
130,000 | 2.750%, 05/15/2026 | 182,585 | ||||||
Southwest Airlines Co. | ||||||||
735,000 | 1.250%, 05/01/2025 | 841,759 | ||||||
|
| |||||||
2,501,412 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 0.4% | ||||||||
BioMarin Pharmaceutical, Inc. | ||||||||
1,540,000 | 1.250%, 05/15/2027 | 1,537,074 | ||||||
Guardant Health, Inc. | ||||||||
215,000 | 0.000%, 11/15/2027(j) | 157,533 | ||||||
Ionis Pharmaceuticals, Inc. | ||||||||
145,000 | 0.000%, 04/01/2026(j) | 144,003 | ||||||
Livongo Health, Inc. | ||||||||
570,000 | 0.875%, 06/01/2025 | 479,718 | ||||||
Teladoc Health, Inc. | ||||||||
1,180,000 | 1.250%, 06/01/2027 | 868,834 | ||||||
UpHealth, Inc. | ||||||||
937,000 | 11.960%, 12/15/2025(c)(g) SOFR + 9.000% | 874,816 | ||||||
533,000 | 6.250%, 06/15/2026(c) | 165,896 | ||||||
|
| |||||||
4,227,874 | ||||||||
|
| |||||||
Technology: 0.2% | ||||||||
Bentley Systems, Inc. | ||||||||
20,000 | 0.375%, 07/01/2027 | 15,170 | ||||||
Bilibili, Inc. | ||||||||
315,000 | 0.500%, 12/01/2026(c) | 201,600 | ||||||
Kaleyra, Inc. | ||||||||
1,424,000 | 6.125%, 06/01/2026(c) | 1,136,293 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CONVERTIBLE BONDS (CONTINUED) | ||||||||
Technology (continued) | ||||||||
Nutanix, Inc. | ||||||||
$325,000 | 0.250%, 10/01/2027(c) | $ | 246,025 | |||||
RingCentral, Inc. | ||||||||
300,000 | 0.000%, 03/15/2026(j) | 232,200 | ||||||
Splunk, Inc. | ||||||||
760,000 | 1.125%, 06/15/2027 | 601,750 | ||||||
Unity Software, Inc. | ||||||||
265,000 | 0.000%, 11/15/2026(c)(j) | 193,119 | ||||||
|
| |||||||
2,626,157 | ||||||||
|
| |||||||
| TOTAL CONVERTIBLE BONDS | 15,851,740 | ||||||
|
| |||||||
CORPORATE BONDS: 22.2% | ||||||||
Basic Materials: 1.7% | ||||||||
Albemarle Corp. | ||||||||
707,000 | 5.050%, 06/01/2032 | 656,012 | ||||||
Aris Mining Corp. | ||||||||
200,000 | 6.875%, 08/09/2026 | 145,587 | ||||||
Ashland LLC | ||||||||
3,455,000 | 3.375%, 09/01/2031(c) | 2,677,625 | ||||||
ASP Unifrax Holdings, Inc. | ||||||||
260,000 | 7.500%, 09/30/2029(c) | 172,926 | ||||||
1,770,000 | 4.875%, 10/01/2029 | 1,473,825 | ||||||
1,760,000 | 5.125%, 10/01/2031 | 1,441,259 | ||||||
Braskem Idesa SAPI | ||||||||
450,000 | 6.990%, 02/20/2032(c) | 302,625 | ||||||
Braskem Netherlands Finance B.V. | ||||||||
560,000 | 4.500%, 01/31/2030(c) | 453,572 | ||||||
CAP S.A. | ||||||||
300,000 | 3.900%, 04/27/2031 | 212,736 | ||||||
CF Industries, Inc. | ||||||||
1,284,000 | 5.150%, 03/15/2034 | 1,155,654 | ||||||
Cia de Minas Buenaventura S.A.A. | ||||||||
360,000 | 5.500%, 07/23/2026(c) | 301,697 | ||||||
Commercial Metals Co. | ||||||||
90,000 | 4.375%, 03/15/2032 | 71,257 | ||||||
Eldorado Gold Corp. | ||||||||
340,000 | 6.250%, 09/01/2029(c) | 259,794 | ||||||
First Quantum Minerals Ltd. | ||||||||
600,000 | 7.500%, 04/01/2025(c) | 578,229 | ||||||
1,035,000 | 6.875%, 03/01/2026(c) | 956,288 | ||||||
740,000 | 6.875%, 10/15/2027(c) | 666,200 | ||||||
FMG Resources August 2006 Pty Ltd. | ||||||||
350,000 | 4.500%, 09/15/2027(c) | 308,522 | ||||||
8,000 | 6.125%, 04/15/2032(c) | 6,886 | ||||||
Freeport-McMoRan, Inc. | ||||||||
310,000 | 4.250%, 03/01/2030 | 266,558 | ||||||
415,000 | 4.625%, 08/01/2030 | 364,636 | ||||||
Glencore Funding LLC | ||||||||
730,000 | 2.850%, 04/27/2031(c) | 565,542 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. | ||||||||
410,000 | 9.000%, 07/01/2028(c) | 341,093 | ||||||
Mativ Holdings, Inc. | ||||||||
800,000 | 6.875%, 10/01/2026(c) | 706,168 | ||||||
Mercer International, Inc. | ||||||||
1,000,000 | 5.125%, 02/01/2029 | 804,045 | ||||||
Mineral Resources Ltd. | ||||||||
3,050,000 | 8.500%, 05/01/2030(c) | 2,954,200 |
Principal Amount^ | Value | |||||||
Basic Materials (continued) | ||||||||
Nufarm Australia Ltd. / Nufarm Americas, Inc. | ||||||||
$644,000 | 5.000%, 01/27/2030(c) | $ | 536,864 | |||||
OCP S.A. | ||||||||
650,000 | 5.125%, 06/23/2051 | 416,270 | ||||||
UPL Corp. Ltd. | ||||||||
460,000 | 5.250%, 02/27/2025(d)(h) 5 year CMT + 3.865% | 337,065 | ||||||
Valvoline, Inc. | ||||||||
1,470,000 | 3.625%, 06/15/2031(c) | 1,086,421 | ||||||
Vedanta Resources Finance II Plc | ||||||||
250,000 | 9.250%, 04/23/2026(c) | 141,007 | ||||||
200,000 | 9.250%, 04/23/2026 | 112,806 | ||||||
Vedanta Resources Ltd. | ||||||||
200,000 | 6.125%, 08/09/2024 | 118,567 | ||||||
Vibrantz Technologies, Inc. | ||||||||
285,000 | 9.000%, 02/15/2030(c) | 186,070 | ||||||
|
| |||||||
20,778,006 | ||||||||
|
| |||||||
Communications: 2.8% | ||||||||
Bell Telephone Co. of Canada or Bell Canada (The) | ||||||||
1,696,000 | Series US-5 2.150%, 02/15/2032 | 1,289,660 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. | ||||||||
125,000 | 5.500%, 05/01/2026(c) | 118,890 | ||||||
4,000,000 | 5.125%, 05/01/2027(c) | 3,627,960 | ||||||
Cengage Learning, Inc. | ||||||||
460,000 | 9.500%, 06/15/2024(c) | 432,400 | ||||||
Charter Communications Operating LLC / Charter Communications Operating Capital | ||||||||
145,000 | 2.800%, 04/01/2031 | 109,806 | ||||||
55,000 | 2.300%, 02/01/2032 | 39,342 | ||||||
70,000 | 4.400%, 04/01/2033 | 57,884 | ||||||
1,950,000 | 4.400%, 12/01/2061 | 1,247,273 | ||||||
CommScope Technologies LLC | ||||||||
640,000 | 5.000%, 03/15/2027(c) | 484,054 | ||||||
CommScope, Inc. | ||||||||
2,322,000 | 7.125%, 07/01/2028(c) | 1,797,368 | ||||||
CSC Holdings LLC | ||||||||
4,305,000 | 4.625%, 12/01/2030(c) | 2,930,306 | ||||||
DIRECTV Financing LLC / DIRECTIVE Financing Co-Obligor, Inc. | ||||||||
205,000 | 5.875%, 08/15/2027(c) | 177,197 | ||||||
DISH DBS Corp. | ||||||||
1,755,000 | 5.250%, 12/01/2026(c) | 1,440,385 | ||||||
1,595,000 | 5.125%, 06/01/2029 | 939,615 | ||||||
Embarq Corp. | ||||||||
925,000 | 7.995%, 06/01/2036 | 464,572 | ||||||
Endurance International Group Holdings, Inc. | ||||||||
590,000 | 6.000%, 02/15/2029(c) | 392,892 | ||||||
Expedia Group, Inc. | ||||||||
95,000 | 3.250%, 02/15/2030 | 77,142 | ||||||
115,000 | 2.950%, 03/15/2031 | 89,335 | ||||||
FactSet Research Systems, Inc. | ||||||||
807,000 | 3.450%, 03/01/2032 | 658,575 | ||||||
iHeartCommunications, Inc. | ||||||||
170,000 | 8.375%, 05/01/2027 | 143,809 | ||||||
350,000 | 5.250%, 08/15/2027(c) | 299,920 | ||||||
735,000 | 4.750%, 01/15/2028(c) | 613,571 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Communications (continued) | ||||||||
Intelsat Jackson Holdings S.A. | ||||||||
$825,000 | 8.500%, 10/15/2024(c) | $ | 0 | |||||
Kenbourne Invest S.A. | ||||||||
825,000 | 6.875%, 11/26/2024(c) | 778,202 | ||||||
Lumen Technologies, Inc. | ||||||||
200,000 | 5.375%, 06/15/2029(c) | 149,096 | ||||||
McGraw-Hill Education, Inc. | ||||||||
335,000 | 5.750%, 08/01/2028(c) | 280,441 | ||||||
Motorola Solutions, Inc. | ||||||||
2,500,000 | 5.600%, 06/01/2032 | 2,373,286 | ||||||
Netflix, Inc. | ||||||||
275,000 | 4.875%, 04/15/2028 | 257,681 | ||||||
290,000 | 5.875%, 11/15/2028 | 283,046 | ||||||
390,000 | 6.375%, 05/15/2029 | 387,987 | ||||||
70,000 | 5.375%, 11/15/2029(c) | 65,949 | ||||||
445,000 | 4.875%, 06/15/2030(c) | 407,646 | ||||||
NortonLifeLock, Inc. | ||||||||
371,000 | 6.750%, 09/30/2027(c) | 358,169 | ||||||
Oi S.A. | ||||||||
550,000 | 10.000%, 07/27/2025(e) PIK rate 12.000% | 162,866 | ||||||
Sirius XM Radio, Inc. | ||||||||
2,234,000 | 3.875%, 09/01/2031(c) | 1,737,426 | ||||||
SoftBank Group Corp. | ||||||||
600,000 | 4.625%, 07/06/2028 | 479,250 | ||||||
205,000 | 5.250%, 07/06/2031 | 153,904 | ||||||
Telesat Canada / Telesat LLC | ||||||||
310,000 | 5.625%, 12/06/2026(c) | 148,754 | ||||||
Uber Technologies, Inc. | ||||||||
75,000 | 8.000%, 11/01/2026(c) | 75,387 | ||||||
245,000 | 7.500%, 09/15/2027(c) | 240,474 | ||||||
15,000 | 6.250%, 01/15/2028(c) | 13,970 | ||||||
5,125,000 | 4.500%, 08/15/2029(c) | 4,317,812 | ||||||
VeriSign, Inc. | ||||||||
900,000 | 2.700%, 06/15/2031 | 699,068 | ||||||
Viasat, Inc. | ||||||||
818,000 | 6.500%, 07/15/2028(c) | 545,798 | ||||||
Viavi Solutions, Inc. | ||||||||
1,475,000 | 3.750%, 10/01/2029(c) | 1,182,124 | ||||||
VTR Finance N.V. | ||||||||
500,000 | 6.375%, 07/15/2028 | 281,250 | ||||||
|
| |||||||
32,811,542 | ||||||||
|
| |||||||
Consumer, Cyclical: 2.9% | ||||||||
Allison Transmission, Inc. | ||||||||
2,690,000 | 3.750%, 01/30/2031(c) | 2,067,373 | ||||||
Asbury Automotive Group, Inc. | ||||||||
195,000 | 4.625%, 11/15/2029(c) | 156,370 | ||||||
AutoNation, Inc. | ||||||||
494,000 | 3.850%, 03/01/2032 | 394,068 | ||||||
Carnival Corp. | ||||||||
95,000 | 7.625%, 03/01/2026(c) | 73,625 | ||||||
740,000 | 5.750%, 03/01/2027(c) | 519,646 | ||||||
75,000 | 6.000%, 05/01/2029(c) | 50,754 | ||||||
CDI Escrow Issuer, Inc. | ||||||||
484,000 | 5.750%, 04/01/2030(c) | 423,456 | ||||||
Churchill Downs, Inc. | ||||||||
3,769,000 | 4.750%, 01/15/2028(c) | 3,267,071 | ||||||
Dealer Tire LLC / DT Issuer LLC | ||||||||
565,000 | 8.000%, 02/01/2028(c) | 498,884 |
Principal Amount^ | Value | |||||||
Consumer, Cyclical (continued) | ||||||||
Dick’s Sporting Goods, Inc. | ||||||||
$1,056,000 | 3.150%, 01/15/2032 | $ | 805,446 | |||||
Everi Holdings, Inc. | ||||||||
70,000 | 5.000%, 07/15/2029(c) | 57,527 | ||||||
Gajah Tunggal Tbk PT | ||||||||
200,000 | 8.950%, 06/23/2026 | 157,800 | ||||||
General Motors Co. | ||||||||
645,000 | 5.400%, 04/01/2048 | 504,988 | ||||||
510,000 | 5.950%, 04/01/2049 | 426,969 | ||||||
General Motors Financial Co., Inc. | ||||||||
310,000 | Series A 5.750%, 09/30/2027(d)(h) 3 mo. USD LIBOR + 3.598% | 252,252 | ||||||
255,000 | Series B 6.500%, 09/30/2028(d)(h) 3 mo. USD LIBOR + 3.436% | 218,625 | ||||||
100,000 | Series C 5.700%, 09/30/2030(d)(h) 5 year CMT + 4.997% | 86,087 | ||||||
Genm Capital Labuan Ltd. | ||||||||
440,000 | 3.882%, 04/19/2031(c) | 301,685 | ||||||
Genuine Parts Co. | ||||||||
1,212,000 | 2.750%, 02/01/2032 | 939,327 | ||||||
Hilton Domestic Operating Co., Inc. | ||||||||
2,390,000 | 3.625%, 02/15/2032(c) | 1,833,140 | ||||||
Hilton Grand Vacations Borrower Escrow LLC / Hilton Grand Vacations Borrower Esc | ||||||||
300,000 | 5.000%, 06/01/2029(c) | 242,573 | ||||||
160,000 | 4.875%, 07/01/2031(c) | 122,363 | ||||||
Marriott Ownership Resorts, Inc. | ||||||||
230,000 | 4.500%, 06/15/2029(c) | 182,074 | ||||||
Murphy Oil USA, Inc. | ||||||||
3,424,000 | 3.750%, 02/15/2031(c) | 2,758,820 | ||||||
NCL Corp. Ltd. | ||||||||
430,000 | 5.875%, 03/15/2026(c) | 330,429 | ||||||
320,000 | 5.875%, 02/15/2027(c) | 267,331 | ||||||
NCL Finance Ltd. | ||||||||
200,000 | 6.125%, 03/15/2028(c) | 148,347 | ||||||
Papa John’s International, Inc. | ||||||||
710,000 | 3.875%, 09/15/2029(c) | 568,402 | ||||||
Park River Holdings, Inc. | ||||||||
120,000 | 5.625%, 02/01/2029(c) | 78,085 | ||||||
Peninsula Pacific Entertainment LLC / Peninsula Pacific Entertainment Finance In | ||||||||
2,305,000 | 8.500%, 11/15/2027(c) | 2,482,197 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. | ||||||||
500,000 | 7.750%, 02/15/2029(c) | 447,770 | ||||||
Premier Entertainment Sub LLC / Premier Entertainment Finance Corp. | ||||||||
240,000 | 5.625%, 09/01/2029(c) | 163,713 | ||||||
190,000 | 5.875%, 09/01/2031(c) | 127,277 | ||||||
Royal Caribbean Cruises Ltd. | ||||||||
145,000 | 4.250%, 07/01/2026(c) | 106,964 | ||||||
985,000 | 5.500%, 04/01/2028(c) | 692,278 | ||||||
Scientific Games International, Inc. | ||||||||
635,000 | 7.000%, 05/15/2028(c) | 600,011 | ||||||
225,000 | 7.250%, 11/15/2029(c) | 209,700 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Cyclical (continued) | ||||||||
Superior Plus L.P. / Superior General Partner, Inc. | ||||||||
$2,226,000 | 4.500%, 03/15/2029(c) | $ | 1,830,999 | |||||
SWF Escrow Issuer Corp. | ||||||||
450,000 | 6.500%, 10/01/2029(c) | 267,509 | ||||||
Tenneco, Inc. | ||||||||
3,333,000 | 5.125%, 04/15/2029(c) | 3,306,457 | ||||||
TKC Holdings, Inc. | ||||||||
320,000 | 10.500%, 05/15/2029(c) | 245,382 | ||||||
Travel & Leisure Co. | ||||||||
420,000 | 6.625%, 07/31/2026(c) | 393,840 | ||||||
35,000 | 6.000%, 04/01/2027 | 31,614 | ||||||
605,000 | 4.500%, 12/01/2029(c) | 467,910 | ||||||
125,000 | 4.625%, 03/01/2030(c) | 99,006 | ||||||
United Airlines Pass Through Trust | ||||||||
1,360,803 | Series 2019-2-B 3.500%, 05/01/2028 | 1,129,783 | ||||||
127,360 | Series 2020-1-B 4.875%, 05/15/2026 | 119,154 | ||||||
Vista Outdoor, Inc. | ||||||||
400,000 | 4.500%, 03/15/2029(c) | 283,176 | ||||||
Wabash National Corp. | ||||||||
181,000 | 4.500%, 10/15/2028(c) | 140,538 | ||||||
195,000 | 4.054%, 03/15/2029(c) | 168,827 | ||||||
305,000 | 4.279%, 03/15/2032(c) | 250,777 | ||||||
Wheel Pros, Inc. | ||||||||
230,000 | 6.500%, 05/15/2029(c) | 105,671 | ||||||
Yum! Brands, Inc. | ||||||||
1,977,000 | 4.750%, 01/15/2030(c) | 1,732,129 | ||||||
2,104,000 | 4.625%, 01/31/2032 | 1,759,842 | ||||||
|
| |||||||
34,896,041 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 3.5% | ||||||||
Acadia Healthcare Co., Inc. | ||||||||
1,225,000 | 5.500%, 07/01/2028(c) | 1,121,561 | ||||||
2,222,000 | 5.000%, 04/15/2029(c) | 1,971,995 | ||||||
Air Methods Corp. | ||||||||
460,000 | 8.000%, 05/15/2025(c) | 232,226 | ||||||
Altria Group, Inc. | ||||||||
350,000 | 2.450%, 02/04/2032 | 248,512 | ||||||
BAT Capital Corp. | ||||||||
2,579,000 | 2.726%, 03/25/2031 | 1,922,289 | ||||||
1,900,000 | 4.742%, 03/16/2032 | 1,591,873 | ||||||
Bausch Health Cos., Inc. | ||||||||
230,000 | 7.000%, 01/15/2028(c) | 88,085 | ||||||
1,385,000 | 5.000%, 01/30/2028(c) | 519,315 | ||||||
65,000 | 5.000%, 02/15/2029(c) | 25,327 | ||||||
75,000 | 6.250%, 02/15/2029(c) | 28,716 | ||||||
400,000 | 5.250%, 01/30/2030(c) | 150,019 | ||||||
660,000 | 5.250%, 02/15/2031(c) | 257,692 | ||||||
Block Financial LLC | ||||||||
1,235,000 | 2.500%, 07/15/2028 | 1,024,118 | ||||||
Camposol S.A. | ||||||||
200,000 | 6.000%, 02/03/2027 | 158,886 | ||||||
CHS / Community Health Systems, Inc. | ||||||||
305,000 | 6.875%, 04/15/2029(c) | 147,877 | ||||||
Constellation Brands, Inc. | ||||||||
1,367,000 | 2.250%, 08/01/2031 | 1,048,700 | ||||||
Coruripe Netherlands B.V. | ||||||||
400,000 | 10.000%, 02/10/2027 | 343,000 |
Principal Amount^ | Value | |||||||
Consumer, Non-cyclical (continued) | ||||||||
Coty, Inc. | ||||||||
$70,000 | 6.500%, 04/15/2026(c) | $ | 64,126 | |||||
Darling Ingredients, Inc. | ||||||||
40,000 | 6.000%, 06/15/2030(c) | 38,159 | ||||||
Encompass Health Corp. | ||||||||
1,200,000 | 4.750%, 02/01/2030 | 988,726 | ||||||
1,100,000 | 4.625%, 04/01/2031 | 871,341 | ||||||
Endo Luxembourg Finance Co. I S.A.R.L / Endo US, Inc. | ||||||||
335,000 | 6.125%, 04/01/2029(c)(k) | 264,954 | ||||||
Frigorifico Concepcion S.A. | ||||||||
400,000 | 7.700%, 07/21/2028(c) | 317,702 | ||||||
Gartner, Inc. | ||||||||
2,220,000 | 3.625%, 06/15/2029(c) | 1,852,934 | ||||||
1,988,000 | 3.750%, 10/01/2030(c) | 1,631,221 | ||||||
Global Payments, Inc. | ||||||||
85,000 | 2.900%, 11/15/2031 | 65,066 | ||||||
Herbalife Nutrition Ltd. / HLF Financing, Inc. | ||||||||
60,000 | 7.875%, 09/01/2025(c) | 53,947 | ||||||
Hologic, Inc. | ||||||||
1,900,000 | 3.250%, 02/15/2029(c) | 1,557,952 | ||||||
Ingles Markets, Inc. | ||||||||
672,000 | 4.000%, 06/15/2031(c) | 549,695 | ||||||
JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. | ||||||||
240,000 | 3.000%, 02/02/2029(c) | 196,699 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. | ||||||||
430,000 | 7.000%, 12/31/2027(c) | 334,116 | ||||||
Lamb Weston Holdings, Inc. | ||||||||
3,400,000 | 4.375%, 01/31/2032(c) | 2,815,387 | ||||||
MARB BondCo Plc | ||||||||
630,000 | 3.950%, 01/29/2031(c) | 456,948 | ||||||
Molina Healthcare, Inc. | ||||||||
240,000 | 4.375%, 06/15/2028(c) | 217,109 | ||||||
Movida Europe S.A. | ||||||||
300,000 | 5.250%, 02/08/2031 | 213,150 | ||||||
Natura Cosmeticos S.A. | ||||||||
330,000 | 4.125%, 05/03/2028(c) | 261,218 | ||||||
PECF USS Intermediate Holding III Corp. | ||||||||
220,000 | 8.000%, 11/15/2029(c) | 161,319 | ||||||
Philip Morris International, Inc. | ||||||||
1,600,000 | 1.750%, 11/01/2030 | 1,170,593 | ||||||
Post Holdings, Inc. | ||||||||
1,495,000 | 5.625%, 01/15/2028(c) | 1,367,282 | ||||||
2,674,000 | 4.500%, 09/15/2031(c) | 2,158,119 | ||||||
Prestige Brands, Inc. | ||||||||
934,000 | 3.750%, 04/01/2031(c) | 726,610 | ||||||
Pyxus Holdings, Inc. | ||||||||
245,100 | 10.000%, 08/24/2024 | 200,504 | ||||||
Quanta Services, Inc. | ||||||||
100,000 | 2.900%, 10/01/2030 | 80,040 | ||||||
1,949,000 | 2.350%, 01/15/2032 | 1,435,603 | ||||||
Radiology Partners, Inc. | ||||||||
590,000 | 9.250%, 02/01/2028(c) | 385,816 | ||||||
Regeneron Pharmaceuticals, Inc. | ||||||||
1,273,000 | 1.750%, 09/15/2030 | 964,961 | ||||||
Royalty Pharma Plc | ||||||||
2,500,000 | 2.200%, 09/02/2030 | 1,911,080 | ||||||
Service Corp. International | ||||||||
3,040,000 | 4.000%, 05/15/2031 | 2,453,143 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Non-cyclical (continued) | ||||||||
Teva Pharmaceutical Finance Netherlands II B.V. | ||||||||
| 1,455,000 (EUR) | | 6.000%, 01/31/2025 | $ | 1,393,459 | |||
Teva Pharmaceutical Finance Netherlands III B.V. | ||||||||
395,000 | 7.125%, 01/31/2025 | 385,143 | ||||||
1,145,000 | 3.150%, 10/01/2026 | 941,013 | ||||||
3,050,000 | 4.100%, 10/01/2046 | 1,830,657 | ||||||
TriNet Group, Inc. | ||||||||
1,095,000 | 3.500%, 03/01/2029(c) | 894,177 | ||||||
Triton Water Holdings, Inc. | ||||||||
270,000 | 6.250%, 04/01/2029(c) | 206,908 | ||||||
|
| |||||||
42,297,068 | ||||||||
|
| |||||||
Energy: 2.4% | ||||||||
AI Candelaria Spain S.A. | ||||||||
250,000 | 5.750%, 06/15/2033(c) | 170,550 | ||||||
250,000 | 5.750%, 06/15/2033 | 170,550 | ||||||
435,000 | 3.750%, 01/15/2030(c) | 370,254 | ||||||
300,000 | 4.000%, 01/15/2031(c) | 254,994 | ||||||
Calumet Specialty Products Partners L.P. / Calumet Finance Corp. | ||||||||
2,340,000 | 8.125%, 01/15/2027(c) | 2,160,850 | ||||||
Continental Resources, Inc. | ||||||||
1,670,000 | 4.375%, 01/15/2028 | 1,502,266 | ||||||
1,150,000 | 5.750%, 01/15/2031(c) | 1,042,019 | ||||||
120,000 | 2.875%, 04/01/2032(c) | 88,038 | ||||||
Crestwood Midstream Partners L.P. / Crestwood Midstream Finance Corp. | ||||||||
1,585,000 | 8.000%, 04/01/2029(c) | 1,528,859 | ||||||
CVR Energy, Inc. | ||||||||
1,009,000 | 5.750%, 02/15/2028(c) | 864,189 | ||||||
DCP Midstream Operating L.P. | ||||||||
670,000 | 5.375%, 07/15/2025 | 651,623 | ||||||
Delek Logistics Partners L.P. / Delek Logistics Finance Corp. | ||||||||
1,487,000 | 7.125%, 06/01/2028(c) | 1,309,482 | ||||||
Ecopetrol S.A. | ||||||||
500,000 | 5.875%, 05/28/2045 | 304,535 | ||||||
250,000 | 5.875%, 11/02/2051 | 148,644 | ||||||
Energean Israel Finance Ltd. | ||||||||
325,000 | 5.375%, 03/30/2028(c) | 277,062 | ||||||
Enviva Partners L.P. / Enviva Partners Finance Corp. | ||||||||
700,000 | 6.500%, 01/15/2026(c) | 662,865 | ||||||
EQT Corp. | ||||||||
120,000 | 5.000%, 01/15/2029 | 112,486 | ||||||
440,000 | 3.625%, 05/15/2031(c) | 367,184 | ||||||
Frontera Energy Corp. | ||||||||
200,000 | 7.875%, 06/21/2028(c) | 143,869 | ||||||
Global Partners L.P. / GLP Finance Corp. | ||||||||
1,962,000 | 6.875%, 01/15/2029 | 1,769,528 | ||||||
Gulfport Energy Corp. | ||||||||
9,327 | 8.000%, 05/17/2026 | 9,294 | ||||||
Gulfport Energy Operating Corp. | ||||||||
145,000 | 6.625%, 05/01/2023 | 0 | ||||||
287,000 | 6.000%, 10/15/2024 | 0 | ||||||
137,000 | 6.375%, 05/15/2025 | 0 | ||||||
144,000 | 6.375%, 01/15/2026 | 0 |
Principal Amount^ | Value | |||||||
Energy (continued) | ||||||||
Hess Midstream Operations L.P. | ||||||||
$140,000 | 4.250%, 02/15/2030(c) | $ | 113,349 | |||||
HF Sinclair Corp. | ||||||||
1,255,000 | 4.500%, 10/01/2030(c) | 1,077,064 | ||||||
Leviathan Bond Ltd. | ||||||||
335,000 | 6.500%, 06/30/2027(c) | 309,037 | ||||||
MC Brazil Downstream Trading SARL | ||||||||
450,000 | 7.250%, 06/30/2031 | 339,358 | ||||||
MEG Energy Corp. | ||||||||
218,000 | 5.875%, 02/01/2029(c) | 195,985 | ||||||
NGD Holdings B.V. | ||||||||
100,000 | 6.750%, 12/31/2026 | 41,500 | ||||||
NGL Energy Operating LLC / NGL Energy Finance Corp. | ||||||||
635,000 | 7.500%, 02/01/2026(c) | 565,820 | ||||||
Occidental Petroleum Corp. | ||||||||
1,000,000 | 5.550%, 03/15/2026 | 1,002,440 | ||||||
40,000 | 8.875%, 07/15/2030 | 44,623 | ||||||
25,000 | 6.125%, 01/01/2031 | 24,721 | ||||||
45,000 | 7.875%, 09/15/2031 | 48,106 | ||||||
Ovintiv, Inc. | ||||||||
75,000 | 8.125%, 09/15/2030 | 81,045 | ||||||
20,000 | 7.200%, 11/01/2031 | 20,436 | ||||||
15,000 | 7.375%, 11/01/2031 | 15,645 | ||||||
70,000 | 6.500%, 08/15/2034 | 68,288 | ||||||
145,000 | 6.625%, 08/15/2037 | 142,355 | ||||||
30,000 | 6.500%, 02/01/2038 | 29,187 | ||||||
Parkland Corp. | ||||||||
547,000 | 4.625%, 05/01/2030(c) | 443,445 | ||||||
PBF Holding Co. LLC / PBF Finance Corp. | ||||||||
1,885,000 | 6.000%, 02/15/2028 | 1,636,755 | ||||||
Pertamina Persero PT | ||||||||
300,000 | 4.150%, 02/25/2060 | 194,590 | ||||||
Petroleos del Peru S.A. | ||||||||
600,000 | 5.625%, 06/19/2047 | 361,590 | ||||||
Petroleos Mexicanos | ||||||||
1,590,000 | 5.950%, 01/28/2031 | 1,076,454 | ||||||
1,420,000 | 6.625%, 06/15/2035 | 910,547 | ||||||
400,000 | 6.375%, 01/23/2045 | 221,842 | ||||||
200,000 | 6.750%, 09/21/2047 | 111,927 | ||||||
Precision Drilling Corp. | ||||||||
707,000 | 6.875%, 01/15/2029(c) | 625,547 | ||||||
SCC Power Plc | ||||||||
91,408 | Cash 4.000% + PIK Rate 4.000% 8.000%, 12/31/2028(c)(e) | 35,421 | ||||||
49,512 | PIK Rate 4.000% 4.000%, 05/17/2032(c)(e) | 4,357 | ||||||
SierraCol Energy Andina LLC | ||||||||
400,000 | 6.000%, 06/15/2028(c) | 260,269 | ||||||
200,000 | 6.000%, 06/15/2028 | 130,134 | ||||||
Southwestern Energy Co. | ||||||||
80,000 | 4.750%, 02/01/2032 | 67,224 | ||||||
Sunoco L.P. / Sunoco Finance Corp. | ||||||||
1,758,000 | 4.500%, 05/15/2029 | 1,461,496 | ||||||
1,428,000 | 4.500%, 04/30/2030 | 1,169,475 | ||||||
Tullow Oil Plc | ||||||||
283,000 | 10.250%, 05/15/2026(c) | 239,581 | ||||||
UEP Penonome II S.A. | ||||||||
379,449 | 6.500%, 10/01/2038(c) | 328,223 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Energy (continued) | ||||||||
Western Midstream Operating L.P. | ||||||||
$560,000 | 3.350%, 02/01/2025 | $ | 521,332 | |||||
YPF S.A. | ||||||||
450,000 | 6.950%, 07/21/2027(c) | 260,489 | ||||||
50,000 | 8.500%, 06/27/2029 | 30,201 | ||||||
600,000 | 7.000%, 12/15/2047 | 299,731 | ||||||
|
| |||||||
28,418,730 | ||||||||
|
| |||||||
Financial: 5.2% | ||||||||
Agile Group Holdings Ltd. | ||||||||
200,000 | 5.500%, 04/21/2025 | 59,239 | ||||||
200,000 | 7.750%, 05/25/2025(d)(h) -1*5 year CMT + 11.083% | 40,090 | ||||||
400,000 | 6.050%, 10/13/2025 | 116,268 | ||||||
Agree L.P. | ||||||||
905,000 | 4.800%, 10/01/2032 | 807,888 | ||||||
Aircastle Ltd. | ||||||||
740,000 | 4.250%, 06/15/2026 | 664,837 | ||||||
175,000 | 5.250%, 06/15/2026(c)(d)(h) 5 year CMT + 4.410% | 132,141 | ||||||
Ally Financial, Inc. | ||||||||
995,000 | Series C 4.700%, 05/15/2028(d)(h) 7 year CMT + 3.481% | 711,425 | ||||||
Alpha Holding S.A. de C.V. | ||||||||
570,939 | 9.000%, 02/10/2025(c)(k) | 0 | ||||||
Antares Holdings L.P. | ||||||||
255,000 | 3.950%, 07/15/2026(c) | 218,412 | ||||||
450,000 | 2.750%, 01/15/2027(c) | 359,010 | ||||||
680,000 | 3.750%, 07/15/2027(c) | 551,961 | ||||||
Ares Capital Corp. | ||||||||
2,275,000 | 2.875%, 06/15/2028 | 1,790,851 | ||||||
660,000 | 3.200%, 11/15/2031 | 469,262 | ||||||
Athene Global Funding | ||||||||
1,280,000 | 1.716%, 01/07/2025(c) | 1,172,075 | ||||||
Aviation Capital Group LLC | ||||||||
135,000 | 1.950%, 01/30/2026(c) | 113,480 | ||||||
Bain Capital Specialty Finance, Inc. | ||||||||
450,000 | 2.550%, 10/13/2026 | 369,181 | ||||||
Banco Davivienda S.A. | ||||||||
300,000 | 6.650%, 04/22/2031(d)(h) 10 year CMT + 5.097% | 221,115 | ||||||
200,000 | 6.650%, 04/22/2031(c)(d)(h) 10 year CMT + 5.097% | 147,410 | ||||||
Banco GNB Sudameris S.A. | ||||||||
200,000 | 7.500%, 04/16/2031(h) 5 year CMT + 6.660% | 146,397 | ||||||
350,000 | 7.500%, 04/16/2031(c)(h) 5 year CMT + 6.660% | 256,195 | ||||||
Banco Hipotecario S.A. | ||||||||
| 4,014,680 (ARS) | | 73.125%, 11/07/2022(c)(g) BADLARPP + 4.000% | 10,860 | ||||
Banco Mercantil del Norte S.A. | ||||||||
350,000 | 6.625%, 01/24/2032(c)(d)(h) 10 year CMT + 5.034% | 281,225 | ||||||
Bank of America Corp. | ||||||||
1,530,000 | 1.843%, 02/04/2025(h) SOFR + 0.670% | 1,455,219 | ||||||
Barclays Plc | ||||||||
660,000 | 4.375%, 03/15/2028(d)(h) 5 year CMT + 3.410% | 408,408 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
$400,000 | 5.088%, 06/20/2030(h) 3 mo. USD LIBOR + 3.054% | $ | 348,117 | |||||
740,000 | 3.564%, 09/23/2035(h) 5 year CMT + 2.900% | 544,506 | ||||||
Barings BDC, Inc. | ||||||||
675,000 | 3.300%, 11/23/2026(c) | 561,028 | ||||||
Blackstone Secured Lending Fund | ||||||||
1,295,000 | 2.125%, 02/15/2027 | 1,046,596 | ||||||
Central China Real Estate Ltd. | ||||||||
230,000 | 7.650%, 08/27/2023 | 64,630 | ||||||
205,000 | 7.750%, 05/24/2024 | 52,244 | ||||||
200,000 | 7.250%, 07/16/2024 | 46,650 | ||||||
400,000 | 7.250%, 08/13/2024 | 94,447 | ||||||
205,000 | 7.500%, 07/14/2025 | 48,089 | ||||||
CFLD Cayman Investment Ltd. | ||||||||
400,000 | 9.000%, 07/31/2021 | 37,400 | ||||||
200,000 | 7.125%, 04/08/2022 | 18,396 | ||||||
China Aoyuan Group Ltd. | ||||||||
200,000 | 6.200%, 03/24/2026 | 15,099 | ||||||
China Evergrande Group | ||||||||
200,000 | 9.500%, 04/11/2022(k) | 14,260 | ||||||
200,000 | 8.750%, 06/28/2025 | 13,578 | ||||||
CIFI Holdings Group Co. Ltd. | ||||||||
200,000 | 4.450%, 08/17/2026 | 51,500 | ||||||
Credivalores-Crediservicios SAS | ||||||||
300,000 | 8.875%, 02/07/2025(c) | 124,650 | ||||||
Deutsche Bank AG | ||||||||
1,200,000 | 3.729%, 01/14/2032(h) SOFR + 2.757% | 809,270 | ||||||
Easy Tactic Ltd. | ||||||||
412,141 | 7.500%, 07/11/2027(e) PIK rate 7.500% | 61,772 | ||||||
Enstar Group Ltd. | ||||||||
2,500,000 | 3.100%, 09/01/2031 | 1,777,745 | ||||||
Fantasia Holdings Group Co. Ltd. | ||||||||
200,000 | 11.875%, 06/01/2023 | 17,500 | ||||||
FS KKR Capital Corp. | ||||||||
1,150,000 | 3.400%, 01/15/2026 | 1,016,209 | ||||||
455,000 | 3.125%, 10/12/2028 | 353,974 | ||||||
Global Atlantic Fin Co. | ||||||||
570,000 | 4.400%, 10/15/2029(c) | 484,288 | ||||||
GLP Capital L.P. / GLP Financing II, Inc. | ||||||||
3,503,000 | 3.250%, 01/15/2032 | 2,644,113 | ||||||
Goldman Sachs Group, Inc. (The) | ||||||||
1,530,000 | 1.757%, 01/24/2025(h) SOFR + 0.730% | 1,454,804 | ||||||
Host Hotels & Resorts L.P. | ||||||||
400,000 | Series J 2.900%, 12/15/2031 | 293,960 | ||||||
HSBC Holdings Plc | ||||||||
1,540,000 | 1.162%, 11/22/2024(h) SOFR + 0.580% | 1,456,162 | ||||||
Icahn Enterprises L.P. / Icahn Enterprises Finance Corp. | ||||||||
777,000 | 4.750%, 09/15/2024 | 727,686 | ||||||
165,000 | 6.375%, 12/15/2025 | 156,520 | ||||||
970,000 | 6.250%, 05/15/2026 | 902,783 | ||||||
2,113,000 | 5.250%, 05/15/2027 | 1,859,007 | ||||||
1,565,000 | 4.375%, 02/01/2029 | 1,263,581 | ||||||
Iron Mountain Information Management Services, Inc. | ||||||||
1,750,000 | 5.000%, 07/15/2032(c) | 1,357,400 | ||||||
Iron Mountain, Inc. | ||||||||
2,676,000 | 4.500%, 02/15/2031(c) | 2,073,659 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Financial (continued) | ||||||||
Jababeka International B.V. | ||||||||
$400,000 | 6.500%, 10/05/2023 | $ | 226,000 | |||||
Kaisa Group Holdings Ltd. | ||||||||
1,005,000 | 9.375%, 06/30/2024(k) | 109,746 | ||||||
200,000 | 10.500%, 01/15/2025 | 22,092 | ||||||
1,000,000 | 11.250%, 04/16/2025 | 111,740 | ||||||
200,000 | 9.950%, 07/23/2025 | 22,106 | ||||||
600,000 | 11.700%, 11/11/2025(k) | 66,084 | ||||||
400,000 | 11.650%, 06/01/2026 | 43,652 | ||||||
KWG Group Holdings Ltd. | ||||||||
210,000 | 6.300%, 02/13/2026 | 35,175 | ||||||
Life Storage L.P. | ||||||||
188,000 | 2.400%, 10/15/2031 | 141,401 | ||||||
Logan Group Co. Ltd. | ||||||||
200,000 | 4.250%, 07/12/2025 | 33,000 | ||||||
LPL Holdings, Inc. | ||||||||
800,000 | 4.000%, 03/15/2029(c) | 687,848 | ||||||
2,300,000 | 4.375%, 05/15/2031(c) | 1,908,092 | ||||||
Main Street Capital Corp. | ||||||||
793,000 | 3.000%, 07/14/2026 | 668,782 | ||||||
Mexarrend SAPI de C.V. | ||||||||
300,000 | 10.250%, 07/24/2024(c) | 88,766 | ||||||
National Health Investors, Inc. | ||||||||
100,000 | 3.000%, 02/01/2031 | 70,447 | ||||||
Nationstar Mortgage Holdings, Inc. | ||||||||
1,155,000 | 5.750%, 11/15/2031(c) | 849,150 | ||||||
Oaktree Specialty Lending Corp. | ||||||||
150,000 | 2.700%, 01/15/2027 | 126,273 | ||||||
Omega Healthcare Investors, Inc. | ||||||||
2,670,000 | 3.250%, 04/15/2033 | 1,886,664 | ||||||
OneMain Finance Corp. | ||||||||
635,000 | 3.500%, 01/15/2027 | 495,895 | ||||||
Operadora de Servicios Mega S.A. de C.V. Sofom ER | ||||||||
400,000 | 8.250%, 02/11/2025(c) | 233,049 | ||||||
Owl Rock Capital Corp. | ||||||||
500,000 | 2.875%, 06/11/2028 | 381,726 | ||||||
Owl Rock Technology Finance Corp. | ||||||||
105,000 | 2.500%, 01/15/2027 | 84,408 | ||||||
Prospect Capital Corp. | ||||||||
845,000 | 3.437%, 10/15/2028 | 616,285 | ||||||
Rithm Capital Corp. | ||||||||
1,200,000 | 6.250%, 10/15/2025(c) | 1,018,350 | ||||||
RKP Overseas Finance Ltd. | ||||||||
200,000 | 7.950%, 02/17/2023(d) | 61,550 | ||||||
RKPF Overseas Ltd. | ||||||||
300,000 | 7.750%, 11/18/2024(d)(h) 5 year CMT + 6.003% | 91,590 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. | ||||||||
2,430,000 | 2.875%, 10/15/2026(c) | 1,996,281 | ||||||
1,170,000 | 3.625%, 03/01/2029(c) | 897,712 | ||||||
25,000 | 3.875%, 03/01/2031(c) | 18,161 | ||||||
1,215,000 | 4.000%, 10/15/2033(c) | 837,219 | ||||||
Ronshine China Holdings Ltd. | ||||||||
200,000 | 7.350%, 12/15/2023(k) | 13,148 | ||||||
350,000 | 6.750%, 08/05/2024 | 23,221 | ||||||
Sabra Health Care L.P. | ||||||||
1,394,000 | 3.200%, 12/01/2031 | 1,025,776 | ||||||
SBA Communications Corp. | ||||||||
70,000 | 3.875%, 02/15/2027 | 62,629 | ||||||
3,128,000 | 3.125%, 02/01/2029 | 2,522,591 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Shimao Group Holdings Ltd. | ||||||||
$340,000 | 4.750%, 07/03/2022(k) | $ | 45,482 | |||||
Shimao Group Holdings Ltd. | ||||||||
200,000 | 5.200%, 01/16/2027 | 25,800 | ||||||
400,000 | 3.450%, 01/11/2031 | 47,632 | ||||||
Societe Generale S.A. | ||||||||
1,110,000 | 3.653%, 07/08/2035(c)(h) 5 year CMT + 3.000% | 841,482 | ||||||
Standard Chartered Plc | ||||||||
830,000 | 3.265%, 02/18/2036(c)(h) 5 year CMT + 2.300% | 610,342 | ||||||
Starwood Property Trust, Inc. | ||||||||
340,000 | 4.750%, 03/15/2025 | 309,502 | ||||||
1,602,000 | 3.625%, 07/15/2026(c) | 1,365,232 | ||||||
2,050,000 | 4.375%, 01/15/2027(c) | 1,750,803 | ||||||
Sunac China Holdings Ltd. | ||||||||
200,000 | 6.500%, 01/10/2025 | 28,200 | ||||||
200,000 | 7.000%, 07/09/2025 | 29,152 | ||||||
1,010,000 | 6.500%, 01/26/2026 | 143,405 | ||||||
Theta Capital Pte Ltd. | ||||||||
200,000 | 6.750%, 10/31/2026 | 128,500 | ||||||
Times China Holdings Ltd. | ||||||||
400,000 | 6.200%, 03/22/2026 | 45,388 | ||||||
200,000 | 5.750%, 01/14/2027 | 21,358 | ||||||
Unifin Financiera SAB de C.V. | ||||||||
600,000 | 8.875%, 01/29/2025(d) 5 year CMT + 6.308% | 21,000 | ||||||
VICI Properties L.P. | ||||||||
2,706,000 | 5.125%, 05/15/2032 | 2,404,591 | ||||||
VICI Properties L.P. / VICI Note Co., Inc. | ||||||||
270,000 | 5.625%, 05/01/2024(c) | 265,687 | ||||||
325,000 | 4.625%, 06/15/2025(c) | 306,166 | ||||||
370,000 | 4.500%, 09/01/2026(c) | 338,615 | ||||||
450,000 | 4.250%, 12/01/2026(c) | 406,639 | ||||||
Westpac Banking Corp. | ||||||||
1,525,000 | 1.019%, 11/18/2024 | 1,415,308 | ||||||
WP Carey, Inc. | ||||||||
922,000 | 2.450%, 02/01/2032 | 688,987 | ||||||
1,709,000 | 2.250%, 04/01/2033 | 1,216,745 | ||||||
Yuzhou Group Holdings Co. Ltd. | ||||||||
540,000 | 7.700%, 02/20/2025(k) | 37,271 | ||||||
500,000 | 8.300%, 05/27/2025(k) | 33,205 | ||||||
200,000 | 7.375%, 01/13/2026(k) | 13,990 | ||||||
710,000 | 7.850%, 08/12/2026(k) | 51,624 | ||||||
1,940,000 | 6.350%, 01/13/2027(k) | 138,885 | ||||||
Zhenro Properties Group Ltd. | ||||||||
400,000 | 6.630%, 01/07/2026 | 16,337 | ||||||
|
| |||||||
62,518,509 | ||||||||
|
| |||||||
Industrial: 1.7% | ||||||||
Artera Services LLC | ||||||||
150,000 | 9.033%, 12/04/2025(c) | 120,956 | ||||||
Boeing Co. (The) | ||||||||
1,085,000 | 2.196%, 02/04/2026 | 965,692 | ||||||
540,000 | 5.150%, 05/01/2030 | 499,533 | ||||||
235,000 | 3.375%, 06/15/2046 | 145,141 | ||||||
25,000 | 3.625%, 03/01/2048 | 15,618 | ||||||
295,000 | 3.900%, 05/01/2049 | 193,429 | ||||||
390,000 | 3.750%, 02/01/2050 | 255,000 | ||||||
80,000 | 3.825%, 03/01/2059 | 48,459 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Industrial (continued) | ||||||||
Cemex SAB de C.V. | ||||||||
$355,000 | 5.125%, 06/08/2026(c)(d)(h) 5 year CMT + 4.534% | $ | 287,108 | |||||
400,000 | 5.450%, 11/19/2029(c) | 358,228 | ||||||
620,000 | 5.200%, 09/17/2030(c) | 536,312 | ||||||
840,000 | 3.875%, 07/11/2031(c) | 662,300 | ||||||
Dycom Industries, Inc. | ||||||||
1,600,000 | 4.500%, 04/15/2029(c) | 1,351,589 | ||||||
Embraer Netherlands Finance B.V. | ||||||||
505,000 | 5.050%, 06/15/2025 | 481,338 | ||||||
Energizer Holdings, Inc. | ||||||||
519,000 | 6.500%, 12/31/2027(c) | 461,744 | ||||||
GMR Hyderabad International Airport Ltd. | ||||||||
735,000 | 5.375%, 04/10/2024 | 711,112 | ||||||
580,000 | 4.750%, 02/02/2026(c) | 522,725 | ||||||
Howmet Aerospace, Inc. | ||||||||
1,081,000 | 3.000%, 01/15/2029 | 884,604 | ||||||
HTA Group Ltd. | ||||||||
1,100,000 | 7.000%, 12/18/2025(c) | 963,809 | ||||||
IHS Holding Ltd. | ||||||||
365,000 | 5.625%, 11/29/2026(c) | 290,631 | ||||||
330,000 | 6.250%, 11/29/2028(c) | 254,958 | ||||||
Leonardo US Holdings, Inc. | ||||||||
438,000 | 6.250%, 01/15/2040(c) | 382,120 | ||||||
Mexico City Airport Trust | ||||||||
600,000 | 5.500%, 07/31/2047 | 375,741 | ||||||
OI European Group B.V. | ||||||||
300,000 | 4.750%, 02/15/2030(c) | 239,209 | ||||||
PGT Innovations, Inc. | ||||||||
1,000,000 | 4.375%, 10/01/2029(c) | 821,812 | ||||||
Roller Bearing Co. of America, Inc. | ||||||||
1,396,000 | 4.375%, 10/15/2029(c) | 1,170,895 | ||||||
Simpar Europe S.A. | ||||||||
300,000 | 5.200%, 01/26/2031 | 211,976 | ||||||
Teledyne Technologies, Inc. | ||||||||
400,000 | 2.750%, 04/01/2031 | 315,901 | ||||||
TransDigm, Inc. | ||||||||
245,000 | 8.000%, 12/15/2025(c) | 248,856 | ||||||
2,161,000 | 4.875%, 05/01/2029 | 1,750,410 | ||||||
Triumph Group, Inc. | ||||||||
345,000 | 6.250%, 09/15/2024(c) | 314,899 | ||||||
150,000 | 7.750%, 08/15/2025 | 115,014 | ||||||
TTM Technologies, Inc. | ||||||||
1,350,000 | 4.000%, 03/01/2029(c) | 1,089,990 | ||||||
Waste Connections, Inc. | ||||||||
1,678,000 | 2.200%, 01/15/2032 | 1,300,364 | ||||||
912,000 | 3.200%, 06/01/2032 | 764,616 | ||||||
1,100,000 | 4.200%, 01/15/2033 | 996,801 | ||||||
|
| |||||||
20,108,890 | ||||||||
|
| |||||||
Technology: 1.3% | ||||||||
Amdocs Ltd. | ||||||||
502,000 | 2.538%, 06/15/2030 | 400,699 | ||||||
Booz Allen Hamilton, Inc. | ||||||||
4,000,000 | 4.000%, 07/01/2029(c) | 3,428,222 | ||||||
Broadcom, Inc. | ||||||||
685,000 | 4.150%, 11/15/2030 | 593,655 | ||||||
1,250,000 | 3.469%, 04/15/2034(c) | 939,592 | ||||||
145,000 | 3.137%, 11/15/2035(c) | 101,845 | ||||||
Broadridge Financial Solutions, Inc. | ||||||||
1,000,000 | 2.600%, 05/01/2031 | 793,275 |
Principal Amount^ | Value | |||||||
Technology (continued) | ||||||||
Castle US Holding Corp. | ||||||||
$850,000 | 9.500%, 02/15/2028(c) | $ | 630,896 | |||||
CDW LLC / CDW Finance Corp. | ||||||||
115,000 | 4.250%, 04/01/2028 | 102,754 | ||||||
CDW LLC / CDW Finance Corp. | ||||||||
430,000 | 2.670%, 12/01/2026 | 373,650 | ||||||
1,370,000 | 3.250%, 02/15/2029 | 1,114,366 | ||||||
400,000 | 3.569%, 12/01/2031 | 312,944 | ||||||
CWT Travel Group, Inc. | ||||||||
124,674 | 8.500%, 11/19/2026(c) | 107,843 | ||||||
Fair Isaac Corp. | ||||||||
4,100,000 | 4.000%, 06/15/2028(c) | 3,502,179 | ||||||
KBR, Inc. | ||||||||
927,000 | 4.750%, 09/30/2028(c) | 799,044 | ||||||
MSCI, Inc. | ||||||||
480,000 | 3.625%, 09/01/2030(c) | 395,564 | ||||||
Oracle Corp. | ||||||||
765,000 | 3.950%, 03/25/2051 | 508,875 | ||||||
Virtusa Corp. | ||||||||
435,000 | 7.125%, 12/15/2028(c) | 321,182 | ||||||
Western Digital Corp. | ||||||||
420,000 | 4.750%, 02/15/2026 | 389,147 | ||||||
585,000 | 2.850%, 02/01/2029 | 458,957 | ||||||
|
| |||||||
15,274,689 | ||||||||
|
| |||||||
Utilities: 0.7% | ||||||||
AmeriGas Partners L.P. / AmeriGas Finance Corp. | ||||||||
1,300,000 | 5.875%, 08/20/2026 | 1,179,843 | ||||||
Edison International | ||||||||
675,000 | Series A 5.375%, 03/15/2026(d)(h) 5 year CMT + 4.698% | 561,094 | ||||||
Emera US Finance L.P. | ||||||||
4,500,000 | 2.639%, 06/15/2031 | 3,506,559 | ||||||
Empresas Publicas de Medellin ESP | ||||||||
400,000 | 4.375%, 02/15/2031 | 281,826 | ||||||
EnfraGen Energia Sur S.A. / EnfraGen Spain S.A. / Prime Energia S.p.A. | ||||||||
400,000 | 5.375%, 12/30/2030 | 238,688 | ||||||
FEL Energy VI Sarl | ||||||||
376,755 | 5.750%, 12/01/2040 | 258,650 | ||||||
Guacolda Energia S.A. | ||||||||
300,000 | 4.560%, 04/30/2025 | 103,770 | ||||||
Instituto Costarricense | ||||||||
200,000 | 6.375%, 05/15/2043 | 140,651 | ||||||
LLPL Capital Pte Ltd. | ||||||||
469,260 | 6.875%, 02/04/2039 | 378,355 | ||||||
Mong Duong Finance Holdings B.V. | ||||||||
250,000 | 5.125%, 05/07/2029 | 196,764 | ||||||
National Fuel Gas Co. | ||||||||
1,100,000 | 2.950%, 03/01/2031 | 859,875 | ||||||
NRG Energy, Inc. | ||||||||
540,000 | 5.750%, 01/15/2028 | 500,465 | ||||||
Pacific Gas and Electric Co. | ||||||||
165,000 | 5.450%, 06/15/2027 | 155,741 | ||||||
300,000 | 4.300%, 03/15/2045 | 199,944 | ||||||
35,000 | 4.950%, 07/01/2050 | 25,718 | ||||||
180,000 | 3.500%, 08/01/2050 | 109,994 | ||||||
|
| |||||||
8,697,937 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 265,801,412 | ||||||
|
|
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
GOVERNMENT SECURITIES & AGENCY ISSUE: 1.9% | ||||||||
Brazilian Government International Bond | ||||||||
$700,000 | 4.750%, 01/14/2050 | $ | 479,468 | |||||
Colombia Government International Bond | ||||||||
500,000 | 5.000%, 06/15/2045 | 304,624 | ||||||
300,000 | 5.200%, 05/15/2049 | 186,296 | ||||||
Dominican Republic International Bonds | ||||||||
250,000 | 5.875%, 01/30/2060 | 166,013 | ||||||
Financiera de Desarrollo Territorial S.A. | ||||||||
| 3,329,000,000 (COP) | | 7.875%, 08/12/2024(c) | 654,411 | ||||
Mexico Government International Bond | ||||||||
300,000 | 4.400%, 02/12/2052 | 208,409 | ||||||
Provincia de Buenos Aires Government Bonds | ||||||||
| 15,545,000 (ARS) | | 62.098%, 04/12/2025(c) BADLARPP + 3.750% | 45,369 | ||||
Republic of South Africa Government International Bond | ||||||||
500,000 | 5.650%, 09/27/2047 | 322,827 | ||||||
Ukraine Government International Bond | ||||||||
400,000 | 7.253%, 03/15/2035 | 75,406 | ||||||
United States Treasury Bond | ||||||||
10,450,000 | 1.625%, 11/15/2050 | 6,492,879 | ||||||
United States Treasury Note | ||||||||
3,260,000 | 1.250%, 07/31/2023 | 3,181,303 | ||||||
2,690,000 | 0.125%, 08/15/2023 | 2,595,855 | ||||||
5,395,000 | 0.125%, 08/31/2023 | 5,195,869 | ||||||
2,645,000 | 1.375%, 08/31/2023(b) | 2,576,810 | ||||||
|
| |||||||
| TOTAL GOVERNMENT SECURITIES & | 22,485,539 | ||||||
|
| |||||||
LIMITED PARTNERSHIPS: 0.2% | ||||||||
35,594 | GACP II L.P.(a) | 852,479 | ||||||
1,300,000 | U.S. Farming Realty Trust II L.P.(a) | 1,106,251 | ||||||
|
| |||||||
| TOTAL LIMITED PARTNERSHIPS | 1,958,730 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES: 12.7% | ||||||||
Adjustable Rate Mortgage Trust | ||||||||
249,608 | Series 2006-1-2A1 3.735%, 03/25/2036(h) | 155,117 | ||||||
Alternative Loan Trust | ||||||||
79,540 | Series 2003-22CB-1A1 5.750%, 12/25/2033 | 76,336 | ||||||
288,772 | Series 2004-13CB-A4 0.000%, 07/25/2034(j)(l) | 210,672 | ||||||
43,848 | Series 2004-16CB-1A1 5.500%, 07/25/2034 | 41,607 | ||||||
43,857 | Series 2004-16CB-3A1 5.500%, 08/25/2034 | 42,070 | ||||||
93,066 | Series 2004-J10-2CB1 6.000%, 09/25/2034 | 87,813 | ||||||
19,585 | Series 2005-J1-2A1 5.500%, 02/25/2025 | 18,930 |
Principal Amount^ | Value | |||||||
$2,034,604 | Series 2006-13T1-A13 6.000%, 05/25/2036 | $ | 999,270 | |||||
321,006 | Series 2006-31CB-A7 6.000%, 11/25/2036 | 202,464 | ||||||
435,333 | Series 2006-J1-2A1 7.000%, 02/25/2036 | 75,847 | ||||||
172,882 | Series 2007-16CB-2A1 3.534%, 08/25/2037(g) 1 mo. USD LIBOR + 0.450% | 55,976 | ||||||
50,062 | Series 2007-16CB-2A2 28.883%, 08/25/2037(g) -8.333*1 mo. USD LIBOR + 54.583% | 62,404 | ||||||
2,533,268 | Series 2007-16CB-4A1 3.484%, 08/25/2037(g) 1 mo. USD LIBOR + 0.400% | 1,805,002 | ||||||
405,364 | Series 2007-16CB-4A2 21.096%, 08/25/2037(g) -6*1 mo. USD LIBOR + 39.600% | 494,838 | ||||||
323,598 | Series 2007-19-1A34 6.000%, 08/25/2037 | 174,565 | ||||||
909,650 | Series 2007-20-A12 6.250%, 08/25/2047 | 530,466 | ||||||
1,793,640 | Series 2007-HY2-1A 2.984%, 03/25/2047(h) | 1,660,498 | ||||||
Alternative Loan Trust Resecuritization | ||||||||
415,283 | Series 2008-2R-2A1 0.188%, 08/25/2037(h) | 220,665 | ||||||
2,970,601 | Series 2008-2R-4A1 6.250%, 08/25/2037(h) | 1,689,219 | ||||||
American Home Mortgage Investment Trust | ||||||||
195,984 | Series 2006-1-11A1 3.364%, 03/25/2046(g) 1 mo. USD LIBOR + 0.280% | 175,598 | ||||||
AREIT Trust CLO | ||||||||
1,000,000 | Series 2019-CRE3-D 5.686%, 09/14/2036(c)(g) TSFR1M + 2.764% | 964,925 | ||||||
Banc of America Alternative Loan Trust | ||||||||
34,666 | Series 2003-8-1CB1 5.500%, 10/25/2033 | 32,582 | ||||||
514,350 | Series 2006-7-A4 6.498%, 10/25/2036(f) | 156,522 | ||||||
Banc of America Funding Trust | ||||||||
23,980 | Series 2005-7-3A1 5.750%, 11/25/2035 | 23,324 | ||||||
228,429 | Series 2006-B-7A1 2.605%, 03/20/2036(h) | 195,151 | ||||||
2,080,917 | Series 2007-1-TA4 6.590%, 01/25/2037(f) | 1,837,294 | ||||||
23,083 | Series 2007-4-5A1 5.500%, 11/25/2034 | 20,895 | ||||||
Banc of America Mortgage Trust | ||||||||
8,861 | Series 2005-A-2A1 2.540%, 02/25/2035(h) | 8,321 | ||||||
BBCMS Trust | ||||||||
750,000 | Series 2018-CBM-E 6.368%, 07/15/2037(c)(g) 1 mo. USD LIBOR + 3.550% | 711,782 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
BCAP LLC Trust | ||||||||
$126,358 | Series 2010-RR6-6A2 9.300%, 07/26/2037(c)(h) | $ | 65,989 | |||||
1,871,470 | Series 2011-R11-2A4 5.500%, 12/26/2035(c) | 1,245,798 | ||||||
Bear Stearns Adjustable Rate Mortgage Trust | ||||||||
1,689,596 | Series 2005-12-25A1 2.944%, 02/25/2036(h) | 1,311,660 | ||||||
Bear Stearns Asset-Backed Securities I Trust | ||||||||
397,689 | Series 2006-AC1-1A1 6.250%, 02/25/2036(f) | 216,849 | ||||||
Benchmark Mortgage Trust | ||||||||
547,000 | Series 2020-B18-AGNF 4.139%, 07/15/2053(c) | 457,382 | ||||||
1,637,000 | Series 2021-B31-E 2.250%, 12/15/2054(c) | 895,440 | ||||||
BF Mortgage Trust | ||||||||
666,000 | Series 2019-NYT-F 5.818%, 12/15/2035(c)(g) 1 mo. USD LIBOR + 3.000% | 576,344 | ||||||
BINOM Securitization Trust | ||||||||
530,000 | Series 2022-RPL1-M1 3.000%, 02/25/2061(c)(h) | 453,558 | ||||||
BPR Trust | ||||||||
465,000 | Series 2021-NRD-F 9.792%, 12/15/2023(c)(g) TSFR1M + 6.870% | 435,536 | ||||||
BX Commercial Mortgage Trust | ||||||||
1,274,000 | Series 2019-IMC-G 6.418%, 04/15/2034(c)(g) 1 mo. USD LIBOR + 3.600% | 1,175,089 | ||||||
Carbon Capital VI Commercial Mortgage Trust | ||||||||
343,565 | Series 2019-FL2-B 5.668%, 10/15/2035(c)(g) 1 mo. USD LIBOR + 2.850% | 337,167 | ||||||
CFCRE Commercial Mortgage Trust | ||||||||
16,323,000 | Series 2016-C7-XE 1.077%, 12/10/2054(c)(h)(m) | 544,140 | ||||||
7,346,000 | Series 2016-C7-XF 1.077%, 12/10/2054(c)(h)(m) | 238,577 | ||||||
CG-CCRE Commercial Mortgage Trust | ||||||||
101,589 | Series 2014-FL2-COL1 6.318%, 11/15/2031(c)(g) 1 mo. USD LIBOR + 3.500% | 86,797 | ||||||
198,340 | Series 2014-FL2-COL2 7.318%, 11/15/2031(c)(g) 1 mo. USD LIBOR + 4.500% | 142,937 | ||||||
Chase Mortgage Finance Trust | ||||||||
1,302,689 | Series 2007-S3-1A15 6.000%, 05/25/2037 | 672,104 | ||||||
CIM Trust | ||||||||
424,331 | Series 2021-NR2-A1 2.568%, 07/25/2059(c)(f) | 401,868 | ||||||
Citicorp Mortgage Securities Trust | ||||||||
1,604,625 | Series 2006-7-1A1 6.000%, 12/25/2036 | 1,333,993 |
Principal Amount^ | Value | |||||||
Citigroup Commercial Mortgage Trust | ||||||||
$870,000 | Series 2014-GC21-D 5.110%, 05/10/2047(c)(h) | $ | 781,539 | |||||
1,497,000 | Series 2018-TBR-F 6.468%, 12/15/2036(c)(g) 1 mo. USD LIBOR + 3.650% | 1,403,765 | ||||||
Citigroup Mortgage Loan Trust, Inc. | ||||||||
155,845 | Series 2005-5-2A2 5.750%, 08/25/2035 | 107,103 | ||||||
1,907,897 | Series 2005-5-3A2A 3.422%, 10/25/2035(h) | 1,210,022 | ||||||
1,865,070 | Series 2011-12-1A2 3.252%, 04/25/2036(c)(h) | 1,175,843 | ||||||
CitiMortgage Alternative Loan Trust | ||||||||
154,241 | Series 2006-A5-1A13 3.534%, 10/25/2036(g) 1 mo. USD LIBOR + 0.450% | 129,628 | ||||||
151,694 | Series 2006-A5-1A2 3.466%, 10/25/2036(g)(m) -1*1 mo. USD LIBOR + 6.550% | 9,848 | ||||||
1,381,406 | Series 2007-A6-1A5 6.000%, 06/25/2037 | 1,224,776 | ||||||
COMM Mortgage Trust | ||||||||
460,000 | Series 2012-CR3-B 3.922%, 10/15/2045(c) | 429,755 | ||||||
40,000 | Series 2012-LC4-C 5.454%, 12/10/2044(h) | 39,609 | ||||||
1,868,035 | Series 2014-UBS4-F 3.750%, 08/10/2047(c) | 419,837 | ||||||
3,204,626 | Series 2014-UBS4-G 3.750%, 08/10/2047(c) | 229,784 | ||||||
7,000 | Series 2014-UBS4-V 0.000%, 08/10/2047(c)(h) | 1 | ||||||
1,989,000 | Series 2018-HCLV-D 5.095%, 09/15/2033(c)(g) 1 mo. USD LIBOR + 2.177% | 1,761,865 | ||||||
Connecticut Avenue Securities Trust | ||||||||
108,637 | Series 2020-R01-1M2 5.134%, 01/25/2040(c)(g) 1 mo. USD LIBOR + 2.050% | 107,130 | ||||||
170,000 | Series 2021-R01-1B1 5.381%, 10/25/2041(c)(g) SOFR 30-day + 3.100% | 154,275 | ||||||
1,000,000 | Series 2022-R03-1B2 12.131%, 03/25/2042(c)(g) SOFR 30-day + 9.850% | 965,203 | ||||||
332,896 | Series 2022-R06 1M1 5.031%, 05/25/2042(c)(g) SOFR 30-day + 2.750% | 332,276 | ||||||
Countrywide Home Loan GMSR Issuer Trust | ||||||||
1,980,000 | Series 2018-GT1-A 5.834%, 05/25/2023(c)(g) 1 mo. USD LIBOR + 2.750% | 1,949,021 | ||||||
Countrywide Home Loan Mortgage Pass-Through Trust | ||||||||
4,974 | Series 2004-HYB4-2A1 3.865%, 09/20/2034(h) | 4,622 | ||||||
453,441 | Series 2005-23-A1 5.500%, 11/25/2035 | 267,327 | ||||||
1,975,603 | Series 2006-9-A1 6.000%, 05/25/2036 | 1,016,741 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Countrywide Home Loan Mortgage Pass-Through Trust (continued) | ||||||||
$117,437 | Series 2007-10-A5 6.000%, 07/25/2037 | $ | 63,434 | |||||
473,726 | Series 2007-13-A5 6.000%, 08/25/2037 | 261,387 | ||||||
Credit Suisse First Boston Mortgage Securities Corp. | ||||||||
1,030,024 | Series 2005-11-7A1 6.000%, 12/25/2035 | 600,992 | ||||||
Credit Suisse First Boston Mortgage- Backed Pass-Through Certificates | ||||||||
30,912 | Series 2003-27-4A4 5.750%, 11/25/2033 | 29,596 | ||||||
2,278,690 | Series 2005-10-10A3 6.000%, 11/25/2035 | 730,099 | ||||||
Credit Suisse Mortgage-Backed Trust | ||||||||
646,322 | Series 2006-6-1A10 6.000%, 07/25/2036 | 358,853 | ||||||
650,041 | Series 2007-1-4A1 6.500%, 02/25/2022 | 85,671 | ||||||
31,421 | Series 2007-2-2A5 5.000%, 03/25/2037 | 25,395 | ||||||
635,000 | Series 2014-USA-D 4.373%, 09/15/2037(c) | 506,526 | ||||||
1,475,000 | Series 2014-USA-E 4.373%, 09/15/2037(c) | 1,096,870 | ||||||
309,821 | Series 2020-RPL3-A1 2.691%, 03/25/2060(c)(h) | 299,632 | ||||||
1,100,000 | Series 2021-NQM1-B2 3.831%, 05/25/2065(c)(h) | 823,355 | ||||||
490,000 | Series 2021-RPL1-A2 3.937%, 09/27/2060(c) | 461,170 | ||||||
DBUBS Mortgage Trust | ||||||||
310,000 | Series 2017-BRBK-D 3.648%, 10/10/2034(c)(h) | 281,953 | ||||||
Deephaven Residential Mortgage Trust | ||||||||
4,711,000 | Series 2020-2-B3 5.859%, 05/25/2065(c)(h) | 4,541,459 | ||||||
Deutsche Mortgage & Asset Receiving Corp. | ||||||||
1,904,392 | Series 2014-RS1-1A2 6.557%, 07/27/2037(c)(h) | 1,525,373 | ||||||
Deutsche Mortgage Securities, Inc. Mortgage Loan Trust | ||||||||
77,595 | Series 2006-PR1-3A1 8.179%, 04/15/2036(c)(g) -1.4*1 mo. USD LIBOR + 12.124% | 72,765 | ||||||
DOLP Trust | ||||||||
500,000 | Series 2021-NYC-F 3.704%, 05/10/2041(c)(h) | 341,571 | ||||||
500,000 | Series 2021-NYC-G 3.704%, 05/10/2041(c)(h) | 321,017 | ||||||
DSLA Mortgage Loan Trust | ||||||||
91,822 | Series 2005-AR5-2A1A 3.653%, 09/19/2045(g) 1 mo. USD LIBOR + 0.660% | 59,927 |
Principal Amount^ | Value | |||||||
Federal Home Loan Mortgage Corp. REMICS | ||||||||
$361,329 | Series 3118-SD 3.882%, 02/15/2036(g)(m) -1*1 mo. USD LIBOR + 6.700% | $ | 27,909 | |||||
116,986 | Series 3301-MS 3.282%, 04/15/2037(g)(m) -1*1 mo. USD LIBOR + 6.100% | 9,425 | ||||||
160,087 | Series 3303-SE 3.262%, 04/15/2037(g)(m) -1*1 mo. USD LIBOR + 6.080% | 12,284 | ||||||
102,487 | Series 3303-SG 3.282%, 04/15/2037(g)(m) -1*1 mo. USD LIBOR + 6.100% | 6,120 | ||||||
22,521 | Series 3382-SB 3.182%, 11/15/2037(g)(m) -1*1 mo. USD LIBOR + 6.000% | 1,521 | ||||||
144,004 | Series 3382-SW 3.482%, 11/15/2037(g)(m) -1*1 mo. USD LIBOR + 6.300% | 11,475 | ||||||
33,568 | Series 3384-S 3.572%, 11/15/2037(g)(m) -1*1 mo. USD LIBOR + 6.390% | 2,122 | ||||||
97,420 | Series 3384-SG 3.492%, 08/15/2036(g)(m) -1*1 mo. USD LIBOR + 6.310% | 8,535 | ||||||
1,296,158 | Series 3404-SA 3.182%, 01/15/2038(g)(m) -1*1 mo. USD LIBOR + 6.000% | 103,707 | ||||||
23,814 | Series 3417-SX 3.362%, 02/15/2038(g)(m) -1*1 mo. USD LIBOR + 6.180% | 1,626 | ||||||
32,007 | Series 3423-GS 2.832%, 03/15/2038(g)(m) -1*1 mo. USD LIBOR + 5.650% | 1,789 | ||||||
245,534 | Series 3423-TG 0.350%, 03/15/2038(g)(m) -1*1 mo. USD LIBOR + 6.000% | 1,182 | ||||||
1,473,675 | Series 3435-S 3.162%, 04/15/2038(g)(m) -1*1 mo. USD LIBOR + 5.980% | 125,842 | ||||||
39,891 | Series 3445-ES 3.182%, 05/15/2038(g)(m) -1*1 mo. USD LIBOR + 6.000% | 2,327 | ||||||
223,541 | Series 3523-SM 3.182%, 04/15/2039(g)(m) -1*1 mo. USD LIBOR + 6.000% | 15,336 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal Home Loan Mortgage Corp. REMICS (continued) | ||||||||
$117,991 | Series 3560-KS 3.582%, 11/15/2036(g)(m) -1*1 mo. USD LIBOR + 6.400% | $ | 5,474 | |||||
51,583 | Series 3598-SA 3.532%, 11/15/2039(g)(m) -1*1 mo. USD LIBOR + 6.350% | 3,464 | ||||||
66,754 | Series 3641-TB 4.500%, 03/15/2040 | 65,827 | ||||||
183,751 | Series 3728-SV 1.632%, 09/15/2040(g)(m) -1*1 mo. USD LIBOR + 4.450% | 6,369 | ||||||
122,174 | Series 3758-S 3.212%, 11/15/2040(g)(m) -1*1 mo. USD LIBOR + 6.030% | 9,866 | ||||||
259,439 | Series 3770-SP 3.682%, 11/15/2040(g)(m) -1*1 mo. USD LIBOR + 6.500% | 5,645 | ||||||
171,899 | Series 3815-ST 3.032%, 02/15/2041(g)(m) -1*1 mo. USD LIBOR + 5.850% | 14,189 | ||||||
358,359 | Series 3859-SI 3.782%, 05/15/2041(g)(m) -1*1 mo. USD LIBOR + 6.600% | 32,634 | ||||||
98,193 | Series 3872-SL 3.132%, 06/15/2041(g)(m) -1*1 mo. USD LIBOR + 5.950% | 5,661 | ||||||
82,813 | Series 3900-SB 3.152%, 07/15/2041(g)(m) -1*1 mo. USD LIBOR + 5.970% | 4,514 | ||||||
14,996 | Series 3946-SM 6.247%, 10/15/2041(g) -3*1 mo. USD LIBOR + 14.700% | 11,434 | ||||||
233,996 | Series 3972-AZ 3.500%, 12/15/2041 | 210,738 | ||||||
1,422,651 | Series 3984-DS 3.132%, 01/15/2042(g)(m) -1*1 mo. USD LIBOR + 5.950% | 103,943 | ||||||
2,853,674 | Series 4080-DS 3.882%, 03/15/2041(g)(m) -1*1 mo. USD LIBOR + 6.700% | 190,331 | ||||||
1,358,240 | Series 4239-OU 0.000%, 07/15/2043(j)(l) | 787,889 | ||||||
1,519,011 | Series 4291-MS 3.082%, 01/15/2054(g)(m) -1*1 mo. USD LIBOR + 5.900% | 123,869 | ||||||
533,344 | Series 4314-MS 3.282%, 07/15/2043(g)(m) -1*1 mo. USD LIBOR + 6.100% | 19,762 | ||||||
7,339,436 | Series 5057-TI 3.000%, 11/25/2050(m) | 1,185,554 | ||||||
6,346,238 | Series 5070-MI 3.500%, 02/25/2051(m) | 1,015,048 |
Principal Amount^ | Value | |||||||
Federal Home Loan Mortgage Corp. Structured Agency Credit Risk Debt Notes REMIC | ||||||||
$200,000 | Series 2021-DNA7-M2 4.081%, 11/25/2041(c)(g) SOFR 30-day + 1.800% | $ | 186,603 | |||||
255,342 | Series 2022-DNA4 M1A 4.481%, 05/25/2042(c)(g) SOFR 30-day + 2.200% | 253,211 | ||||||
Federal National Mortgage Association | ||||||||
23,660,860 | Series 2019-M25-X 0.221%, 11/25/2029(h)(m) | 202,594 | ||||||
26,387,662 | Series 2019-M5-X 0.631%, 02/25/2029(h)(m) | 537,073 | ||||||
24,510,828 | Series 2021-M23-X1 0.672%, 11/01/2031(h)(m) | 560,656 | ||||||
Federal National Mortgage Association REMICS | ||||||||
161,190 | Series 2003-84-PZ 5.000%, 09/25/2033 | 161,287 | ||||||
219,971 | Series 2005-42-SA 3.716%, 05/25/2035(g)(m) -1*1 mo. USD LIBOR + 6.800% | 5,718 | ||||||
1,232,757 | Series 2006-92-LI 3.496%, 10/25/2036(g)(m) -1*1 mo. USD LIBOR + 6.580% | 100,435 | ||||||
341,569 | Series 2007-39-AI 3.036%, 05/25/2037(g)(m) -1*1 mo. USD LIBOR + 6.120% | 25,029 | ||||||
96,539 | Series 2007-57-SX 3.536%, 10/25/2036(g)(m) -1*1 mo. USD LIBOR + 6.620% | 8,766 | ||||||
18,558 | Series 2007-68-SA 3.566%, 07/25/2037(g)(m) -1*1 mo. USD LIBOR + 6.650% | 1,489 | ||||||
22,718 | Series 2008-1-CI 3.216%, 02/25/2038(g)(m) -1*1 mo. USD LIBOR + 6.300% | 1,956 | ||||||
973,658 | Series 2008-33-SA 2.916%, 04/25/2038(g)(m) -1*1 mo. USD LIBOR + 6.000% | 74,472 | ||||||
11,150 | Series 2008-56-SB 2.976%, 07/25/2038(g)(m) -1*1 mo. USD LIBOR + 6.060% | 509 | ||||||
1,884,986 | Series 2009-110-SD 3.166%, 01/25/2040(g)(m) -1*1 mo. USD LIBOR + 6.250% | 138,032 | ||||||
18,359 | Series 2009-111-SE 3.166%, 01/25/2040(g)(m) -1*1 mo. USD LIBOR + 6.250% | 1,753 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Federal National Mortgage Association REMICS (continued) | ||||||||
$146,445 | Series 2009-86-CI 2.716%, 09/25/2036(g)(m) -1*1 mo. USD LIBOR + 5.800% | $ | 7,115 | |||||
63,724 | Series 2009-87-SA 2.916%, 11/25/2049(g)(m) -1*1 mo. USD LIBOR + 6.000% | 7,087 | ||||||
31,215 | Series 2009-90-IB 2.636%, 04/25/2037(g)(m) -1*1 mo. USD LIBOR + 5.720% | 1,501 | ||||||
29,197 | Series 2010-11-SC 1.716%, 02/25/2040(g)(m) -1*1 mo. USD LIBOR + 4.800% | 667 | ||||||
22,827 | Series 2010-115-SD 3.516%, 11/25/2039(g)(m) -1*1 mo. USD LIBOR + 6.600% | 2,158 | ||||||
1,901,646 | Series 2010-123-SK 2.966%, 11/25/2040(g)(m) -1*1 mo. USD LIBOR + 6.050% | 175,499 | ||||||
182,994 | Series 2010-134-SE 3.566%, 12/25/2025(g)(m) -1*1 mo. USD LIBOR + 6.650% | 3,620 | ||||||
122,735 | Series 2010-15-SL 1.866%, 03/25/2040(g)(m) -1*1 mo. USD LIBOR + 4.950% | 6,256 | ||||||
31,378 | Series 2010-9-GS 1.666%, 02/25/2040(g)(m) -1*1 mo. USD LIBOR + 4.750% | 927 | ||||||
6,420 | Series 2011-110-LS 4.972%, 11/25/2041(g) -2*1 mo. USD LIBOR + 10.100% | 4,626 | ||||||
63,714 | Series 2011-111-VZ 4.000%, 11/25/2041 | 60,329 | ||||||
306,571 | Series 2011-141-PZ 4.000%, 01/25/2042 | 294,742 | ||||||
9,077 | Series 2011-5-PS 3.316%, 11/25/2040(g)(m) -1*1 mo. USD LIBOR + 6.400% | 86 | ||||||
1,302,859 | Series 2011-93-ES 3.416%, 09/25/2041(g)(m) -1*1 mo. USD LIBOR + 6.500% | 103,558 | ||||||
799,317 | Series 2012-106-SA 3.076%, 10/25/2042(g)(m) -1*1 mo. USD LIBOR + 6.160% | 68,367 | ||||||
1,906,459 | Series 2014-50-WS 3.116%, 08/25/2044(g)(m) -1*1 mo. USD LIBOR + 6.200% | 132,664 |
Principal Amount^ | Value | |||||||
$7,127,223 | Series 2019-31-S 2.966%, 07/25/2049(g)(m) -1*1 mo. USD LIBOR + 6.050% | $ | 681,297 | |||||
18,775,551 | Series 2019-M12-X 0.699%, 06/25/2029(h)(m) | 412,634 | ||||||
8,188,981 | Series 2019-M24-2XA 1.265%, 03/25/2031(h)(m) | 348,177 | ||||||
21,753,028 | Series 2019-M7-X 0.440%, 04/25/2029(h)(m) | 323,755 | ||||||
27,103,842 | Series 2020-M10-X4 0.987%, 07/25/2032(h)(m) | 1,672,386 | ||||||
26,222,026 | Series 2020-M10-X9 0.886%, 12/25/2027(h)(m) | 756,516 | ||||||
7,354,883 | Series 2020-M13-X2 1.391%, 09/25/2030(h)(m) | 268,250 | ||||||
12,777,207 | Series 2020-M6-X 1.384%, 10/25/2024(h)(m) | 187,558 | ||||||
67,855,000 | Series 2022-M4-X2 0.266%, 05/25/2030(h)(m) | 855,017 | ||||||
First Horizon Alternative Mortgage Securities Trust | ||||||||
607,736 | Series 2006-FA6-1A4 6.250%, 11/25/2036 | 315,926 | ||||||
217,224 | Series 2007-FA4-1A7 6.000%, 08/25/2037 | 96,415 | ||||||
First Horizon Mortgage Pass-Through Trust | ||||||||
107,169 | Series 2006-1-1A10 6.000%, 05/25/2036 | 56,934 | ||||||
Fontainebleau Miami Beach Trust | ||||||||
574,000 | Series 2019-FBLU H 4.095%, 12/10/2036(c)(h) | 500,184 | ||||||
FREMF Mortgage Trust | ||||||||
1,500,063 | Series 2016-KF14-B 11.353%, 01/25/2023(c)(g) 1 mo. USD LIBOR + 8.800% | 1,535,824 | ||||||
GCAT Trust | ||||||||
48,807 | Series 2019-RPL1-A1 2.650%, 10/25/2068(c)(h) | 46,270 | ||||||
Government National Mortgage Association | ||||||||
376,571 | Series 2007-21-S 3.261%, 04/16/2037(g)(m) -1*1 mo. USD LIBOR + 6.200% | 21,500 | ||||||
125,818 | Series 2008-69-SB 4.616%, 08/20/2038(g)(m) -1*1 mo. USD LIBOR + 7.630% | 10,984 | ||||||
145,323 | Series 2009-104-SD 3.411%, 11/16/2039(g)(m) -1*1 mo. USD LIBOR + 6.350% | 11,568 | ||||||
16,187 | Series 2010-98-IA 5.542%, 03/20/2039(h)(m) | 1,163 | ||||||
203,319 | Series 2011-45-GZ 4.500%, 03/20/2041 | 195,026 | ||||||
69,214 | Series 2011-69-OC 0.000%, 05/20/2041(j)(l) | 57,090 | ||||||
1,404,796 | Series 2011-69-SC 2.366%, 05/20/2041(g)(m) -1*1 mo. USD LIBOR + 5.380% | 94,289 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Government National Mortgage Association (continued) | ||||||||
$247,829 | Series 2011-89-SA 2.436%, 06/20/2041(g)(m) -1*1 mo. USD LIBOR + 5.450% | $ | 18,106 | |||||
862,327 | Series 2013-102-BS 3.136%, 03/20/2043(g)(m) -1*1 mo. USD LIBOR + 6.150% | 66,454 | ||||||
12,536,276 | Series 2013-155-IB 0.163%, 09/16/2053(h)(m) | 68,364 | ||||||
1,814,647 | Series 2014-145-CS 2.661%, 05/16/2044(g)(m) -1*1 mo. USD LIBOR + 5.600% | 121,986 | ||||||
1,149,990 | Series 2014-156-PS 3.236%, 10/20/2044(g)(m) -1*1 mo. USD LIBOR + 6.250% | 109,710 | ||||||
2,819,114 | Series 2014-4-SA 3.161%, 01/16/2044(g)(m) -1*1 mo. USD LIBOR + 6.100% | 262,673 | ||||||
4,903,912 | Series 2014-41-SA 3.086%, 03/20/2044(g)(m) -1*1 mo. USD LIBOR + 6.100% | 480,289 | ||||||
1,981,900 | Series 2014-5-SA 2.536%, 01/20/2044(g)(m) -1*1 mo. USD LIBOR + 5.550% | 159,526 | ||||||
2,574,642 | Series 2014-58-SG 2.661%, 04/16/2044(g)(m) -1*1 mo. USD LIBOR + 5.600% | 164,247 | ||||||
1,978,017 | Series 2014-76-SA 2.586%, 01/20/2040(g)(m) -1*1 mo. USD LIBOR + 5.600% | 160,993 | ||||||
2,853,496 | Series 2014-95-CS 3.311%, 06/16/2044(g)(m) -1*1 mo. USD LIBOR + 6.250% | 221,454 | ||||||
8,629,514 | Series 2016-162-IO 0.687%, 09/16/2058(h)(m) | 298,300 | ||||||
1,998,434 | Series 2018-105-SH 3.236%, 08/20/2048(g)(m) -1*1 mo. USD LIBOR + 6.250% | 153,401 | ||||||
20,859,244 | Series 2018-111-SA 1.536%, 08/20/2048(g)(m) -1*1 mo. USD LIBOR + 4.550% | 525,972 | ||||||
8,751,381 | Series 2018-134-CS 3.186%, 10/20/2048(g)(m) -1*1 mo. USD LIBOR + 6.200% | 713,230 | ||||||
6,803,258 | Series 2019-22-SA 2.586%, 02/20/2045(g)(m) -1*1 mo. USD LIBOR + 5.600% | 593,191 | ||||||
6,015,979 | Series 2019-H10-BI 0.480%, 06/20/2069(h)(m) | 203,242 |
Principal Amount^ | Value | |||||||
$6,855,861 | Series 2020-112-BS 3.236%, 08/20/2050(g)(m) -1*1 mo. USD LIBOR + 6.250% | $ | 708,058 | |||||
12,059,313 | Series 2020-115-SC 1.186%, 08/20/2050(g)(m) -1*1 mo. USD LIBOR + 4.200% | 490,929 | ||||||
6,205,778 | Series 2020-142-SD 3.286%, 09/20/2050(g)(m) -1*1 mo. USD LIBOR + 6.300% | 766,308 | ||||||
6,935,636 | Series 2020-146-SH 3.286%, 10/20/2050(g)(m) -1*1 mo. USD LIBOR + 6.300% | 765,105 | ||||||
10,171,553 | Series 2020-168-IA 0.969%, 12/16/2062(h)(m) | 712,343 | ||||||
5,667,065 | Series 2020-188-LS 3.286%, 11/20/2050(g)(m) -1*1 mo. USD LIBOR + 6.300% | 759,643 | ||||||
5,391,953 | Series 2020-47-SL 2.356%, 07/20/2044(g)(m) -1*1 mo. USD LIBOR + 5.370% | 380,074 | ||||||
10,226,439 | Series 2020-H11-HI 1.364%, 06/20/2070(h)(m) | 462,368 | ||||||
10,499,608 | Series 2020-H18-AI 1.515%, 09/20/2070(h)(m) | 534,453 | ||||||
7,215,000 | Series 2020-H19-BI 0.008%, 11/20/2070(h)(m) | 433,689 | ||||||
6,132,149 | Series 2021-1-QS 3.286%, 01/20/2051(g)(m) -1*1 mo. USD LIBOR + 6.300% | 679,289 | ||||||
8,470,835 | Series 2021-107-SA 0.736%, 06/20/2051(g)(m) -1*1 mo. USD LIBOR + 3.750% | 151,829 | ||||||
3,173,304 | Series 2021-117-HI 3.500%, 07/20/2051(m) | 481,602 | ||||||
18,041,749 | Series 2021-213-SN 0.916%, 12/20/2051(g)(m) -1*SOFR 30-day + 3.200% | 482,462 | ||||||
9,517,640 | Series 2021-52-IO 0.718%, 04/16/2063(h)(m) | 589,711 | ||||||
5,008,233 | Series 2021-59-S 0.316%, 04/20/2051(g)(m) -1*SOFR 30-day + 2.600% | 54,848 | ||||||
10,094,699 | Series 2021-77-IH 2.500%, 05/20/2051(m) | 1,184,542 | ||||||
12,273,927 | Series 2021-89-SA 0.736%, 05/20/2051(g)(m) -1*1 mo. USD LIBOR + 3.750% | 407,664 | ||||||
23,029,720 | Series 2021-97-SA 0.316%, 06/20/2051(g)(m) -1*SOFR 30-day + 2.600% | 220,662 | ||||||
9,058,014 | Series 2021-97-SB 0.736%, 06/20/2051(g)(m) -1*1 mo. USD LIBOR + 3.750% | 326,659 | ||||||
40,588,976 | Series 2021-H08-QI 1.140%, 05/20/2071(h)(m) | 926,244 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Government National Mortgage Association (continued) | ||||||||
$14,559,946 | Series 2021-H19-AI 1.952%, 11/20/2071(h)(m) | $ | 727,649 | |||||
15,231,193 | Series 2022-48 IO 0.711%, 01/16/2064(h)(m) | 1,050,968 | ||||||
GS Mortgage Securities Corp. II | ||||||||
600,000 | Series 2021-ARDN-H 8.751%, 11/15/2026(c)(g) 1 mo. USD LIBOR + 5.933% | 531,848 | ||||||
GS Mortgage Securities Corp. Trust | ||||||||
1,125,000 | Series 2013-PEMB-C 3.668%, 03/05/2033(c)(h) | 930,004 | ||||||
1,503,000 | Series 2018-TWR-G 6.993%, 07/15/2031(c)(g) 1 mo. USD LIBOR + 4.175% | 1,245,987 | ||||||
GS Mortgage Securities Trust | ||||||||
130,000 | Series 2011-GC5-C 5.302%, 08/10/2044(c)(h) | 112,213 | ||||||
1,010,000 | Series 2011-GC5-D 5.302%, 08/10/2044(c)(h) | 444,586 | ||||||
100,000 | Series 2014-GC18-B 4.885%, 01/10/2047(h) | 91,874 | ||||||
1,344,000 | Series 2014-GC26-D 4.672%, 11/10/2047(c)(h) | 987,305 | ||||||
5,673,000 | Series 2021-GSA3-XF 1.534%, 12/15/2054(c)(h)(m) | 511,478 | ||||||
GSCG Trust | ||||||||
710,000 | Series 2019-600C-H 4.118%, 09/06/2034(c)(h) | 597,991 | ||||||
GSR Mortgage Loan Trust | ||||||||
33,966 | Series 2005-4F-6A1 6.500%, 02/25/2035 | 31,652 | ||||||
506,551 | Series 2005-9F-2A1 6.000%, 01/25/2036 | 277,289 | ||||||
74,584 | Series 2005-AR6-4A5 4.144%, 09/25/2035(h) | 70,490 | ||||||
224,059 | Series 2006-7F-3A4 6.250%, 08/25/2036 | 86,256 | ||||||
HarborView Mortgage Loan Trust | ||||||||
186,668 | Series 2004-11-2A2A 3.633%, 01/19/2035(g) 1 mo. USD LIBOR + 0.640% | 156,622 | ||||||
Hawaii Hotel Trust | ||||||||
1,297,000 | Series 2019-MAUI-F 5.568%, 05/15/2038(c)(g) 1 mo. USD LIBOR + 2.750% | 1,216,975 | ||||||
Hospitality Mortgage Trust | ||||||||
993,090 | Series 2019-HIT-G 6.718%, 11/15/2036(c)(g) 1 mo. USD LIBOR + 3.900% | 928,438 | ||||||
Imperial Fund Mortgage Trust | ||||||||
2,000,000 | Series 2021-NQM3-B2 4.171%, 11/25/2056(c)(h) | 1,278,231 | ||||||
IndyMac INDX Mortgage Loan Trust | ||||||||
117,851 | Series 2004-AR7-A5 4.304%, 09/25/2034(g) 1 mo. USD LIBOR + 1.220% | 104,698 | ||||||
204,821 | Series 2005-AR11-A3 3.190%, 08/25/2035(h) | 169,904 |
Principal Amount^ | Value | |||||||
$490,299 | Series 2006-AR2-2A1 3.504%, 02/25/2046(g) 1 mo. USD LIBOR + 0.420% | $ | 367,889 | |||||
2,587,141 | Series 2006-R1-A3 3.167%, 12/25/2035(h) | 2,368,923 | ||||||
966,280 | Series 2007-AR5-2A1 3.003%, 05/25/2037(h) | 793,574 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust | ||||||||
1,285,000 | Series 2011-C3-E 5.709%, 02/15/2046(c)(h) | 613,997 | ||||||
310,000 | Series 2012-LC9-C 4.472%, 12/15/2047(c)(h) | 306,845 | ||||||
1,531,000 | Series 2019-MFP-F 5.818%, 07/15/2036(c)(g) 1 mo. USD LIBOR + 3.000% | 1,413,169 | ||||||
683,000 | Series 2019-MFP-G 6.868%, 07/15/2036(c)(g) 1 mo. USD LIBOR + 4.050% | 626,368 | ||||||
683,000 | Series 2019-MFP-XG 0.500%, 07/15/2036(c)(h)(m) | 2,502 | ||||||
219,000 | Series 2019-UES-C 4.343%, 05/05/2032(c) | 209,867 | ||||||
224,000 | Series 2019-UES-D 4.601%, 05/05/2032(c)(h) | 212,779 | ||||||
261,000 | Series 2019-UES-E 4.601%, 05/05/2032(c)(h) | 241,090 | ||||||
274,000 | Series 2019-UES-F 4.601%, 05/05/2032(c)(h) | 248,741 | ||||||
299,000 | Series 2019-UES-G 4.601%, 05/05/2032(c)(h) | 275,306 | ||||||
JP Morgan Mortgage Trust | ||||||||
201,335 | Series 2004-S1-2A1 6.000%, 09/25/2034 | 190,488 | ||||||
1,491,909 | Series 2005-ALT1-3A1 3.454%, 10/25/2035(h) | 1,213,761 | ||||||
16,933 | Series 2007-A1-4A2 3.940%, 07/25/2035(a)(h) | 16,141 | ||||||
555,894 | Series 2007-S3-1A97 6.000%, 08/25/2037 | 319,430 | ||||||
JP Morgan Resecuritization Trust | ||||||||
7,495,838 | Series 2015-4-1A7 2.824%, 06/26/2047(c)(g) 1 mo. USD LIBOR + 0.190% | 5,835,375 | ||||||
JPMBB Commercial Mortgage Securities Trust | ||||||||
78,000 | Series 2015-C27-D 3.944%, 02/15/2048(c)(h) | 63,998 | ||||||
4,749,500 | Series 2015-C27-XFG 1.444%, 02/15/2048(c)(h)(m) | 123,261 | ||||||
Legacy Mortgage Asset Trust | ||||||||
782,350 | Series 2020-GS1-A1 2.882%, 10/25/2059(c)(f) | 778,336 | ||||||
3,300,000 | Series 2020-GS3-A2 4.000%, 05/25/2060(c)(f) | 3,048,292 | ||||||
154,726 | Series 2020-GS5-A1 3.250%, 06/25/2060(c)(f) | 151,248 | ||||||
Lehman Mortgage Trust | ||||||||
667,252 | Series 2006-2-2A3 5.750%, 04/25/2036 | 667,729 | ||||||
930,927 | Series 2007-1 1A2 5.750%, 02/25/2037 | 879,887 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Lehman XS Trust | ||||||||
$78,744 | Series 2006-2N-1A1 3.604%, 02/25/2046(g) 1 mo. USD LIBOR + 0.520% | $ | 70,311 | |||||
LHOME Mortgage Trust | ||||||||
3,700,000 | Series 2021-RTL1-M 4.458%, 09/25/2026(c)(h) | 3,284,243 | ||||||
Master Alternative Loan Trust | ||||||||
17,749 | Series 2003-9-4A1 5.250%, 11/25/2033 | 16,661 | ||||||
13,570 | Series 2004-5-1A1 5.500%, 06/25/2034 | 12,922 | ||||||
18,033 | Series 2004-5-2A1 6.000%, 06/25/2034 | 17,299 | ||||||
76,545 | Series 2004-8-2A1 6.000%, 09/25/2034 | 71,758 | ||||||
Med Trust | ||||||||
600,000 | Series 2021-MDLN-G 8.068%, 11/15/2038(c)(g) 1 mo. USD LIBOR + 5.250% | 555,476 | ||||||
Merrill Lynch Mortgage Investors Trust | ||||||||
3,135 | Series 2006-2-2A 2.957%, 05/25/2036(h) | 3,067 | ||||||
Mill City Mortgage Loan Trust | ||||||||
305,000 | Series 2021-NMR1-M3 2.500%, 11/25/2060(c)(h) | 240,721 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
858,000 | Series 2015-C21-C 4.266%, 03/15/2048(h) | 723,337 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | ||||||||
560,000 | Series 2013-C11-B 4.495%, 08/15/2046(h) | 428,685 | ||||||
1,155,000 | Series 2016-C31-D 3.000%, 11/15/2049(c)(h) | 784,221 | ||||||
Morgan Stanley Capital I Trust | ||||||||
190,162 | Series 2011-C2-D 5.385%, 06/15/2044(c)(h) | 180,061 | ||||||
540,000 | Series 2011-C2-E 5.385%, 06/15/2044(c)(h) | 436,386 | ||||||
613,000 | Series 2016-H4-D 3.000%, 12/15/2051(c) | 423,811 | ||||||
1,508,000 | Series 2019-PLND-F 5.618%, 05/15/2036(c)(g) 1 mo. USD LIBOR + 2.800% | 1,330,371 | ||||||
Morgan Stanley Mortgage Loan Trust | ||||||||
1,430,148 | Series 2005-9AR-2A 3.328%, 12/25/2035(h) | 1,325,620 | ||||||
2,249,492 | Series 2006-11-2A2 6.000%, 08/25/2036 | 1,112,107 | ||||||
271,175 | Series 2006-7-3A 5.138%, 06/25/2036(h) | 182,525 | ||||||
224,428 | Series 2007-13-6A1 6.000%, 10/25/2037 | 136,312 | ||||||
NewRez Warehouse Securitization Trust | ||||||||
2,200,000 | Series 2021-1-F 8.334%, 05/25/2055(c)(g) 1 mo. USD LIBOR + 5.250% | 2,182,169 |
Principal Amount^ | Value | |||||||
Preston Ridge Partners Mortgage LLC | ||||||||
$400,000 | Series 2021-2-A2 3.770%, 03/25/2026(c)(h) | $ | 351,960 | |||||
360,331 | Series 2021-9-A1 2.363%, 10/25/2026(c)(f) | 334,517 | ||||||
Prime Mortgage Trust | ||||||||
880,997 | Series 2006-DR1-2A1 5.500%, 05/25/2035(c) | 749,676 | ||||||
Residential Accredit Loans, Inc. | ||||||||
251,162 | Series 2006-QS17-A5 6.000%, 12/25/2036 | 206,889 | ||||||
309,093 | Series 2006-QS7-A3 6.000%, 06/25/2036 | 246,983 | ||||||
365,102 | Series 2007-QS1-2A10 6.000%, 01/25/2037 | 287,658 | ||||||
314,383 | Series 2007-QS8-A8 6.000%, 06/25/2037 | 256,824 | ||||||
Residential Asset Securitization Trust | ||||||||
200,109 | Series 2006-A8-1A1 6.000%, 08/25/2036 | 135,564 | ||||||
226,837 | Series 2007-A1-A8 6.000%, 03/25/2037 | 81,628 | ||||||
15,359,032 | Series 2007-A9-A1 3.634%, 09/25/2037(g) 1 mo. USD LIBOR + 0.550% | 4,211,167 | ||||||
15,359,032 | Series 2007-A9-A2 3.366%, 09/25/2037(g)(m) -1*1 mo. USD LIBOR + 6.450% | 2,849,292 | ||||||
Residential Funding Mortgage Securities I Trust | ||||||||
291,756 | Series 2006-S4-A5 6.000%, 04/25/2036 | 237,337 | ||||||
SMR Mortgage Trust | ||||||||
1,205,738 | Series 2022-IND-G 10.345%, 02/15/2039(c)(g) TSFR1M + 7.500% | 1,143,328 | ||||||
SREIT Trust | ||||||||
650,000 | Series 2021-MFP2-J 6.734%, 11/15/2036(c)(g) 1 mo. USD LIBOR + 3.916% | 601,818 | ||||||
Starwood Retail Property Trust | ||||||||
235,000 | Series 2014-STAR-C 5.568%, 11/15/2027(a)(c)(g) 1 mo. USD LIBOR + 2.750% | 120,199 | ||||||
980,000 | Series 2014-STAR-D 6.318%, 11/15/2027(a)(c)(g) 1 mo. USD LIBOR + 3.500% | 283,396 | ||||||
950,000 | Series 2014-STAR-E 7.218%, 11/15/2027(a)(c)(g) 1 mo. USD LIBOR + 4.400% | 99,750 | ||||||
Structured Adjustable Rate Mortgage Loan Trust | ||||||||
485,846 | Series 2005-14-A1 3.394%, 07/25/2035(g) 1 mo. USD LIBOR + 0.310% | 319,481 | ||||||
228,995 | Series 2005-15-1A1 3.600%, 07/25/2035(h) | 147,012 | ||||||
195,344 | Series 2005-22-3A1 3.750%, 12/25/2035(h) | 147,364 | ||||||
508,161 | Series 2008-1-A2 3.237%, 10/25/2037(h) | 421,111 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
Structured Asset Securities Corp. | ||||||||
$6,026,368 | Series 2007-4-1A3 3.166%, 03/28/2045(c)(g)(m) -1*1 mo. USD LIBOR + 6.250% | $ | 335,669 | |||||
Toorak Mortgage Corp. Ltd. | ||||||||
630,000 | Series 2021-1-A1 2.240%, 06/25/2024(c)(f) | 600,503 | ||||||
TTAN | ||||||||
598,096 | Series 2021-MHC-G 7.018%, 03/15/2038(c)(g) 1 mo. USD LIBOR + 4.200% | 549,767 | ||||||
UBS-Barclays Commercial Mortgage Trust | ||||||||
305,000 | Series 2012-C2-E 4.870%, 05/10/2063(c)(h) | 10,824 | ||||||
1,000,000 | Series 2013-C5-C 4.200%, 03/10/2046(c)(h) | 914,116 | ||||||
Verus Securitization Trust | ||||||||
2,000,000 | Series 2021-7-B2 4.192%, 10/25/2066(c)(h) | 1,268,188 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Trust | ||||||||
384,742 | Series 2006-5-1A5 6.000%, 07/25/2036 | 292,803 | ||||||
387,773 | Series 2006-8-A6 4.192%, 10/25/2036(f) | 148,065 | ||||||
2,195,978 | Series 2007-5-A3 7.000%, 06/25/2037 | 1,359,186 | ||||||
Wells Fargo Alternative Loan Trust | ||||||||
102,159 | Series 2007-PA2-3A1 3.434%, 06/25/2037(g) 1 mo. USD LIBOR + 0.350% | 90,962 | ||||||
150,496 | Series 2007-PA2-3A2 3.566%, 06/25/2037(g)(m) -1*1 mo. USD LIBOR + 6.650% | 8,459 | ||||||
Wells Fargo Commercial Mortgage Trust | ||||||||
640,000 | Series 2013-LC12-B 4.432%, 07/15/2046(h) | 601,663 | ||||||
19,971,000 | Series 2015-C28-XE 1.219%, 05/15/2048(c)(h)(m) | 499,628 | ||||||
750,000 | Series 2016-C33-D 3.123%, 03/15/2059(c) | 602,816 | ||||||
600,000 | Series 2016-C34-C 5.236%, 06/15/2049(h) | 526,503 | ||||||
135,000 | Series 2016-C36-B 3.671%, 11/15/2059(h) | 114,682 | ||||||
130,000 | Series 2016-C36-C 4.273%, 11/15/2059(h) | 101,658 | ||||||
6,406,000 | Series 2017-C42-XE 1.300%, 12/15/2050(c)(h)(m) | 329,972 | ||||||
1,225,000 | Series 2019-JWDR-C 3.139%, 09/15/2031(c)(h) | 1,050,114 | ||||||
Wells Fargo Mortgage-Backed Securities Trust | ||||||||
51,558 | Series 2006-AR19-A1 3.030%, 12/25/2036(h) | 49,765 | ||||||
WFRBS Commercial Mortgage Trust | ||||||||
653,255 | Series 2011-C3-D 5.420%, 03/15/2044(c)(h) | 278,287 |
Principal Amount^ | Value | |||||||
$395,000 | Series 2011-C4-E 4.987%, 06/15/2044(c)(h) | $ | 309,512 | |||||
1,020,000 | Series 2012-C10-C 4.469%, 12/15/2045(h) | 950,506 | ||||||
185,000 | Series 2012-C7-C 4.814%, 06/15/2045(h) | 134,032 | ||||||
400,000 | Series 2012-C7-D 4.814%, 06/15/2045(c)(h) | 154,000 | ||||||
290,000 | Series 2012-C7-E 4.814%, 06/15/2045(c)(h) | 27,405 | ||||||
300,000 | Series 2014-C20-B 4.378%, 05/15/2047 | 271,091 | ||||||
250,000 | Series 2014-C24-B 4.204%, 11/15/2047(h) | 228,558 | ||||||
|
| |||||||
| TOTAL MORTGAGE-BACKED | 152,160,180 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS: 27.0% | ||||||||
REPURCHASE AGREEMENTS: 24.2% | ||||||||
289,220,897 | Fixed Income Clearing Corp. 0.830%, 9/30/2022, due 10/03/2022 [collateral: par value $300,707,700, U.S. Treasury Bill, 3.792%, due 03/30/2023, value $295,099,403] (proceeds $289,240,902) | 289,220,897 | ||||||
|
| |||||||
TREASURY BILLS: 2.8% | ||||||||
United States Treasury Bill | ||||||||
600,000 | 1.185%, 10/06/2022(b)(n) | 599,883 | ||||||
4,500,000 | 2.799%, 12/01/2022(b)(n) | 4,478,705 | ||||||
2,030,000 | 3.545%, 02/23/2023(b)(n) | 2,001,620 | ||||||
6,000,000 | 3.625%, 04/20/2023(b)(n) | 5,881,802 | ||||||
5,300,000 | 3.690%, 06/15/2023(b)(n) | 5,164,562 | ||||||
6,000,000 | 3.739%, 07/13/2023(b)(n) | 5,828,078 | ||||||
6,500,000 | 3.739%, 08/10/2023(b)(n) | 6,295,885 | ||||||
3,000,000 | 3.949%, 09/07/2023(b)(n) | 2,892,000 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 33,142,535 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 322,363,432 | ||||||
|
| |||||||
| TOTAL PURCHASED OPTIONS | 147,000 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $1,367,442,459): 102.6% | 1,228,106,261 | ||||||
|
| |||||||
| Liabilities in Excess of Other Assets: | (31,369,003 | ) | |||||
|
| |||||||
NET ASSETS: 100.0% | $ | 1,196,737,258 | ||||||
|
|
Percentages are stated as a percent of net assets.
ADR | American Depositary Receipt | |
BADLARPP | Argentina Badlar Floating Rate Notes | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury Index | |
CVR | Contingent Value Rights | |
ETF | Exchange-Traded Fund | |
EURIBOR | Euro Interbank Offered Rate |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
FEDL01 | Federal Funds Rate | |
LIBOR | London Interbank Offered Rate | |
LP | Limited Partnership | |
PIK | Payment-in-kind | |
REIT | Real Estate Investment Trust | |
REMICS | Real Estate Mortgage Investment Conduit | |
SABOR | South African Benchmark Overnight Rate | |
SOFR | Secured Overnight Financing Rate | |
TSFR | CME term SOFR | |
* | Non-Income Producing Security. | |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. | |
(a) | Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees. | |
(b) | Securities with an aggregate fair value of $49,366,565 have been pledged as collateral for options, total return swaps, credit default swaps, securities sold short and futures positions. | |
(c) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. | |
(d) | Perpetual Call. | |
(e) | Pay-in-kind security. | |
(f) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2022. | |
(g) | Floating Interest Rate at September 30, 2022. | |
(h) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at September 30, 2022. | |
(i) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. | |
(j) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(k) | Security is currently in default and/or non-income producing. | |
(l) | Principal Only security. | |
(m) | Interest Only security. Security with a notional or nominal principal amount. | |
(n) | The rate shown represents yield-to-maturity. |
CURRENCY ABBREVIATIONS:
| ||
ARS | Argentine Peso | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
COP | Colombian Peso | |
EUR | Euro | |
GBP | British Pound | |
SEK | Swedish Krona | |
USD | U.S. Dollar | |
ZAR | South African Rand |
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
Cost of investments | $ | 1,356,751,127 | ||
|
| |||
Gross unrealized appreciation | 62,162,465 | |||
Gross unrealized depreciation | (192,787,813 | ) | ||
|
| |||
Net unrealized depreciation | $ | (130,625,348 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN PURCHASED OPTIONS at September 30, 2022 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
COMMON STOCKS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Broadcom, Inc. | Morgan Stanley & Co. | $ | 500.00 | 12/16/2022 | 4 | $ | 177,604 | $ | 4,440 | $ | 13,528 | $ | (9,088 | ) | ||||||||||||||||
Broadcom, Inc. | Morgan Stanley & Co. | 520.00 | 12/16/2022 | 11 | 488,411 | 10,230 | 39,357 | (29,127 | ) | |||||||||||||||||||||
Broadcom, Inc. | Morgan Stanley & Co. | 550.00 | 12/16/2022 | 40 | 1,776,040 | 13,520 | 137,565 | (124,045 | ) | |||||||||||||||||||||
Cano Health, Inc. | Morgan Stanley & Co. | 9.00 | 10/21/2022 | 432 | 374,544 | 31,536 | 39,286 | (7,750 | ) | |||||||||||||||||||||
Ironsource Ltd. | Pershing LLC | 5.00 | 12/16/2022 | 582 | 200,208 | 8,148 | 50,069 | (41,921 | ) | |||||||||||||||||||||
iShares Expanded Tech-Software | Morgan Stanley & Co. | 320.00 | 11/18/2022 | 17 | 425,221 | 1,275 | 24,579 | (23,304 | ) | |||||||||||||||||||||
iShares Russell 2000 Growth ETF | Morgan Stanley & Co. | 250.00 | 11/18/2022 | 15 | 309,885 | 3,750 | 12,254 | (8,504 | ) | |||||||||||||||||||||
Unity Software, Inc. | Morgan Stanley & Co. | 60.00 | 10/21/2022 | 99 | 315,414 | 396 | 73,140 | (72,744 | ) | |||||||||||||||||||||
Unity Software, Inc. | Morgan Stanley & Co. | 60.00 | 11/18/2022 | 37 | 117,882 | 925 | 34,865 | (33,940 | ) | |||||||||||||||||||||
Zendesk, Inc. | Pershing LLC | 80.00 | 10/21/2022 | 480 | 3,652,800 | 1,200 | 24,456 | (23,256 | ) | |||||||||||||||||||||
Put |
| |||||||||||||||||||||||||||||
Momentive Global, Inc. | Pershing LLC | 6.00 | 12/16/2022 | 652 | 378,812 | 60,310 | 57,721 | 2,589 | ||||||||||||||||||||||
Twitter, Inc. | Morgan Stanley & Co. | 30.00 | 10/21/2022 | 245 | 1,074,080 | 11,270 | 55,397 | (44,128 | ) | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Purchased Options |
| $ | 147,000 | $ | 562,217 | $ | (415,218 | ) | ||||||||||||||||||||||
|
|
|
|
|
|
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SECURITIES SOLD SHORT at September 30, 2022 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: (0.7)% | ||||||||
(5,527) | Broadcom, Inc. | $ | (2,454,043 | ) | ||||
(8,572) | Cineplex, Inc.* | (56,719 | ) | |||||
(1,729) | Intercontinental Exchange, Inc. | (156,215 | ) | |||||
(14,156) | MaxLinear, Inc.* | (461,769 | ) | |||||
(35,637) | Prologis, Inc. | (3,620,719 | ) | |||||
(244,887) | Rentokil Initial PLC | (1,301,529 | ) | |||||
(35,523) | Tenneco, Inc. Class A* | (617,745 | ) | |||||
|
| |||||||
| TOTAL COMMON STOCKS | (8,668,739 | ) | |||||
|
| |||||||
EXCHANGE-TRADED FUNDS: (0.1)% | ||||||||
(1,736) | iShares Expanded Tech-Software Sector ETF | (434,226 | ) | |||||
(1,533) | iShares Russell 2000 Growth ETF | (316,702 | ) | |||||
|
| |||||||
| TOTAL EXCHANGE-TRADED FUNDS | (750,928 | ) | |||||
|
| |||||||
| TOTAL SECURITIES SOLD SHORT | $ | (9,419,667 | ) | ||||
|
|
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2022 (Unaudited)
At September 30, 2022, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2022 | Fund Delivering | U.S. $ Value at September 30, 2022 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||||||
Bank of America N.A. | 10/26/2022 | USD | $ | 1,682,230 | EUR | $ | 1,597,774 | $ | 84,456 | $ | — | |||||||||||||||
Barclays Bank Plc | 10/26/2022 | USD | 510,091 | EUR | 484,916 | 25,175 | — | |||||||||||||||||||
JPMorgan Chase Bank N.A. | 10/21/2022 | EUR | 627,855 | USD | 629,229 | — | (1,374) | |||||||||||||||||||
10/21/2022 | EUR | 730,697 | USD | 747,142 | — | (16,445) | ||||||||||||||||||||
10/21/2022 | EUR | 629,175 | USD | 657,258 | — | (28,083) | ||||||||||||||||||||
10/21/2022 | EUR | 1,519,905 | USD | 1,556,067 | — | (36,162) | ||||||||||||||||||||
10/21/2022 | EUR | 894,657 | USD | 934,975 | — | (40,318) | ||||||||||||||||||||
10/21/2022 | USD | 3,285,456 | EUR | 3,123,216 | 162,240 | — | ||||||||||||||||||||
10/21/2022 | USD | 758,491 | EUR | 725,702 | 32,789 | — | ||||||||||||||||||||
10/21/2022 | USD | 348,884 | EUR | 333,603 | 15,281 | — | ||||||||||||||||||||
10/21/2022 | USD | 30,228 | EUR | 28,718 | 1,510 | — | ||||||||||||||||||||
10/21/2022 | USD | 8,051 | EUR | 8,194 | — | (143) | ||||||||||||||||||||
10/21/2022 | USD | 32,051 | EUR | 32,379 | — | (328) | ||||||||||||||||||||
Morgan Stanley & Co. | 10/11/2022 | USD | 817,582 | COP | 768,509 | 49,073 | — | |||||||||||||||||||
12/15/2022 | CAD | 119,492 | USD | 119,417 | 75 | — | ||||||||||||||||||||
12/15/2022 | CAD | 28,728 | USD | 28,742 | — | (14) | ||||||||||||||||||||
12/15/2022 | EUR | 508,155 | USD | 499,583 | 8,572 | — | ||||||||||||||||||||
12/15/2022 | GBP | 634,304 | USD | 608,542 | 25,762 | — | ||||||||||||||||||||
12/15/2022 | SEK | 326,716 | USD | 320,519 | 6,197 | — | ||||||||||||||||||||
12/15/2022 | SEK | 74,357 | USD | 74,714 | — | (357) | ||||||||||||||||||||
12/15/2022 | SEK | 62,717 | USD | 64,720 | — | (2,003) | ||||||||||||||||||||
12/15/2022 | USD | 2,193,587 | CAD | 2,089,411 | 104,176 | — | ||||||||||||||||||||
12/15/2022 | USD | 7,803,497 | EUR | 7,604,042 | 199,455 | — | ||||||||||||||||||||
12/15/2022 | USD | 248,418 | EUR | 243,112 | 5,306 | — | ||||||||||||||||||||
12/15/2022 | USD | 278,450 | EUR | 276,943 | 1,507 | — | ||||||||||||||||||||
12/15/2022 | USD | 6,603,798 | GBP | 6,356,625 | 247,173 | — | ||||||||||||||||||||
12/15/2022 | USD | 964,617 | GBP | 948,948 | 15,669 | — | ||||||||||||||||||||
12/15/2022 | USD | 949,809 | GBP | 988,390 | — | (38,581) | ||||||||||||||||||||
12/15/2022 | USD | 3,277,704 | SEK | 3,122,904 | 154,800 | — | ||||||||||||||||||||
12/15/2022 | USD | 795,026 | SEK | 768,139 | 26,887 | — | ||||||||||||||||||||
12/15/2022 | USD | 38,020 | SEK | 38,094 | — | (74) | ||||||||||||||||||||
12/15/2022 | USD | 33,699 | SEK | 34,521 | — | (822) | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||
$ | 36,816,447 | $ | 35,815,048 | $ | 1,166,103 | $ | (164,704 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at September 30, 2022 (Unaudited)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long |
| |||||||||||||||||||
MSCI EAFE Index Futures | 70 | 5,809,685 | $ | 5,812,100 | 12/16/2022 | $ | 2,415 | |||||||||||||
Nasdaq 100 E-mini Futures | 14 | 3,088,595 | 3,089,940 | 12/16/2022 | 1,345 | |||||||||||||||
MSCI Emerging Market Index | 52 | 2,264,380 | 2,265,900 | 12/16/2022 | 1,520 | |||||||||||||||
U.S. Treasury Long Bond Futures | 29 | 3,829,916 | 3,665,781 | 12/20/2022 | (164,135 | ) | ||||||||||||||
U.S. Treasury Ultra Bond Futures | 11 | 1,508,688 | 1,507,000 | 12/20/2022 | (1,688 | ) | ||||||||||||||
U.S. Treasury 2-Year Note Futures | 581 | 120,824,232 | 119,331,954 | 12/30/2022 | (1,492,278 | ) | ||||||||||||||
Russell 2000 E-mini Futures | 52 | 4,341,050 | 4,341,480 | 12/16/2022 | 430 | |||||||||||||||
S&P Mid Cap 400 E-mini Futures | 23 | 5,075,130 | 5,078,860 | 12/16/2022 | 3,730 | |||||||||||||||
U.S. Dollar Index Futures | 61 | 6,836,335 | 6,837,124 | 12/19/2022 | 789 | |||||||||||||||
|
| |||||||||||||||||||
Total Long | $ | (1,647,872 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts - Short |
| |||||||||||||||||||
U.S. Treasury 10-Year Note Futures | (614 | ) | (69,022,012 | ) | $ | (68,806,375 | ) | 12/20/2022 | $ | 215,637 | ||||||||||
U.S. Treasury 2-Year Note Futures | (765 | ) | (157,198,813 | ) | (157,123,829 | ) | 12/30/2022 | 74,984 | ||||||||||||
Canadian Dollar Currency Futures | (13 | ) | (941,290 | ) | (941,135 | ) | 12/20/2022 | 155 | ||||||||||||
90-day Euro-Dollar Futures | (55 | ) | (13,159,500 | ) | (13,154,625 | ) | 3/18/2024 | 4,875 | ||||||||||||
Euro FX Currency Futures | (968 | ) | (119,085,417 | ) | (119,324,150 | ) | 12/19/2022 | (238,733 | ) | |||||||||||
MSCI EAFE Index Futures | (256 | ) | (21,252,270 | ) | (21,255,680 | ) | 12/16/2022 | (3,410 | ) | |||||||||||
S&P 500 E-Mini Index Futures | (15 | ) | (2,699,487 | ) | (2,701,125 | ) | 12/16/2022 | (1,638 | ) | |||||||||||
British Pound Currency Futures | (19 | ) | (1,328,338 | ) | (1,327,744 | ) | 12/19/2022 | 594 | ||||||||||||
Japanese Yen Currency Futures | (354 | ) | (30,824,108 | ) | (30,813,488 | ) | 12/19/2022 | 10,620 | ||||||||||||
U.S. Treasury 10-Year Ultra Note Futures | (532 | ) | (66,476,361 | ) | (63,033,687 | ) | 12/20/2022 | 3,442,674 | ||||||||||||
U.S. Treasury Bonds 20 Year Bond Futures | (205 | ) | (25,970,500 | ) | (25,913,281 | ) | 12/20/2022 | 57,219 | ||||||||||||
U.S. Treasury Ultra-Long Bond Futures | (34 | ) | (5,080,087 | ) | (4,658,000 | ) | 12/20/2022 | 422,087 | ||||||||||||
5YR U.S. Treasury Notes | (291 | ) | (31,984,017 | ) | (31,284,774 | ) | 12/30/2022 | 699,243 | ||||||||||||
|
| |||||||||||||||||||
Total Short | $ | 4,684,307 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | 3,036,435 | ||||||||||||||||||
|
|
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2022 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||||||||||
ADT Security Corp. (The) 4.125%, 06/15/2023 | 12/20/2027 | (5.000% | ) | 3.267% | $ | (7,350,000 | ) | Quarterly | $ | (530,602 | ) | $ | (711,529 | ) | $ | 180,927 | ||||||||||||||||||
AES Corp. (The) 1.375%, 01/15/2026 | 12/20/2027 | (5.000% | ) | 1.660% | (2,900,000 | ) | Quarterly | (430,598 | ) | (437,086 | ) | 6,488 | ||||||||||||||||||||||
Ally Financial, Inc. 5.800%, 05/01/2025 | 12/20/2027 | (5.000% | ) | 3.170% | (7,350,000 | ) | Quarterly | (562,346 | ) | (679,838 | ) | 117,492 | ||||||||||||||||||||||
American Express Co. 2.650%, 12/02/2022 | 12/20/2027 | (1.000% | ) | 0.706% | (7,900,000 | ) | Quarterly | (107,680 | ) | (150,278 | ) | 42,598 | ||||||||||||||||||||||
Amkor Technology, Inc. 6.625%, 09/15/2027 | 12/20/2027 | (5.000% | ) | 3.588% | (2,850,000 | ) | Quarterly | (165,473 | ) | (290,844 | ) | 125,371 | ||||||||||||||||||||||
Arrow Electronics, Inc. 7.500%, 01/15/2027 | 12/20/2027 | (1.000% | ) | 1.469% | (8,250,000 | ) | Quarterly | 173,317 | 87,124 | 86,193 | ||||||||||||||||||||||||
Avis Budget Car Rental LLC / Avis Budget Finance, Inc. 4.750%, 04/01/2028 | 12/20/2027 | (5.000% | ) | 5.925% | (8,000,000 | ) | Quarterly | 276,752 | 72,698 | 204,054 | ||||||||||||||||||||||||
Avnet, Inc. 3.000%, 05/15/2031 | 12/20/2027 | (1.000% | ) | 1.583% | (8,300,000 | ) | Quarterly | 215,663 | 122,809 | 92,854 | ||||||||||||||||||||||||
Barclays Plc 1.375%, 01/24/2026 | 12/20/2027 | (1.000% | ) | 1.583% | EUR | (8,100,000 | ) | Quarterly | 213,574 | 139,276 | 74,298 | |||||||||||||||||||||||
Baxter International, Inc. 2.600%, 08/15/2026 | 12/20/2027 | (1.000% | ) | 0.786% | $ | (8,100,000 | ) | Quarterly | (80,110 | ) | (93,680 | ) | 13,570 | |||||||||||||||||||||
Beazer Homes USA, Inc. 6.750%, 03/15/2025 | 12/20/2027 | (5.000% | ) | 8.930% | (2,900,000 | ) | Quarterly | 381,107 | 377,000 | 4,107 | ||||||||||||||||||||||||
Bertelsmann SE & Co. KGaA 1.125%, 04/27/2026 | 12/20/2027 | (1.000% | ) | 0.697% | EUR | (7,800,000 | ) | Quarterly | (110,537 | ) | (159,068 | ) | 48,531 | |||||||||||||||||||||
Best Buy Co., Inc. 4.450%, 10/01/2028 | 12/20/2027 | (5.000% | ) | 1.552% | $ | (6,900,000 | ) | Quarterly | (1,062,230 | ) | (1,174,422 | ) | 112,192 | |||||||||||||||||||||
Boeing Co. (The) 2.600%, 10/30/2025 | 12/20/2027 | (1.000% | ) | 2.143% | (8,400,000 | ) | Quarterly | 418,282 | 287,905 | 130,377 | ||||||||||||||||||||||||
Bouygues S.A. 3.625%, 01/16/2023 | 12/20/2027 | (1.000% | ) | 0.843% | EUR | (7,750,000 | ) | Quarterly | (56,678 | ) | (104,025 | ) | 47,347 | |||||||||||||||||||||
Cardinal Health, Inc. 3.410%, 06/15/2027 | 12/20/2027 | (1.000% | ) | 0.614% | $ | (8,100,000 | ) | Quarterly | (145,190 | ) | (137,057 | ) | (8,133 | ) | ||||||||||||||||||||
Carlsberg Breweries AS 2.625%, 11/15/2022 | 12/20/2027 | (1.000% | ) | 0.654% | EUR | (7,800,000 | ) | Quarterly | (126,770 | ) | (156,132 | ) | 29,362 | |||||||||||||||||||||
Carnival Corp. 6.650%, 01/15/2028 | 12/20/2027 | (1.000% | ) | 15.203% | $ | (8,100,000 | ) | Quarterly | 3,090,257 | 2,247,750 | 842,507 | |||||||||||||||||||||||
CCO Holdings LLC / CCO Holdings Capital Corp. 5.000%, 02/01/2028 | 12/20/2027 | (5.000% | ) | 4.350% | (7,000,000 | ) | Quarterly | (181,766 | ) | (410,514 | ) | 228,748 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2022 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
CDX North America High Yield Index Series 39 5.000%, 12/20/2027 | 12/20/2027 | (5.000% | ) | 6.087% | $ | (7,335,000 | ) | Quarterly | $ | 307,447 | $ | 311,371 | $ | (3,924 | ) | |||||||||||||||||||
Centrica Plc 4.000%, 10/16/2023 | 12/20/2027 | (1.000% | ) | 1.844% | EUR | (8,250,000 | ) | Quarterly | 311,673 | 243,228 | 68,445 | |||||||||||||||||||||||
Citigroup, Inc. 3.400%, 05/01/2026 | 12/20/2027 | (1.000% | ) | 1.330% | $ | (4,800,000 | ) | Quarterly | 71,368 | 2,474 | 68,894 | |||||||||||||||||||||||
Cleveland-Cliffs, Inc. 5.875%, 06/01/2027 | 12/20/2027 | (5.000% | ) | 5.509% | (7,500,000 | ) | Quarterly | 145,096 | (418,982 | ) | 564,078 | |||||||||||||||||||||||
Comcast Corp. 3.700%, 04/15/2024 | 12/20/2027 | (1.000% | ) | 0.911% | (7,850,000 | ) | Quarterly | (32,129 | ) | (46,826 | ) | 14,697 | ||||||||||||||||||||||
Credit Suisse Group AG 4.282%, 01/09/2028 | 12/20/2027 | (1.000% | ) | 2.496% | EUR | (8,500,000 | ) | Quarterly | 553,270 | 490,221 | 63,049 | |||||||||||||||||||||||
CSC Holdings LLC 5.375%, 02/01/2028 | 12/20/2027 | (5.000% | ) | 7.501% | $ | (2,900,000 | ) | Quarterly | 255,698 | 231,956 | 23,742 | |||||||||||||||||||||||
Dell, Inc. 7.100%, 04/15/2028 | 12/20/2027 | (1.000% | ) | 2.304% | (8,350,000 | ) | Quarterly | 471,156 | 488,860 | (17,704 | ) | |||||||||||||||||||||||
Electrolux AB 2.500%, 05/18/2030 | 12/20/2027 | (1.000% | ) | 1.342% | EUR | (8,100,000 | ) | Quarterly | 126,773 | 60,454 | 66,319 | |||||||||||||||||||||||
Enel SpA 5.250%, 05/20/2024 | 12/20/2027 | (1.000% | ) | 1.617% | (8,250,000 | ) | Quarterly | 230,127 | 238,907 | (8,780 | ) | |||||||||||||||||||||||
Expedia Group, Inc. 6.250%, 05/01/2025 | 12/20/2027 | (1.000% | ) | 1.954% | $ | (8,350,000 | ) | Quarterly | 349,720 | 250,378 | 99,342 | |||||||||||||||||||||||
FedEx Corp. 3.250%, 04/01/2026 | 12/20/2027 | (1.000% | ) | 1.296% | (8,000,000 | ) | Quarterly | 106,614 | (56,418 | ) | 163,032 | |||||||||||||||||||||||
Fortum Oyj 1.625%, 02/27/2026 | 12/20/2027 | (1.000% | ) | 1.499% | EUR | (8,900,000 | ) | Quarterly | 201,560 | 727,003 | (525,443 | ) | ||||||||||||||||||||||
Freeport-McMoRan, Inc. 5.000%, 09/01/2027 | 12/20/2027 | (1.000% | ) | 2.289% | $ | (8,400,000 | ) | Quarterly | 468,685 | 388,857 | 79,828 | |||||||||||||||||||||||
Gap, Inc. (The) 3.625%, 10/01/2029 | 12/20/2027 | (1.000% | ) | 7.949% | (8,700,000 | ) | Quarterly | 2,096,835 | 1,685,625 | 411,210 | ||||||||||||||||||||||||
HCA, Inc. 5.875%, 02/15/2026 | 12/20/2027 | (5.000% | ) | 1.640% | (4,800,000 | ) | Quarterly | (717,594 | ) | (703,995 | ) | (13,599 | ) | |||||||||||||||||||||
ING Groep N.V. 1.913%, 09/20/2023 | 12/20/2027 | (1.000% | ) | 1.078% | EUR | (7,850,000 | ) | Quarterly | 28,547 | (10,203 | ) | 38,750 | ||||||||||||||||||||||
Intesa Sanpaolo SpA 2.125%, 05/26/2025 | 12/20/2027 | (1.000% | ) | 1.523% | (8,200,000 | ) | Quarterly | 194,439 | 161,577 | 32,862 | ||||||||||||||||||||||||
ITV Plc 1.375%, 09/26/2026 | 12/20/2027 | (5.000% | ) | 2.969% | (7,050,000 | ) | Quarterly | (610,198 | ) | (855,311 | ) | 245,113 | ||||||||||||||||||||||
Koninklijke Philips N.V. 2.000%, 03/30/2030 | 12/20/2027 | (1.000% | ) | 1.253% | (7,950,000 | ) | Quarterly | 92,537 | (1,156 | ) | 93,693 | |||||||||||||||||||||||
Kroger Co. (The) 4.500%, 01/15/2029 | 12/20/2027 | (1.000% | ) | 0.656% | $ | (8,000,000 | ) | Quarterly | (127,747 | ) | (140,862 | ) | 13,115 | |||||||||||||||||||||
Lumen Technologies, Inc. 7.500%, 04/01/2024 | 12/20/2027 | (1.000% | ) | 7.135% | (2,900,000 | ) | Quarterly | 636,197 | 608,250 | 27,947 | ||||||||||||||||||||||||
Marks & Spencer Plc 4.250%, 12/08/2023 | 12/20/2027 | (1.000% | ) | 5.041% | EUR | (4,550,000 | ) | Quarterly | 721,955 | 692,428 | 29,527 | |||||||||||||||||||||||
McKesson Corp. 7.650%, 03/01/2027 | 12/20/2027 | (1.000% | ) | 0.603% | $ | (8,000,000 | ) | Quarterly | (147,649 | ) | (145,875 | ) | (1,774 | ) | ||||||||||||||||||||
MGM Resorts International 5.750%, 06/15/2025 | 12/20/2027 | (5.000% | ) | 4.255% | (7,600,000 | ) | Quarterly | (226,643 | ) | (356,140 | ) | 129,497 | ||||||||||||||||||||||
Morgan Stanley 3.750%, 02/25/2023 | 12/20/2027 | (1.000% | ) | 1.316% | (8,000,000 | ) | Quarterly | 113,772 | 7,493 | 106,279 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2022 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
Nabors Industries, Inc. 5.750%, 02/01/2025 | 12/20/2027 | (1.000% | ) | 9.068% | $ | (2,900,000 | ) | Quarterly | $ | 778,510 | $ | 732,250 | $ | 46,260 | ||||||||||||||||||||
Netflix, Inc. 4.875%, 06/15/2030 | 12/20/2027 | (5.000% | ) | 2.011% | (7,000,000 | ) | Quarterly | (916,684 | ) | (1,100,372 | ) | 183,688 | ||||||||||||||||||||||
Newell Brands, Inc. 4.100%, 04/01/2023 | 12/20/2027 | (1.000% | ) | 3.447% | (8,550,000 | ) | Quarterly | 863,948 | 785,644 | 78,304 | ||||||||||||||||||||||||
Nokia Oyj 2.000%, 03/15/2024 | 12/20/2027 | (5.000% | ) | 1.859% | EUR | (6,900,000 | ) | Quarterly | (967,411 | ) | (1,074,595 | ) | 107,184 | |||||||||||||||||||||
Omnicom Group, Inc. / Omnicom Capital, Inc. 3.650%, 11/01/2024 | 12/20/2027 | (1.000% | ) | 0.745% | $ | (8,000,000 | ) | Quarterly | (94,287 | ) | (113,943 | ) | 19,656 | |||||||||||||||||||||
OneMain Finance Corp. 5.625%, 03/15/2023 | 12/20/2027 | (5.000% | ) | 6.893% | (1,900,000 | ) | Quarterly | 129,752 | 68,675 | 61,077 | ||||||||||||||||||||||||
Oracle Corp. 3.250%, 11/15/2027 | 12/20/2027 | (1.000% | ) | 1.246% | (400,000 | ) | Quarterly | 4,436 | 4,016 | 420 | ||||||||||||||||||||||||
Ovintiv, Inc. 8.125%, 09/15/2030 | 12/20/2027 | (1.000% | ) | 1.914% | (8,400,000 | ) | Quarterly | 337,552 | 248,353 | 89,199 | ||||||||||||||||||||||||
Pfizer, Inc. 0.800%, 05/28/2025 | 12/20/2027 | (1.000% | ) | 0.473% | (7,900,000 | ) | Quarterly | (194,711 | ) | (208,753 | ) | 14,042 | ||||||||||||||||||||||
Pitney Bowes, Inc. 4.625%, 03/15/2024 | 12/20/2027 | (1.000% | ) | 19.756% | (5,800,000 | ) | Quarterly | 2,527,583 | 2,349,000 | 178,583 | ||||||||||||||||||||||||
PostNL N.V. 1.000%, 11/21/2024 | 12/20/2027 | (1.000% | ) | 1.147% | EUR | (8,000,000 | ) | Quarterly | 54,212 | 53,632 | 580 | |||||||||||||||||||||||
Prudential Plc 5.875%, 05/11/2029 | 12/20/2027 | (1.000% | ) | 1.271% | (8,150,000 | ) | Quarterly | 101,474 | 34,495 | 66,979 | ||||||||||||||||||||||||
Repsol International Finance B.V. 2.250%, 12/10/2026 | 12/20/2027 | (1.000% | ) | 1.210% | (8,000,000 | ) | Quarterly | 77,429 | 11,613 | 65,816 | ||||||||||||||||||||||||
Rexel S.A. 2.125%, 12/15/2028 | 12/20/2027 | (5.000% | ) | 3.962% | (3,800,000 | ) | Quarterly | (161,258 | ) | (254,899 | ) | 93,641 | ||||||||||||||||||||||
Rolls-Royce Plc 0.875%, 05/09/2024 | 12/20/2027 | (1.000% | ) | 5.233% | (2,900,000 | ) | Quarterly | 478,312 | 421,505 | 56,807 | ||||||||||||||||||||||||
SES S.A. 0.875%, 11/04/2027 | 12/20/2027 | (1.000% | ) | 2.172% | (3,250,000 | ) | Quarterly | 168,167 | 157,815 | 10,352 | ||||||||||||||||||||||||
Standard Chartered Plc 4.050%, 04/12/2026 | 12/20/2027 | (1.000% | ) | 1.239% | (7,700,000 | ) | Quarterly | 84,511 | 57,765 | 26,746 | ||||||||||||||||||||||||
Stora Enso Oyj 2.125%, 06/16/2023 | 12/20/2027 | (5.000% | ) | 1.568% | (4,500,000 | ) | Quarterly | (697,854 | ) | (798,528 | ) | 100,674 | ||||||||||||||||||||||
Telecom Italia SpA 3.625%, 01/19/2024 | 12/20/2027 | (1.000% | ) | 5.117% | (9,450,000 | ) | Quarterly | 1,523,039 | 1,631,598 | (108,559 | ) | |||||||||||||||||||||||
Telefonaktiebolaget LM Ericsson 1.875%, 03/01/2024 | 12/20/2027 | (1.000% | ) | 2.401% | (1,300,000 | ) | Quarterly | 79,650 | 75,736 | 3,914 | ||||||||||||||||||||||||
Tenet Healthcare Corp. 6.875%, 11/15/2031 | 12/20/2027 | (5.000% | ) | 4.840% | $ | (7,800,000 | ) | Quarterly | (49,212 | ) | (108,784 | ) | 59,572 | |||||||||||||||||||||
Tesco Plc 6.150%, 11/15/2037 | 12/20/2027 | (1.000% | ) | 1.789% | EUR | (3,200,000 | ) | Quarterly | 113,239 | 73,617 | 39,622 | |||||||||||||||||||||||
UniCredit SpA 2.125%, 10/24/2026 | 12/20/2027 | (1.000% | ) | 1.773% | (8,350,000 | ) | Quarterly | 289,587 | 264,151 | 25,436 | ||||||||||||||||||||||||
United Rentals North America, Inc. 4.875%, 01/15/2028 | 12/20/2027 | (5.000% | ) | 2.787% | $ | (4,350,000 | ) | Quarterly | (408,698 | ) | (516,180 | ) | 107,482 | |||||||||||||||||||||
Uniti Fiber Holdings, Inc. 4.000%, 06/15/2024 | 12/20/2027 | (5.000% | ) | 6.717% | (8,200,000 | ) | Quarterly | 511,210 | 354,199 | 157,011 | ||||||||||||||||||||||||
Universal Health Services, Inc. 2.650%, 10/15/2030 | 12/20/2027 | (1.000% | ) | 2.260% | (4,800,000 | ) | Quarterly | 262,174 | 251,563 | 10,611 |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2022 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
Valeo 3.250%, 01/22/2024 | 12/20/2027 | (1.000% | ) | 3.890% | EUR | (5,150,000 | ) | Quarterly | $ | 612,016 | $ | 567,129 | $ | 44,887 | ||||||||||||||||||||
Valero Energy Corp. 8.750%, 06/15/2030 | 12/20/2027 | (1.000% | ) | 1.181% | $ | (8,200,000 | ) | Quarterly | 66,984 | 15,309 | 51,675 | |||||||||||||||||||||||
Veolia Environnement S.A. 0.892%, 01/14/2024 | 12/20/2027 | (1.000% | ) | 0.865% | EUR | (6,050,000 | ) | Quarterly | (37,794 | ) | (90,278 | ) | 52,484 | |||||||||||||||||||||
Vivendi SE 1.875%, 05/26/2026 | 12/20/2027 | (1.000% | ) | 1.515% | (3,200,000 | ) | Quarterly | 74,826 | 82,354 | (7,528 | ) | |||||||||||||||||||||||
Vodafone Group Plc 1.750%, 08/25/2023 | 12/20/2027 | (1.000% | ) | 1.082% | (8,100,000 | ) | Quarterly | 30,888 | (23,996 | ) | 54,884 | |||||||||||||||||||||||
Whirlpool Corp. 4.750%, 02/26/2029 | 12/20/2027 | (1.000% | ) | 1.859% | $ | (8,200,000 | ) | Quarterly | 310,273 | 326,854 | (16,581 | ) | ||||||||||||||||||||||
WPP Finance S.A. 2.250%, 09/22/2026 | 12/20/2027 | (1.000% | ) | 1.721% | EUR | (8,100,000 | ) | Quarterly | 262,662 | 200,326 | 62,336 | |||||||||||||||||||||||
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Total Buy Protection | $ | 13,045,006 | $ | 7,160,674 | $ | 5,884,332 | ||||||||||||||||||||||||||||
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Sell Protection | ||||||||||||||||||||||||||||||||||
Aegon N.V. 6.125%, 12/15/2031 | 12/20/2027 | 1.000% | 1.324% | EUR | 8,100,000 | Quarterly | $ | (120,255 | ) | $ | (38,076 | ) | $ | (82,179 | ) | |||||||||||||||||||
AES Corp. (The) 1.375%, 01/15/2026 | 12/20/2027 | 5.000% | 1.660% | $ | 7,050,000 | Quarterly | 1,046,799 | 1,096,499 | (49,700 | ) | ||||||||||||||||||||||||
Airbus SE 2.375%, 04/02/2024 | 12/20/2027 | 1.000% | 1.697% | EUR | 8,150,000 | Quarterly | (255,879 | ) | (111,167 | ) | (144,712 | ) | ||||||||||||||||||||||
Alstom S.A. 0.250%, 10/14/2026 | 12/20/2027 | 1.000% | 3.230% | 3,150,000 | Quarterly | (296,745 | ) | (214,468 | ) | (82,277 | ) | |||||||||||||||||||||||
Altria Group, Inc. 2.625%, 09/16/2026 | 12/20/2027 | 1.000% | 1.107% | $ | 8,150,000 | Quarterly | (39,420 | ) | (952 | ) | (38,468 | ) | ||||||||||||||||||||||
American Airlines Group, Inc. 3.750%, 03/01/2025 | 12/20/2027 | 5.000% | 16.029% | 2,400,000 | Quarterly | (691,846 | ) | (525,000 | ) | (166,846 | ) | |||||||||||||||||||||||
Assicurazioni Generali SpA 5.125%, 09/16/2024 | 12/20/2027 | 1.000% | 1.588% | EUR | 8,300,000 | Quarterly | (220,867 | ) | (142,714 | ) | (78,153 | ) | ||||||||||||||||||||||
AT&T, Inc. 3.800%, 02/15/2027 | 12/20/2027 | 1.000% | 1.446% | $ | 8,200,000 | Quarterly | (164,068 | ) | (83,495 | ) | (80,573 | ) | ||||||||||||||||||||||
AXA S.A. 2.875%, 06/15/2024 | 12/20/2027 | 1.000% | 1.116% | EUR | 7,950,000 | Quarterly | (42,871 | ) | 24,462 | (67,333 | ) | |||||||||||||||||||||||
Banco Santander S.A. 1.375%, 12/14/2022 | 12/20/2027 | 1.000% | 1.631% | 3,200,000 | Quarterly | 3,673 | (52,650 | ) | 56,323 | |||||||||||||||||||||||||
BAT International Finance Plc 2.375%, 01/19/2023 | 12/20/2027 | 1.000% | 1.359% | 8,000,000 | Quarterly | (131,231 | ) | (93,587 | ) | (37,644 | ) | |||||||||||||||||||||||
Bath & Body Works, Inc. 5.250%, 02/01/2028 | 12/20/2027 | 1.000% | 4.893% | $ | 9,400,000 | Quarterly | (1,427,162 | ) | (1,339,500 | ) | (87,662 | ) | ||||||||||||||||||||||
Beazer Homes USA, Inc. 6.750%, 03/15/2025 | 12/20/2027 | 5.000% | 8.930% | 7,800,000 | Quarterly | (1,025,047 | ) | (721,500 | ) | (303,547 | ) | |||||||||||||||||||||||
Block Financial LLC 2.500%, 07/15/2028 | 12/20/2027 | 5.000% | 0.842% | 4,400,000 | Quarterly | 841,439 | 855,463 | (14,024 | ) | |||||||||||||||||||||||||
BNP Paribas S.A. 2.875%, 09/26/2023 | 12/20/2027 | 1.000% | 1.272% | EUR | 8,050,000 | Quarterly | 46,415 | (50,070 | ) | 96,485 | ||||||||||||||||||||||||
Bombardier, Inc. 7.450%, 05/01/2034 | 12/20/2027 | 5.000% | 7.777% | $ | 2,900,000 | Quarterly | (281,053 | ) | (268,250 | ) | (12,803 | ) | ||||||||||||||||||||||
BorgWarner, Inc. 3.375%, 03/15/2025 | 12/20/2027 | 1.000% | 1.638% | 8,200,000 | Quarterly | (232,413 | ) | (129,066 | ) | (103,347 | ) | |||||||||||||||||||||||
BP Capital Markets Plc 1.876%, 04/07/2024 | 12/20/2027 | 1.000% | 1.433% | EUR | 4,250,000 | Quarterly | (83,764 | ) | (6,252 | ) | (77,512 | ) |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2022 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
Commerzbank AG 1.000%, 03/04/2026 | 12/20/2027 | 1.000% | 2.102% | EUR | 3,250,000 | Quarterly | $ | (54,355 | ) | $ | (139,231 | ) | $ | 84,876 | ||||||||||||||||||||
Conagra Brands, Inc. 7.000%, 10/01/2028 | 12/20/2027 | 1.000% | 1.010% | $ | 8,000,000 | Quarterly | (3,533 | ) | 29,624 | (33,157 | ) | |||||||||||||||||||||||
Delta Air Lines, Inc. 7.375%, 01/15/2026 | 12/20/2027 | 5.000% | 5.504% | 7,850,000 | Quarterly | (150,402 | ) | 88,080 | (238,482 | ) | ||||||||||||||||||||||||
Deutsche Bank AG 1.125%, 08/30/2023 | 12/20/2027 | 1.000% | 2.371% | EUR | 8,000,000 | Quarterly | (209,797 | ) | (403,440 | ) | 193,643 | |||||||||||||||||||||||
Deutsche Lufthansa AG 0.250%, 09/06/2024 | 12/20/2027 | 1.000% | 5.558% | 3,850,000 | Quarterly | (674,855 | ) | (602,739 | ) | (72,116 | ) | |||||||||||||||||||||||
Devon Energy Corp. 7.950%, 04/15/2032 | 12/20/2027 | 1.000% | 1.744% | $ | 8,300,000 | Quarterly | (273,386 | ) | (119,783 | ) | (153,603 | ) | ||||||||||||||||||||||
DISH DBS Corp. 7.375%, 07/01/2028 | 12/20/2027 | 5.000% | 15.330% | 2,400,000 | Quarterly | (663,008 | ) | (591,000 | ) | (72,008 | ) | |||||||||||||||||||||||
DR Horton, Inc. 4.750%, 02/15/2023 | 12/20/2027 | 1.000% | 1.389% | 3,600,000 | Quarterly | (62,912 | ) | (75,922 | ) | 13,010 | ||||||||||||||||||||||||
EDP Finance B.V. 1.875%, 09/29/2023 | 12/20/2027 | 1.000% | 1.408% | EUR | 4,850,000 | Quarterly | (90,271 | ) | (78,132 | ) | (12,139 | ) | ||||||||||||||||||||||
Enbridge, Inc. 3.500%, 06/10/2024 | 12/20/2027 | 1.000% | 1.140% | $ | 8,100,000 | Quarterly | (51,413 | ) | 937 | (52,350 | ) | |||||||||||||||||||||||
Ford Motor Co. 4.346%, 12/08/2026 | 12/20/2027 | 5.000% | 4.452% | 7,700,000 | Quarterly | 167,633 | 549,379 | (381,746 | ) | |||||||||||||||||||||||||
General Electric Co. 2.700%, 10/09/2022 | 12/20/2027 | 1.000% | 1.626% | 8,250,000 | Quarterly | (229,758 | ) | (106,643 | ) | (123,115 | ) | |||||||||||||||||||||||
Genworth Holdings, Inc. 4.800%, 02/15/2024 | 12/20/2027 | 5.000% | 4.956% | 4,360,000 | Quarterly | 7,657 | 320,772 | (313,115 | ) | |||||||||||||||||||||||||
Glencore Finance Europe Ltd. 1.875%, 09/13/2023 | 12/20/2027 | 5.000% | 2.398% | EUR | 7,000,000 | Quarterly | 794,988 | 972,226 | (177,238 | ) | ||||||||||||||||||||||||
Goldman Sachs Group, Inc. (The) 4.543%, 10/28/2027 | 12/20/2027 | 1.000% | 1.426% | $ | 3,950,000 | Quarterly | (75,557 | ) | (17,058 | ) | (58,499 | ) | ||||||||||||||||||||||
Goodyear Tire & Rubber Co. (The) 5.000%, 05/31/2026 | 12/20/2027 | 5.000% | 5.450% | 7,900,000 | Quarterly | (135,083 | ) | 267,298 | (402,381 | ) | ||||||||||||||||||||||||
Hess Corp. 3.500%, 07/15/2024 | 12/20/2027 | 1.000% | 1.843% | 8,300,000 | Quarterly | (308,345 | ) | (122,503 | ) | (185,842 | ) | |||||||||||||||||||||||
Holcim AG 3.000%, 11/22/2022 | 12/20/2027 | 1.000% | 1.999% | EUR | 8,200,000 | Quarterly | (364,249 | ) | (245,517 | ) | (118,732 | ) | ||||||||||||||||||||||
Host Hotels & Resorts L.P. 3.875%, 04/01/2024 | 12/20/2027 | 1.000% | 1.847% | $ | 8,300,000 | Quarterly | (309,775 | ) | (234,188 | ) | (75,587 | ) | ||||||||||||||||||||||
Howmet Aerospace, Inc. 5.125%, 10/01/2024 | 12/20/2027 | 1.000% | 2.343% | 5,800,000 | Quarterly | (336,469 | ) | (202,119 | ) | (134,350 | ) | |||||||||||||||||||||||
Imperial Brands Finance Plc 1.375%, 01/27/2025 | 12/20/2027 | 1.000% | 1.382% | EUR | 8,150,000 | Quarterly | (142,318 | ) | (107,313 | ) | (35,005 | ) | ||||||||||||||||||||||
Intrum AB 3.125%, 07/15/2024 | 12/20/2027 | 5.000% | 8.087% | 4,150,000 | Quarterly | (446,804 | ) | (178,659 | ) | (268,145 | ) | |||||||||||||||||||||||
Johnson Controls International Plc 3.625%, 07/02/2024 | 12/20/2027 | 1.000% | 0.643% | $ | 7,000,000 | Quarterly | 116,042 | 140,293 | (24,251 | ) | ||||||||||||||||||||||||
KB Home 6.875%, 06/15/2027 | 12/20/2027 | 5.000% | 4.656% | 4,800,000 | Quarterly | 65,268 | 215,729 | (150,461 | ) | |||||||||||||||||||||||||
Koninklijke KPN N.V. 5.625%, 09/30/2024 | 12/20/2027 | 1.000% | 1.024% | EUR | 8,050,000 | Quarterly | (9,337 | ) | 54,368 | (63,705 | ) | |||||||||||||||||||||||
Lamb Weston Holdings, Inc. 4.875%, 05/15/2028 | 12/20/2027 | 1.000% | 2.092% | $ | 2,900,000 | Quarterly | (138,223 | ) | (129,303 | ) | (8,920 | ) |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2022 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
Lennar Corp. 4.875%, 12/15/2023 | 12/20/2027 | 5.000% | 1.987% | $ | 7,200,000 | Quarterly | $ | 951,568 | $ | 929,087 | $ | 22,481 | ||||||||||||||||||||||
Lincoln National Corp. 3.350%, 03/09/2025 | 12/20/2027 | 1.000% | 1.618% | 6,750,000 | Quarterly | (185,550 | ) | (118,301 | ) | (67,249 | ) | |||||||||||||||||||||||
Lumen Technologies, Inc. 7.500%, 04/01/2024 | 12/20/2027 | 1.000% | 7.135% | 9,700,000 | Quarterly | (2,127,971 | ) | (1,799,583 | ) | (328,388 | ) | |||||||||||||||||||||||
MetLife, Inc. 3.600%, 11/13/2025 | 12/20/2027 | 1.000% | 1.065% | 8,100,000 | Quarterly | (23,846 | ) | 45,676 | (69,522 | ) | ||||||||||||||||||||||||
MGIC Investment Corp. 5.250%, 08/15/2028 | 12/20/2027 | 5.000% | 2.350% | 7,100,000 | Quarterly | 813,117 | 979,142 | (166,025 | ) | |||||||||||||||||||||||||
Morgan Stanley 3.750%, 02/25/2023 | 12/20/2027 | 1.000% | 1.316% | 4,850,000 | Quarterly | (68,974 | ) | (54,908 | ) | (14,066 | ) | |||||||||||||||||||||||
Motorola Solutions, Inc. 7.500%, 05/15/2025 | 12/20/2027 | 1.000% | 0.905% | 8,100,000 | Quarterly | 35,294 | 72,720 | (37,426 | ) | |||||||||||||||||||||||||
Murphy Oil Corp. 7.050%, 05/01/2029 | 12/20/2027 | 1.000% | 3.995% | 2,900,000 | Quarterly | (351,046 | ) | (340,750 | ) | (10,296 | ) | |||||||||||||||||||||||
National Grid Plc 0.553%, 09/18/2029 | 12/20/2027 | 1.000% | 1.316% | EUR | 7,950,000 | Quarterly | (115,137 | ) | (11,422 | ) | (103,715 | ) | ||||||||||||||||||||||
Navient Corp. 5.500%, 01/25/2023 | 12/20/2027 | 5.000% | 6.927% | $ | 8,150,000 | Quarterly | (565,720 | ) | (252,099 | ) | (313,621 | ) | ||||||||||||||||||||||
Next Group Plc 3.625%, 05/18/2028 | 12/20/2027 | 1.000% | 3.088% | EUR | 8,600,000 | Quarterly | (762,946 | ) | (560,795 | ) | (202,151 | ) | ||||||||||||||||||||||
NRG Energy, Inc. 5.750%, 01/15/2028 | 12/20/2027 | 5.000% | 3.916% | $ | 2,900,000 | Quarterly | 127,555 | 111,263 | 16,292 | |||||||||||||||||||||||||
Olin Corp. 5.125%, 09/15/2027 | 12/20/2027 | 1.000% | 3.784% | 4,450,000 | Quarterly | (504,831 | ) | (263,517 | ) | (241,314 | ) | |||||||||||||||||||||||
Oracle Corp. 3.250%, 11/15/2027 | 12/20/2027 | 1.000% | 1.246% | 8,250,000 | Quarterly | (91,502 | ) | (91,863 | ) | 361 | ||||||||||||||||||||||||
Pitney Bowes, Inc. 4.625%, 03/15/2024 | 12/20/2027 | 1.000% | 19.756% | 2,900,000 | Quarterly | (1,263,791 | ) | (1,268,750 | ) | 4,959 | ||||||||||||||||||||||||
Premier Foods Finance Plc 3.500%, 10/15/2026 | 12/20/2027 | 5.000% | 4.718% | EUR | 7,050,000 | Quarterly | 78,166 | 376,712 | (298,546 | ) | ||||||||||||||||||||||||
Prudential Financial, Inc. 3.878%, 03/27/2028 | 12/20/2027 | 1.000% | 1.071% | $ | 8,100,000 | Quarterly | (26,109 | ) | 38,001 | (64,110 | ) | |||||||||||||||||||||||
PulteGroup, Inc. 7.875%, 06/15/2032 | 12/20/2027 | 5.000% | 1.925% | 7,100,000 | Quarterly | 960,101 | 972,973 | (12,872 | ) | |||||||||||||||||||||||||
Radian Group, Inc. 4.500%, 10/01/2024 | 12/20/2027 | 5.000% | 2.966% | 7,350,000 | Quarterly | 630,078 | 742,897 | (112,819 | ) | |||||||||||||||||||||||||
Realogy Group LLC / Realogy Co-Issuer Corp. 4.875%, 06/01/2023 | 12/20/2027 | 5.000% | 10.538% | 2,900,000 | Quarterly | (506,546 | ) | (286,375 | ) | (220,171 | ) | |||||||||||||||||||||||
Ryder System, Inc. 3.875%, 12/01/2023 | 12/20/2027 | 1.000% | 2.486% | 6,100,000 | Quarterly | (389,235 | ) | (196,342 | ) | (192,893 | ) | |||||||||||||||||||||||
SES S.A. 0.875%, 11/04/2027 | 12/20/2027 | 1.000% | 2.172% | EUR | 8,050,000 | Quarterly | (416,537 | ) | (309,320 | ) | (107,217 | ) | ||||||||||||||||||||||
Sherwin-Williams Co. (The) 7.375%, 02/01/2027 | 12/20/2027 | 1.000% | 1.322% | $ | 8,100,000 | Quarterly | (117,517 | ) | (67,595 | ) | (49,922 | ) | ||||||||||||||||||||||
Stellantis N.V. 5.250%, 04/15/2023 | 12/20/2027 | 5.000% | 2.662% | EUR | 7,200,000 | Quarterly | 726,437 | 915,900 | (189,463 | ) | ||||||||||||||||||||||||
Swiss Reinsurance Co. Ltd. 0.750%, 01/21/2027 | 12/20/2027 | 1.000% | 1.147% | 3,250,000 | Quarterly | (22,130 | ) | (1,502 | ) | (20,628 | ) | |||||||||||||||||||||||
T-Mobile USA, Inc. 4.750%, 02/01/2028 | 12/20/2027 | 5.000% | 1.447% | $ | 6,900,000 | Quarterly | 1,099,320 | 1,182,768 | (83,448 | ) |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)(Continued)
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS (1)(2)(3) (Continued)
Description | Maturity Date | Fixed Deal (Pay) Rate | Implied Credit Spread at September 30, 2022 | Notional Amount(4) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | ||||||||||||||||||||||||||
Teck Resources Ltd. 6.125%, 10/01/2035 | 12/20/2027 | 5.000% | 2.317% | $ | 7,100,000 | Quarterly | $ | 824,276 | $ | 954,380 | $ | (130,104 | ) | |||||||||||||||||||||
Telefonaktiebolaget LM Ericsson 1.875%, 03/01/2024 | 12/20/2027 | 1.000% | 2.401% | EUR | 8,400,000 | Quarterly | (514,659 | ) | (395,215 | ) | (119,444 | ) | ||||||||||||||||||||||
Telefonica Emisiones S.A. 1.528%, 01/17/2025 | 12/20/2027 | 1.000% | 1.390% | 8,100,000 | Quarterly | (144,470 | ) | (41,992 | ) | (102,478 | ) | |||||||||||||||||||||||
Tesla, Inc. 2.000%, 05/15/2024 | 12/20/2027 | 1.000% | 2.139% | $ | 8,600,000 | Quarterly | (426,919 | ) | (406,908 | ) | (20,011 | ) | ||||||||||||||||||||||
Toll Brothers Finance Corp. 4.375%, 04/15/2023 | 12/20/2027 | 1.000% | 2.784% | 8,700,000 | Quarterly | (658,449 | ) | (646,959 | ) | (11,490 | ) | |||||||||||||||||||||||
UBS Group AG 3.126%, 08/13/2030 | 12/20/2027 | 1.000% | 1.260% | EUR | 8,100,000 | Quarterly | (96,642 | ) | (9,700 | ) | (86,942 | ) | ||||||||||||||||||||||
UniCredit SpA 2.000%, 03/04/2023 | 12/20/2027 | 1.000% | 1.773% | 450,000 | Quarterly | (15,607 | ) | (14,474 | ) | (1,133 | ) | |||||||||||||||||||||||
Verizon Communications, Inc. 4.125%, 03/16/2027 | 12/20/2027 | 1.000% | 1.447% | $ | 8,150,000 | Quarterly | (163,417 | ) | (54,158 | ) | (109,259 | ) | ||||||||||||||||||||||
Volkswagen International Finance N.V. 0.875%, 01/16/2023 | 12/20/2027 | 1.000% | 2.093% | EUR | 8,400,000 | Quarterly | (406,491 | ) | (318,253 | ) | (88,238 | ) | ||||||||||||||||||||||
Wendel SE 1.375%, 04/26/2026 | 12/20/2027 | 5.000% | 1.860% | 3,500,000 | Quarterly | 490,479 | 535,792 | (45,313 | ) | |||||||||||||||||||||||||
Yum! Brands, Inc. 3.625%, 03/15/2031 | 12/20/2027 | 1.000% | 1.800% | $ | 7,550,000 | Quarterly | (266,744 | ) | (253,991 | ) | (12,753 | ) | ||||||||||||||||||||||
Zurich Insurance Co. Ltd. 0.500%, 12/18/2024 | 12/20/2027 | 1.000% | 1.071% | EUR | 3,300,000 | Quarterly | (10,898 | ) | 19,087 | (29,985 | ) | |||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total Sell Protection |
| $ | (10,159,850 | ) | $ | (2,403,541 | ) | $ | (7,756,309 | ) | ||||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||||||
Total | $ | 2,885,156 | $ | 4,757,133 | $ | (1,871,977 | ) | |||||||||||||||||||||||||||
|
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|
|
|
|
(1) | For centrally cleared swaps, when a credit event occurs as defined under the terms of the swap contract, the Fund as a seller of credit protection will either (i) pay a net amount equal to the par value of the defaulted reference entity and deliver the reference entity or (ii) pay a net amount equal to the par value of the defaulted reference entity less its recovery value. |
(2) | For centrally cleared swaps, implied credit spread, represented in absolute terms, utilized in determining the fair value of the credit default swap contracts as of period will serve as an indicator of the payment/ performance risk and represent the likelihood of risk of default for the credit derivative. The implied credit spread of a referenced entity reflects the cost of buying/ selling protection and may include upfront payments required to be made to enter into the contract. Generally, wider credit spreads represent a perceived deterioration of the referenced entity’s credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the swap contract. |
(3) | For centrally cleared swaps, the notional amount represents the maximum potential the Fund may receive as a buyer of credit protection if a credit event occurs, as defined under the terms of the swap contract, for each security included in the CDX North America High Yield Index Series 39. |
(4) | Notional amounts are denominated in currency where indicated and the lines below until currency changes. |
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Description | Maturity Date | Counterparty | Fixed Deal (Pay) Rate | Implied Spread at September 30, | Notional Amount | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | |||||||||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||||||||||
Mexico Government International Bond 4.150%, 03/28/2027 | 6/20/2026 | Barclays Bank Plc | (1.000 | %) | 1.564% | $ | (5,710,000 | ) | Quarterly | $ | 109,127 | $ | 22,998 | $ | 86,129 | |||||||||||||||||||
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|
|
|
| |||||||||||||||||||||||||||||
Total Buy Protection |
| $ | 109,127 | $ | 22,998 | $ | 86,129 | |||||||||||||||||||||||||||
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|
|
|
|
|
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)(Continued)
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation | Maturity Date | Counterparty | Fund Pays/ Receives Floating Rate | Floating Rate Index and Spread | Notional Amount(1) | Periodic Payment Frequency | Fair Value | Upfront Premiums Paid / (Received) | Unrealized Appreciation / (Depreciation) | |||||||||||||||||||||||||
Distell Group Holdings Ltd. ZAR | 11/15/2022 | Goldman Sachs & Co. | Pays | 1 Month SABOR + 1.500% | ZAR | (11,860,088 | ) | Monthly | $ | 1,716 | $ | — | $ | 1,716 | ||||||||||||||||||||
Meggitt Plc GBP | 8/2/2023 | Goldman Sachs & Co. | Pays | 1 Month SONIO + 0.550% | GBP | (2,552,827 | ) | Monthly | 2,136 | — | 2,136 | |||||||||||||||||||||||
Sanne Group Plc GBP | 12/31/2099 | Goldman Sachs & Co. | Pays | 1 Month SONIO + 0.450% | (1,054,359 | ) | Monthly | 3,026 | — | 3,026 | ||||||||||||||||||||||||
Stagecoach Group Plc GBP | 12/31/2099 | Goldman Sachs & Co. | Pays | 1 Month USD LIBOR - 0.400% | (674,774 | ) | Monthly | (2,146 | ) | — | (2,146 | ) | ||||||||||||||||||||||
iBoxx USD Liquid High Yield Index USD | 12/20/2022 | JPMorgan Chase Bank N.A. | Receives | 3 Month USD LIBOR + 0.000% | $ | 110,000,000 | Quarterly | 4,952,047 | — | 4,952,047 | ||||||||||||||||||||||||
Broadcom, Inc. USD | 6/11/2023 | Morgan Stanley & Co. | Receives | FEDL01 - 0.400% | 3,028,951 | Monthly | 358,675 | — | 358,675 | |||||||||||||||||||||||||
Distell Group Holdings Ltd. ZAR | 11/15/2022 | Morgan Stanley & Co. | Pays | 1 Month SABOR + 1.250% | ZAR | (1,405,540 | ) | Monthly | 1,952 | 891 | 1,061 | |||||||||||||||||||||||
Meggitt Plc GBP | 8/2/2023 | Morgan Stanley & Co. | Pays | 1 Month SONIO + 0.900% | GBP | (17,863 | ) | Monthly | 247 | — | 247 | |||||||||||||||||||||||
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| |||||||||||||||||||||||||||||
Total | $ | 5,317,653 | $ | 891 | $ | 5,316,762 | ||||||||||||||||||||||||||||
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(1) | Notional amounts are denominated in foreign currency where indicated and the lines below until currency changes. |
iMGP Alternative Strategies Fund
SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at September 30, 2022 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
COMMON STOCKS |
| |||||||||||||||||||||||||||||
Call |
| |||||||||||||||||||||||||||||
Accenture Plc | Goldman Sachs & Co. | $ | 340.00 | 10/21/2022 | (1 | ) | $ | (25,730 | ) | $ | (37 | ) | $ | (317 | ) | $ | 279 | |||||||||||||
Aerojet Rocketdyne Holdings,Inc. | Morgan Stanley & Co. | 40.00 | 12/16/2022 | (279 | ) | (1,115,721 | ) | (74,633 | ) | (133,148 | ) | 58,516 | ||||||||||||||||||
American Tower Corp. | Morgan Stanley & Co. | 290.00 | 10/21/2022 | (1 | ) | (21,470 | ) | (10 | ) | (357 | ) | 347 | ||||||||||||||||||
Apple, Inc. | Morgan Stanley & Co. | 180.00 | 10/21/2022 | (5 | ) | (69,100 | ) | (15 | ) | (1,509 | ) | 1,494 | ||||||||||||||||||
Blackrock, Inc. | Morgan Stanley & Co. | 740.00 | 10/21/2022 | (1 | ) | (55,028 | ) | (35 | ) | (964 | ) | 929 | ||||||||||||||||||
Bristol-Myers Squibb Co. | Goldman Sachs & Co. | 77.50 | 10/21/2022 | (4 | ) | (28,436 | ) | (40 | ) | (563 | ) | 523 | ||||||||||||||||||
Cano Health, Inc. | Morgan Stanley & Co. | 12.00 | 10/21/2022 | (432 | ) | (374,544 | ) | (6,480 | ) | (8,342 | ) | 1,862 | ||||||||||||||||||
Coca-Cola Co. (The) | Morgan Stanley & Co. | 67.50 | 10/21/2022 | (12 | ) | (67,224 | ) | (24 | ) | (693 | ) | 669 | ||||||||||||||||||
Comcast Corp. | Morgan Stanley & Co. | 40.00 | 10/21/2022 | (6 | ) | (17,598 | ) | (12 | ) | (274 | ) | 262 | ||||||||||||||||||
Cummins, Inc. | Goldman Sachs & Co. | 240.00 | 10/21/2022 | (2 | ) | (40,702 | ) | (30 | ) | (713 | ) | 683 | ||||||||||||||||||
Deere & Co. | Morgan Stanley & Co. | 400.00 | 10/21/2022 | (1 | ) | (33,389 | ) | (45 | ) | (772 | ) | 727 | ||||||||||||||||||
Devon Energy Corp. | Morgan Stanley & Co. | 85.00 | 10/21/2022 | (2 | ) | (12,026 | ) | (12 | ) | (389 | ) | 377 | ||||||||||||||||||
Duke Energy Corp. | Morgan Stanley & Co. | 115.00 | 10/21/2022 | (5 | ) | (46,510 | ) | (25 | ) | (1,034 | ) | 1,009 | ||||||||||||||||||
Elevance Health, Inc. | Goldman Sachs & Co. | 540.00 | 10/21/2022 | (1 | ) | (45,424 | ) | (30 | ) | (1,047 | ) | 1,017 | ||||||||||||||||||
Home Depot, Inc. (The) | Goldman Sachs & Co. | 340.00 | 10/21/2022 | (1 | ) | (27,594 | ) | (8 | ) | (377 | ) | 369 | ||||||||||||||||||
Lockheed Martin Corp. | Morgan Stanley & Co. | 460.00 | 10/21/2022 | (2 | ) | (77,258 | ) | (46 | ) | (1,653 | ) | 1,607 | ||||||||||||||||||
Merck & Co., Inc. | Goldman Sachs & Co. | 95.00 | 10/21/2022 | (6 | ) | (51,672 | ) | (48 | ) | (933 | ) | 885 | ||||||||||||||||||
Microchip Technology, Inc. | Morgan Stanley & Co. | 80.00 | 10/21/2022 | (6 | ) | (36,618 | ) | (60 | ) | (472 | ) | 412 | ||||||||||||||||||
Microsoft Corp. | Morgan Stanley & Co. | 300.00 | 10/21/2022 | (3 | ) | (69,870 | ) | (18 | ) | (1,250 | ) | 1,232 | ||||||||||||||||||
Morgan Stanley | Morgan Stanley & Co. | 97.50 | 10/21/2022 | (7 | ) | (55,307 | ) | (35 | ) | (831 | ) | 796 | ||||||||||||||||||
Newmont Corp. | Morgan Stanley & Co. | 50.00 | 10/21/2022 | (10 | ) | (42,030 | ) | (180 | ) | (657 | ) | 477 | ||||||||||||||||||
Nextera Energy, Inc. | Morgan Stanley & Co. | 92.50 | 10/21/2022 | (9 | ) | (70,569 | ) | (54 | ) | (1,644 | ) | 1,590 | ||||||||||||||||||
Pioneer Natural Resources Co. | Morgan Stanley & Co. | 260.00 | 10/21/2022 | (3 | ) | (64,959 | ) | (162 | ) | (1,765 | ) | 1,603 | ||||||||||||||||||
Procter & Gamble Co. (The) | Morgan Stanley & Co. | 155.00 | 10/21/2022 | (5 | ) | (63,125 | ) | (15 | ) | (1,369 | ) | 1,354 | ||||||||||||||||||
Qualcomm, Inc. | Goldman Sachs & Co. | 165.00 | 10/21/2022 | (5 | ) | (56,490 | ) | (20 | ) | (884 | ) | 864 | ||||||||||||||||||
Starbucks Corp. | Goldman Sachs & Co. | 92.50 | 10/21/2022 | (8 | ) | (67,408 | ) | (384 | ) | (1,142 | ) | 758 | ||||||||||||||||||
Union Pacific Corp. | Goldman Sachs & Co. | 250.00 | 10/21/2022 | (2 | ) | (38,964 | ) | (10 | ) | (733 | ) | 723 | ||||||||||||||||||
United Parcel Service, Inc. | Morgan Stanley & Co. | 220.00 | 10/21/2022 | (4 | ) | (64,616 | ) | (24 | ) | (1,227 | ) | 1,203 | ||||||||||||||||||
Unitedhealth Group, Inc. | Goldman Sachs & Co. | 570.00 | 10/21/2022 | (1 | ) | (50,504 | ) | (81 | ) | (1,232 | ) | 1,151 | ||||||||||||||||||
Williams Cos., Inc. (The) | Morgan Stanley & Co. | 37.00 | 10/21/2022 | (19 | ) | (54,397 | ) | (190 | ) | (926 | ) | 736 | ||||||||||||||||||
Zendesk, Inc. | Pershing LLC | 85.00 | 10/21/2022 | (480 | ) | (3,652,800 | ) | (46,800 | ) | (4,267 | ) | (42,533 | ) | |||||||||||||||||
�� |
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Total Written Options |
| $ | (129,563 | ) | $ | (171,484 | ) | $ | 41,921 | |||||||||||||||||||||
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|
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS: 0.0% | ||||||||
Consumer Staples: 0.0% | ||||||||
648 | Moran Foods LLC* | $ | 432 | |||||
|
| |||||||
| TOTAL COMMON STOCKS | 432 | ||||||
|
| |||||||
RIGHTS/WARRANTS: 0.0% | ||||||||
BlackRock Corporate High Yield Fund, Inc. | ||||||||
10,740 | (Expiration date 10/13/22)* | 21 | ||||||
|
| |||||||
| TOTAL RIGHTS/WARRANTS | 21 | ||||||
|
| |||||||
PREFERRED STOCKS: 3.1% | ||||||||
Financials: 3.1% | ||||||||
American Financial Group, Inc. |
| |||||||
1,789 | 4.500%, 09/15/2060 | 35,404 | ||||||
Assurant, Inc. |
| |||||||
2,000 | 5.250%, 01/15/2061 | 42,560 | ||||||
Bank of America Corp. |
| |||||||
4,000 | 4.375%, 11/03/2025(a) | 73,120 | ||||||
Bank of America Corp. |
| |||||||
6,000 | 4.125%, 02/02/2026(a) | 103,320 | ||||||
CNO Financial Group, Inc. |
| |||||||
2,000 | 5.125%, 11/25/2060 | 39,240 | ||||||
Eagle Point Credit Co., Inc. |
| |||||||
32,000 | 5.375%, 01/31/2029 | 690,224 | ||||||
Equitable Holdings, Inc. |
| |||||||
2,800 | 4.300%, 03/15/2026(a) | 46,900 | ||||||
Federal Agricultural Mortgage Corp. |
| |||||||
2,000 | 5.750%, 07/17/2025(a) | 46,600 | ||||||
First Eagle Alternative Capital BDC, Inc. |
| |||||||
26,600 | 5.000%, 05/25/2026 | 602,756 | ||||||
First Republic Bank |
| |||||||
2,400 | 4.125%, 10/30/2025(a) | 41,280 | ||||||
First Republic Bank |
| |||||||
8,000 | 4.250%, 03/30/2026(a) | 142,640 | ||||||
First Republic Bank - Series N |
| |||||||
800 | 4.500%, 12/31/2026(a) | 14,824 | ||||||
Gladstone Investment Corp. |
| |||||||
6,600 | 4.875%, 11/01/2028 | 152,988 | ||||||
Oxford Lane Capital Corp. |
| |||||||
23,400 | 5.000%, 01/31/2027 | 528,840 | ||||||
PartnerRe Ltd. |
| |||||||
1,158 | 4.875%, 03/15/2026(a) | 21,817 | ||||||
Prudential Financial, Inc. |
| |||||||
4,175 | 4.125%, 09/01/2060 | 83,333 | ||||||
Reinsurance Group of America, Inc. |
| |||||||
4,000 | 7.125%, 10/15/2052(b) | 100,780 | ||||||
Selective Insurance Group, Inc. |
| |||||||
2,000 | 4.600%, 12/15/2025(a) | 34,940 | ||||||
Trinity Capital, Inc. |
| |||||||
17,000 | 7.000%, 01/16/2025 | 426,062 | ||||||
W R Berkley Corp. |
| |||||||
755 | 4.250%, 09/30/2060 | 12,827 | ||||||
W R Berkley Corp. |
| |||||||
5,619 | 4.125%, 03/30/2061 | 98,333 | ||||||
Wells Fargo & Co. |
| |||||||
6,000 | 4.700%, 12/15/2025(a) | 111,180 | ||||||
|
| |||||||
3,449,968 | ||||||||
|
|
Shares | Value | |||||||
Real Estate: 0.0% | ||||||||
Public Storage |
| |||||||
1,744 | 4.125%, 08/14/2025(a) | $ | 31,828 | |||||
|
| |||||||
| TOTAL PREFERRED STOCKS | 3,481,796 | ||||||
|
| |||||||
CLOSED-END FUNDS: 0.3% | ||||||||
3,065 | Ares Dynamic Credit Allocation Fund, Inc. | 36,014 | ||||||
10,740 | BlackRock Corporate High Yield Fund, Inc. | 91,827 | ||||||
7,504 | BlackRock Credit Allocation Income Trust | 71,588 | ||||||
2,922 | BlackRock Debt Strategies Fund, Inc. | 26,064 | ||||||
7,753 | Blackstone Strategic Credit Fund | 82,415 | ||||||
4,076 | Eaton Vance Ltd. Duration Income Fund | 37,540 | ||||||
6,537 | Western Asset High Income Opportunity Fund, Inc. | 24,056 | ||||||
|
| |||||||
| TOTAL CLOSED-END FUNDS | 369,504 | ||||||
|
| |||||||
Principal Amount^ | ||||||||
ASSET-BACKED SECURITIES: 14.7% | ||||||||
AASET Trust |
| |||||||
$220,258 | Series 2019-2-B | 106,487 | ||||||
160,110 | Series 2020-1A-B | 69,171 | ||||||
AASET US Ltd. |
| |||||||
153,237 | Series 2018-2A-A | 127,097 | ||||||
ABPCI Direct Lending Fund ABS I Ltd. |
| |||||||
120,000 | Series 2020-1A-B | 110,768 | ||||||
ABPCI Direct Lending Fund CLO I LLC |
| |||||||
250,000 | Series 2017-1A-DR | 224,105 | ||||||
ABPCI Direct Lending Fund IX LLC |
| |||||||
500,000 | Series 2020-9A-BR | 451,544 | ||||||
Adams Outdoor Advertising L.P. |
| |||||||
352,391 | Series 2018-1-A | 333,981 | ||||||
Anchorage Credit Funding 4 Ltd. |
| |||||||
250,000 | Series 2016-4A-CR | 192,845 | ||||||
Applebee’s Funding LLC / IHOP Funding LLC |
| |||||||
247,500 | Series 2019-1A-A2I | 235,436 | ||||||
99,000 | Series 2019-1A-A2II | 92,680 | ||||||
Ares Finance Co. II LLC |
| |||||||
500,000 | 0.000%, 10/15/2036 | 472,500 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Atlas Senior Loan Fund Ltd. |
| |||||||
$350,000 | Series 2018-9A-C | $ | 332,309 | |||||
Business Jet Securities LLC |
| |||||||
343,229 | 2022-1A B | 315,508 | ||||||
85,072 | Series 2020-1A-B | 76,154 | ||||||
CARS-DB4 L.P. |
| |||||||
220,000 | Series 2020-1A-B1 | 204,078 | ||||||
100,000 | Series 2020-1A-B3 | 84,536 | ||||||
Castlelake Aircraft Securitization Trust |
| |||||||
97,010 | Series 2018-1-A | 85,031 | ||||||
Castlelake Aircraft Structured Trust |
| |||||||
181,323 | Series 2021-1A-B | 148,675 | ||||||
CHCP Ltd. |
| |||||||
100,000 | Series 2021-FL1-D | 97,419 | ||||||
CIFC Funding II Ltd. |
| |||||||
250,000 | Series 2017-2A-DR 5.810%, 04/20/2030(c)(d) 3 mo. USD LIBOR + 3.100% | 225,523 | ||||||
Digital Brige Issuer LLC |
| |||||||
350,000 | Series 2021-1A-A2 3.933%, 09/25/2051(c) | 302,632 | ||||||
Dryden Senior Loan Fund |
| |||||||
300,000 | Series 2021-87A-SUB 0.000%, 05/20/2034(b)(c) | 234,420 | ||||||
Elm Trust |
| |||||||
110,000 | Series 2020-4A-B 3.866%, 10/20/2029(c) | 102,928 | ||||||
Falcon Aerospace Ltd. |
| |||||||
245,854 | Series 2017-1-B 6.300%, 02/15/2042(c) | 213,374 | ||||||
First Franklin Mortgage Loan Trust |
| |||||||
449,891 | Series 2006-FF16-2A4 3.504%, 12/25/2036(d) 1 mo. USD LIBOR + 0.420% | 213,715 | ||||||
FirstKey Homes Trust |
| |||||||
150,000 | Series 2020-SFR2-G1 4.000%, 10/19/2037(c) | 134,431 | ||||||
100,000 | Series 2020-SFR2-G2 4.500%, 10/19/2037(c) | 90,726 | ||||||
Firstkey Revolving Trust |
| |||||||
150,000 | 0.000%, 11/30/2058 | 142,669 | ||||||
FS Rialto Issuer LLC |
| |||||||
100,000 | Series 2022-FL5-C 6.940%, 06/19/2037(c)(d) TSFR1M + 3.921% | 97,981 | ||||||
100,000 | Series 2022-FL6-C 7.248%, 08/17/2037(c)(d) TSFR1M + 4.230% | 98,480 | ||||||
GAIA Aviation Ltd. |
| |||||||
150,059 | Series 2019-1-A 3.967%, 12/15/2044(c)(e) | 121,879 |
Principal Amount^ | Value | |||||||
GoldentTree Loan Management US CLO 1 Ltd. |
| |||||||
$250,000 | Series 2021-9A-D 5.610%, 01/20/2033(c)(d) 3 mo. USD LIBOR + 2.900% | $ | 221,375 | |||||
Golub Capital Partners ABS Funding Ltd. |
| |||||||
150,000 | Series 2020-1A-B 4.496%, 01/22/2029(c) | 142,382 | ||||||
Hotwire Funding LLC |
| |||||||
750,000 | Series 2021-1-C 4.459%, 11/20/2051(c) | 614,022 | ||||||
Hull Street CLO Ltd. |
| |||||||
7,512 | Series 2014-1A-CR 5.440%, 10/18/2026(c)(d) 3 mo. USD LIBOR + 2.700% | 7,505 | ||||||
IP Lending II Ltd. |
| |||||||
100,000 | Series 2021-2A-SNR 3.650%, 07/15/2025(c) | 89,242 | ||||||
JOL Air Ltd. |
| |||||||
191,726 | Series 2019-1-A 3.967%, 04/15/2044(c) | 159,797 | ||||||
LCCM Trust |
| |||||||
150,000 | Series 2021-FL3-C 5.418%, 11/15/2038(c)(d) 1 mo. USD LIBOR + 2.600% | 144,812 | ||||||
LCM 35 Ltd. |
| |||||||
520,000 | Series 35A-SUB 0.000%, 10/15/2034(c)(b) | 389,163 | ||||||
LCM 37 Ltd. |
| |||||||
300,000 | Series 37A-SUB 0.000%, 04/15/2034(c)(b) | 213,771 | ||||||
LCM 39 Ltd. |
| |||||||
250,000 | Series 39A-E 0.000%, 10/15/2034(c)(d) TSFR3M + 8.830% | 238,479 | ||||||
LoanCore Issuer Ltd. |
| |||||||
200,000 | Series 2022-CRE7-D 5.384%, 01/17/2037(c)(d) SOFR 30-day + 3.100% | 188,303 | ||||||
LoanCore Issuer Ltd. |
| |||||||
100,000 | Series 2021-CRE5-D 5.818%, 07/15/2036(c)(d) 1 mo. USD LIBOR + 3.000% | 92,409 | ||||||
100,000 | Series 2021-CRE6-D 5.668%, 11/15/2038(c)(d) 1 mo. USD LIBOR + 2.850% | 94,560 | ||||||
Madison Park Funding XLVIII Ltd. |
| |||||||
250,000 | Series 2021-48A-D 5.738%, 04/19/2033(c)(d) 3 mo. USD LIBOR + 3.000% | 225,862 | ||||||
Marathon CLO V Ltd. |
| |||||||
250,000 | Series 2013-5A-BR 4.834%, 11/21/2027(c)(d) 3 mo. USD LIBOR + 1.850% | 240,794 | ||||||
MCA Fund Holding LLC |
| |||||||
202,459 | Series 2020-1-B 4.247%, 11/15/2035(c) | 192,344 | ||||||
MF1 LLC |
| |||||||
250,000 | Series 2022-FL10-C 7.507%, 09/17/2037(c)(d) TSFR1M + 4.483% | 253,776 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
MidOcean Credit CLO VII |
| |||||||
$500,000 | Series 2017-7A-CR 4.712%, 07/15/2029(c)(d) 3 mo. USD LIBOR + 2.200% | $ | 461,954 | |||||
Monroe Capital ABS Funding Ltd. |
| |||||||
180,000 | Series 2021-1A-A2 2.815%, 04/22/2031(c) | 158,528 | ||||||
Monroe Capital Income Plus ABS Funding LLC |
| |||||||
140,000 | Series 2022-1A-B 5.150%, 04/30/2032(c) | 127,005 | ||||||
Morgan Stanley ABS Capital I, Inc. Trust |
| |||||||
276,589 | Series 2006-HE8-A2D 3.304%, 10/25/2036(d) 1 mo. USD LIBOR + 0.220% | 137,197 | ||||||
356,821 | Series 2007-HE4-A2C 3.314%, 02/25/2037(d) 1 mo. USD LIBOR + 0.230% | 121,975 | ||||||
Morgan Stanley IXIS Real Estate Capital Trust |
| |||||||
355,412 | Series 2006-2-A4 3.304%, 11/25/2036(d) 1 mo. USD LIBOR + 0.220% | 131,562 | ||||||
Nassau CFO LLC |
| |||||||
162,413 | Series 2019-1-A 3.980%, 08/15/2034(c) | 155,469 | ||||||
Neuberger Berman Loan Advisers CLO 44 Ltd. |
| |||||||
250,000 | Series 2021-44A-SUB 0.000%, 10/16/2034(c)(b) | 218,638 | ||||||
Newtek Small Business Loan Trust |
| |||||||
84,785 | Series 2018-1-A 5.700%, 02/25/2044(c)(d) 1 mo. PRIME - 0.550% | 83,736 | ||||||
38,539 | Series 2018-1-B 7.000%, 02/25/2044(c)(d) 1 mo. PRIME + 0.750% | 38,121 | ||||||
Northwoods Capital 20 Ltd. |
| |||||||
250,000 | Series 2019-20A-DR 7.053%, 01/25/2032(c)(d) 3 mo. USD LIBOR + 4.270% | 220,616 | ||||||
Northwoods Capital 22 Ltd. |
| |||||||
250,000 | Series 2020-22A ER 11.137%, 09/01/2031(c)(d) TSFR3M + 8.190% | 220,637 | ||||||
Oportun Issuance Trust 2022-A |
| |||||||
350,000 | Series 2022-A-B 5.250%, 06/09/2031(c) | 331,313 | ||||||
Oxford Finance Funding LLC |
| |||||||
244,585 | Series 2020-1A-B 4.037%, 02/15/2028(c) | 235,129 | ||||||
Palmer Square Loan Funding Ltd. |
| |||||||
250,000 | Series 2021-1A-C 5.610%, 04/20/2029(c)(d) 3 mo. USD LIBOR + 2.900% | 231,113 | ||||||
200,000 | Series 2021-2A-SUB 0.000%, 05/20/2029(c)(b) | 144,101 | ||||||
250,000 | Series 2021-3A-C 5.210%, 07/20/2029(c)(d) 3 mo. USD LIBOR + 2.500% | 222,909 | ||||||
200,000 | Series 2021-3A-SUB 0.000%, 07/20/2029(c)(b) | 151,680 |
Principal Amount^ | Value | |||||||
PennantPark CLO Ltd. |
| |||||||
$250,000 | Series 2020-2A-D 9.012%, 01/15/2032(c)(d) 3 mo. USD LIBOR + 6.500% | $ | 233,469 | |||||
Raspro Trust |
| |||||||
492,471 | Series 2005-1A-B2 3.635%, 03/23/2024(c)(d) 3 mo. USD LIBOR + 0.925% | 456,653 | ||||||
ReadyCap Lending Small Business Loan Trust |
| |||||||
92,715 | Series 2019-2-A 5.750%, 12/27/2044(c)(d) 1 mo. PRIME - 0.500% | 89,072 | ||||||
Republic Finance Issuance Trust |
| |||||||
240,000 | Series 2020-A-B 3.540%, 11/20/2030(c) | 219,572 | ||||||
Saganaw Insurance Recievables LLC |
| |||||||
14,716 | Series 2019-1A-A 5.125%, 12/01/2023(c) | 14,680 | ||||||
Sapphire Aviation Finance I Ltd. |
| |||||||
123,944 | Series 2018-1A-A 4.250%, 03/15/2040(c) | 91,529 | ||||||
Sapphire Aviation Finance II Ltd. |
| |||||||
233,783 | Series 2020-1A-B 4.335%, 03/15/2040(c) | 150,186 | ||||||
Secured Tenant Site Contract Revenue Notes |
| |||||||
114,709 | Series 2018-1A-C 3.970%, 06/15/2048(c) | 113,429 | ||||||
SERVPRO Master Issuer LLC |
| |||||||
97,250 | Series 2019-1A-A2 3.882%, 10/25/2049(c) | 86,611 | ||||||
Sprite Ltd. |
| |||||||
231,060 | Series 2021-1-A 3.750%, 11/15/2046(c) | 195,571 | ||||||
Stack Infrastructure Issuer LLC |
| |||||||
443,517 | Series 2019-1A-A2 4.540%, 02/25/2044(c) | 438,311 | ||||||
Start Ltd. |
| |||||||
150,149 | Series 2018-1-A 4.089%, 05/15/2043(c) | 120,041 | ||||||
STWD Ltd. |
| |||||||
100,000 | Series 2022-FL3-D 5.035%, 11/15/2038(c)(d) SOFR 30-day + 2.750% | 94,260 | ||||||
Sunbird Engine Finance LLC |
| |||||||
187,597 | Series 2020-1A-B 4.703%, 02/15/2045(c) | 140,698 | ||||||
Symphony CLO XXXI Ltd. |
| |||||||
650,000 | Series 2022-31A-SUB 0.000%, 04/22/2035(c)(b) | 570,341 | ||||||
Thrust Engine Leasing |
| |||||||
419,007 | Series 2021-1A-B 6.121%, 07/15/2040(c) | 340,066 | ||||||
Vault DI Issuer LLC |
| |||||||
250,000 | Series 2021-1A-A2 2.804%, 07/15/2046(c) | 214,490 | ||||||
VB-S1 Issuer LLC - VBTEL |
| |||||||
250,000 | Series 2022-1A-F 5.268%, 02/15/2052(c) | 219,258 | ||||||
VCP RRL ABS I Ltd. |
| |||||||
77,441 | Series 2021-1A-C 5.425%, 10/20/2031(c) | 71,074 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
ASSET-BACKED SECURITIES (CONTINUED) | ||||||||
Venture XIII CLO Ltd. |
| |||||||
$250,000 | Series 2013-13A-SUB 0.000%, 09/10/2029(c)(b) | $ | 39,452 | |||||
Wingstop Funding LLC |
| |||||||
100,000 | Series 2022-1A-A2 3.734%, 03/05/2052(c) | 84,751 | ||||||
|
| |||||||
| TOTAL ASSET-BACKED SECURITIES | 16,622,875 | ||||||
|
| |||||||
BANK LOANS: 25.8% | ||||||||
AAdvantage Loyalty IP Ltd. |
| |||||||
700,000 | 7.460%, 04/20/2028(d) 3 mo. LIBOR + 4.750% | 680,050 | ||||||
Accuride Corp. |
| |||||||
44,109 | 8.924%, 11/17/2023(d) 3 mo. LIBOR + 5.250% | 38,319 | ||||||
AHP Health Partners, Inc. |
| |||||||
762,300 | 6.615%, 08/24/2028(d) 1 mo. LIBOR + 3.500% | 728,713 | ||||||
AI Aqua Merger Sub, Inc. |
| |||||||
100,000 | 0.000%, 07/31/2028(f) | 93,157 | ||||||
99,750 | 6.346%, 07/31/2028(d) 1 mo. SOFR + 3.750% | 92,924 | ||||||
Air Canada |
| |||||||
733,163 | 6.421%, 08/11/2028(d) 3 mo. LIBOR + 3.500% | 699,059 | ||||||
AL NGPL Holdings LLC |
| |||||||
315,593 | 6.098%, 04/14/2028(d) 3 mo. LIBOR + 3.750% | 311,058 | ||||||
Allen Media LLC |
| |||||||
516,666 | 9.203%, 02/10/2027(d) 3 mo. LIBOR + 5.500% | 448,854 | ||||||
AllSpring Buyer LLC |
| |||||||
661,996 | 6.688%, 11/01/2028(d) 3 mo. LIBOR + 3.000% | 644,370 | ||||||
155,000 | 7.303%, 11/01/2028(d) 3 mo. SOFR + 4.000% | 152,676 | ||||||
American Rock Salt Co. LLC |
| |||||||
98,750 | 7.120%, 06/09/2028(d) 1 mo. LIBOR + 4.000% | 91,714 | ||||||
Anchor Packaging, Inc. |
| |||||||
97,334 | 7.115%, 07/18/2026(d) 1 mo. LIBOR + 4.000% | 94,292 | ||||||
API Technologies Corp. |
| |||||||
96,750 | 7.924%, 05/09/2026(d) 3 mo. LIBOR + 4.250% | 85,140 | ||||||
Apttus Corp. |
| |||||||
99,000 | 7.117%, 05/08/2028(d) 3 mo. LIBOR + 4.250% | 91,575 | ||||||
Arcline FM Holdings LLC |
| |||||||
99,000 | 7.000%, 06/23/2028(d) 6 mo. LIBOR + 4.750% | 92,318 | ||||||
Arctic Glacier U.S.A., Inc. |
| |||||||
100,000 | 7.174%, 03/20/2024(d) 3 mo. LIBOR + 3.500% | 89,188 | ||||||
Armor Holding II LLC |
| |||||||
148,875 | 8.174%, 12/11/2028(d) 3 mo. LIBOR + 4.500% | 144,967 | ||||||
Aston FinCo S.A.R.L. |
| |||||||
97,500 | 7.365%, 10/09/2026(d) 1 mo. LIBOR + 4.250% | 91,975 |
Principal Amount^ | Value | |||||||
AthenaHealth, Inc. |
| |||||||
$61,593 | 0.000%, 02/15/2029(f) | $ | 55,341 | |||||
363,397 | 0.000%, 02/15/2029(f) | 326,513 | ||||||
362,497 | 6.576%, 02/15/2029(d) 1 mo. SOFR + 3.500% | 325,704 | ||||||
Atlas CC Acquisition Corp. |
| |||||||
82,060 | 7.320%, 05/25/2028(d) 3 mo. LIBOR + 4.250% | 72,233 | ||||||
16,690 | 7.320%, 05/25/2028(d) 3 mo. LIBOR + 4.250% | 14,692 | ||||||
Bausch Health Cos., Inc. |
| |||||||
103,688 | 8.098%, 02/01/2027(d) 1 mo. SOFR + 5.250% | 80,091 | ||||||
BCP Renaissance Parent LLC |
| |||||||
283,919 | 7.174%, 10/31/2024(d) 1 mo. LIBOR + 3.500% | 281,790 | ||||||
605,788 | 0.000%, 10/31/2026(f) | 582,747 | ||||||
BCPE Empire Holdings, Inc. |
| |||||||
97,061 | 7.115%, 06/11/2026(d) 1 mo. LIBOR + 4.000% | 92,653 | ||||||
99,250 | 7.115%, 06/11/2026(d) 1 mo. LIBOR + 4.000% | 95,445 | ||||||
Blue Ribbon LLC |
| |||||||
241,154 | 8.564%, 05/08/2028(d) 1 mo. LIBOR + 6.000% | 207,694 | ||||||
BWAY Holding Co. |
| |||||||
57,078 | 5.814%, 04/03/2024(d) 1 mo. LIBOR + 3.250% | 53,404 | ||||||
Cambrex Corp. |
| |||||||
96,394 | 6.634%, 12/04/2026(d) 1 mo. SOFR + 3.600% | 92,598 | ||||||
Camin Cargo Control, Inc. |
| |||||||
95,360 | 9.615%, 06/04/2026(d) 1 mo. LIBOR + 6.500% | 92,023 | ||||||
Capstone Acquisition Holdings, Inc. |
| |||||||
13,194 | 0.000%, 11/12/2027(f) | 12,931 | ||||||
98,496 | 7.865%, 11/12/2027(d) 1 mo. LIBOR + 4.750% | 96,526 | ||||||
Cast and Crew Payroll LLC |
| |||||||
47,865 | 6.615%, 02/09/2026(d) 1 mo. LIBOR + 3.500% | 46,788 | ||||||
CCRR Parent, Inc. |
| |||||||
98,500 | 6.870%, 03/06/2028(d) 1 mo. LIBOR + 3.750% | 95,176 | ||||||
CD&R Hydra Buyer, Inc. |
| |||||||
96,700 | 7.365%, 12/11/2024(d) 1 mo. LIBOR + 4.250% | 92,933 | ||||||
CDK Global, Inc. |
| |||||||
620,000 | 6.610%, 07/06/2029(d) 3 mo. SOFR + 4.500% | 598,725 | ||||||
Cengage Learning, Inc. |
| |||||||
46,398 | 7.814%, 07/14/2026(d) 3 mo. LIBOR + 4.750% | 42,128 | ||||||
Charter NEX US, Inc. |
| |||||||
98,250 | 6.556%, 12/01/2027(d) 3 mo. LIBOR + 3.750% | 93,483 | ||||||
Chef’s Warehouse Leasing Co. LLC (The) |
| |||||||
100,000 | 7.925%, 08/23/2029(d) 1 mo. SOFR + 4.750% | 99,625 | ||||||
Clarios Global L.P. |
| |||||||
664,521 | 0.000%, 04/30/2026(f) | 630,604 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Clarios Global L.P. (continued) |
| |||||||
$579,243 | 6.365%, 04/30/2026(d) 1 mo. LIBOR + 3.250% | $ | 549,678 | |||||
Claros Mortgage Trust, Inc. |
| |||||||
99,250 | 7.254%, 08/09/2026(d) 1 mo. SOFR + 4.500% | 95,528 | ||||||
Comet Acquisition, Inc. |
| |||||||
96,250 | 7.174%, 10/24/2025(d) 3 mo. LIBOR + 3.500% | 92,801 | ||||||
Confluent Medical Technologies, Inc. |
| |||||||
99,500 | 7.303%, 02/16/2029(d) 3 mo. SOFR + 3.750% | 94,028 | ||||||
Congruex Group LLC |
| |||||||
99,750 | 8.475%, 05/03/2029(d) 3 mo. SOFR + 5.750% | 97,256 | ||||||
Connect Finco S.A.R.L |
| |||||||
512,121 | 6.615%, 12/11/2026(d) 1 mo. LIBOR + 3.500% | 478,196 | ||||||
CP Atlas Buyer, Inc. |
| |||||||
98,526 | 6.615%, 11/23/2027(d) 1 mo. LIBOR + 3.500% | 86,309 | ||||||
CPC Acquisition Corp. |
| |||||||
197,000 | 7.424%, 12/29/2027(d) 3 mo. LIBOR + 3.750% | 154,562 | ||||||
CPM Holdings, Inc. |
| |||||||
96,250 | 6.064%, 11/17/2025(d) 1 mo. LIBOR + 3.500% | 93,182 | ||||||
Cross Financial Corp. |
| |||||||
98,750 | 7.125%, 09/15/2027(d) 1 mo. LIBOR + 4.000% | 96,116 | ||||||
Deerfield Dakota Holding LLC |
| |||||||
97,750 | 6.784%, 04/09/2027(d) 1 mo. SOFR + 3.750% | 92,455 | ||||||
Del Monte Foods, Inc. |
| |||||||
200,000 | 7.368%, 05/16/2029(d) 1 mo. SOFR + 4.350% | 192,083 | ||||||
Denali Water Solutions |
| |||||||
61,156 | 7.924%, 03/27/2028(d) 3 mo. LIBOR + 4.250% | 50,453 | ||||||
DG Investment Intermediate Holdings 2, Inc. |
| |||||||
98,753 | 6.865%, 03/31/2028(d) 1 mo. LIBOR + 3.750% | 92,304 | ||||||
Dhanani Group, Inc. |
| |||||||
100,000 | 8.848%, 07/20/2025(d) 1 mo. SOFR + 6.000% | 97,500 | ||||||
DXP Enterprises, Inc. |
| |||||||
97,392 | 7.865%, 12/16/2027(d) 1 mo. LIBOR + 4.750% | 93,520 | ||||||
Eastern Power LLC |
| |||||||
379,807 | 7.424%, 10/02/2025(d) 3 mo. LIBOR + 3.750% | 326,133 | ||||||
Eisner Advisory Group LLC |
| |||||||
148,625 | 8.399%, 07/28/2028(d) 1 mo. SOFR + 5.250% | 141,937 | ||||||
EyeCare Partners LLC |
| |||||||
97,653 | 7.424%, 02/18/2027(d) 3 mo. LIBOR + 3.750% | 88,925 | ||||||
Fertitta Entertainment LLC |
| |||||||
99,500 | 7.034%, 01/27/2029(d) 1 mo. SOFR + 4.000% | 92,587 | ||||||
First Brands Group LLC |
| |||||||
247,742 | 8.369%, 03/30/2027(d) 3 mo. SOFR + 5.000% | 239,009 |
Principal Amount^ | Value | |||||||
Firstdigital Communications LLC |
| |||||||
$50,000 | 7.313%, 12/17/2026(d) 1 mo. LIBOR + 4.250% | $ | 48,951 | |||||
Florida Food Products LLC |
| |||||||
99,500 | 8.115%, 10/18/2028(d) 1 mo. LIBOR + 5.000% | 92,038 | ||||||
FR Refuel LLC |
| |||||||
99,279 | 8.418%, 11/08/2028(d) 3 mo. LIBOR + 4.750% | 95,556 | ||||||
Franchise Group Intermediate Holdco LLC |
| |||||||
79,910 | 7.563%, 03/10/2026(d) 1 mo. LIBOR + 4.750% | 74,950 | ||||||
GEON Performance Solutions LLC |
| |||||||
356,400 | 7.613%, 08/18/2028(d) 1 mo. LIBOR + 4.500% | 345,262 | ||||||
Gibson Brands Inc. |
| |||||||
99,250 | 7.939%, 08/11/2028(d) 1 mo. LIBOR + 5.000% | 80,393 | ||||||
GIP II Blue Holding, L.P |
| |||||||
304,831 | 8.174%, 09/29/2028(d) 3 mo. LIBOR + 4.500% | 301,020 | ||||||
Global Medical Response, Inc. |
| |||||||
257,325 | 7.365%, 03/14/2025(d) 1 mo. LIBOR + 4.250% | 223,890 | ||||||
Gloves Buyer, Inc. |
| |||||||
197,500 | 7.115%, 12/29/2027(d) 1 mo. LIBOR + 4.000% | 186,390 | ||||||
GT Polaris, Inc. |
| |||||||
98,254 | 6.556%, 09/24/2027(d) 3 mo. LIBOR + 3.750% | 93,013 | ||||||
Hamilton Projects Acquiror LLC |
| |||||||
70,896 | 8.174%, 06/17/2027(d) 3 mo. LIBOR + 4.500% | 69,833 | ||||||
Help At Home, Inc. |
| |||||||
88,656 | 8.710%, 10/29/2027(d) 3 mo. SOFR + 5.000% | 84,667 | ||||||
9,869 | 8.710%, 10/29/2027(d) 3 mo. SOFR + 5.000% | 9,425 | ||||||
149,250 | 8.710%, 10/29/2027(d) 3 mo. SOFR + 5.000% | 142,534 | ||||||
Higginbotham Insurance Agency, Inc. |
| |||||||
6,528 | 8.365%, 11/25/2026(d) 1 mo. LIBOR + 5.250% | 6,366 | ||||||
98,818 | 8.365%, 11/25/2026(d) 1 mo. LIBOR + 5.250% | 96,368 | ||||||
HighTower Holdings LLC |
| |||||||
99,000 | 6.732%, 04/21/2028(d) 3 mo. LIBOR + 4.000% | 92,256 | ||||||
Holding Socotec SAS |
| |||||||
99,000 | 7.674%, 06/30/2028(d) 3 mo. LIBOR + 4.000% | 92,565 | ||||||
IBC Capital Ltd. |
| |||||||
78,451 | 6.689%, 09/11/2023(d) 1 mo. LIBOR + 3.750% | 72,601 | ||||||
ICON Luxembourg S.A.R.L. |
| |||||||
469,569 | 5.938%, 07/03/2028(d) 3 mo. LIBOR + 2.250% | 460,032 | ||||||
116,993 | 5.938%, 07/03/2028(d) 3 mo. LIBOR + 2.250% | 114,617 | ||||||
Illuminate Buyer LLC |
| |||||||
46,746 | 6.615%, 06/30/2027(d) 1 mo. LIBOR + 3.500% | 42,510 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Ilpea Parent, Inc. |
| |||||||
$694,986 | 0.000%, 06/22/2028(f) | $ | 670,661 | |||||
778,932 | 7.620%, 06/22/2028(d) 1 mo. LIBOR + 4.500% | 751,670 | ||||||
Imagefirst Holdings LLC |
| |||||||
98,806 | 8.174%, 04/27/2028(d) 3 mo. LIBOR + 4.500% | 93,865 | ||||||
Imprivata, Inc. |
| |||||||
249,375 | 7.284%, 12/01/2027(d) 1 mo. SOFR + 4.250% | 241,816 | ||||||
Jazz Financing Lux S.A.R.L. |
| |||||||
449,817 | 6.615%, 05/05/2028(d) 1 mo. LIBOR + 3.500% | 435,638 | ||||||
Jones DesLauriers Insurance Management, Inc. |
| |||||||
| 99,249 (CAD) | | 7.748%, 03/17/2028(d) 3 mo. CDOR + 4.250% | 66,753 | ||||
Kronos Acquisition Holdings, Inc. |
| |||||||
107,522 | 6.820%, 12/22/2026(d) 3 mo. LIBOR + 3.750% | 100,025 | ||||||
Laseraway Intermediate Holdings II LLC |
| |||||||
99,250 | 8.233%, 10/12/2027(d) 3 mo. LIBOR + 5.750% | 97,637 | ||||||
LendingTree, Inc. |
| |||||||
558,600 | 6.870%, 09/15/2028(d) 1 mo. LIBOR + 3.750% | 512,515 | ||||||
LTI Holdings, Inc. |
| |||||||
195,482 | 6.365%, 09/06/2025(d) 1 mo. LIBOR + 3.250% | 181,407 | ||||||
Mavis Tire Express Services Corp. |
| |||||||
98,750 | 7.250%, 05/04/2028(d) 1 mo. SOFR + 4.000% | 92,949 | ||||||
MB2 Dental Solutions LLC |
| |||||||
79,709 | 9.130%-11.250%, 01/29/2027(d) 3 mo. LIBOR + 6.150%, PRIME + 5.000% | 78,912 | ||||||
108,985 | 9.703%, 01/29/2027(d) 3 mo. SOFR + 6.000% | 106,910 | ||||||
Medline Borrower, L.P. |
| |||||||
407,950 | 6.365%, 10/23/2028(d) 1 mo. LIBOR + 3.250% | 375,887 | ||||||
Midcap Financial Holdings Trust |
| |||||||
250,000 | 6.133%, 11/22/2028(d) 1 mo. LIBOR + 3.500% | 249,293 | ||||||
Midwest Veterinary Partners LLC |
| |||||||
99,000 | 4.750%-7.115%, 04/27/2028(d) 2 mo. LIBOR + 4.000% | 93,431 | ||||||
Mileage Plus Holdings LLC |
| |||||||
95,000 | 8.777%, 06/21/2027(d) 3 mo. LIBOR + 5.250% | 95,662 | ||||||
MIP V Waste Holdings LLC |
| |||||||
398,000 | 6.365%, 12/08/2028(d) 1 mo. LIBOR + 3.250% | 385,065 | ||||||
Moran Foods LLC |
| |||||||
11,705 | 10.674%, 04/01/2024(d) 3 mo. LIBOR + 7.000% | 10,163 | ||||||
15,385 | 14.424%, 10/01/2024(d) 3 mo. LIBOR + 10.750% | 10,923 |
Principal Amount^ | Value | |||||||
Motel 6 |
| |||||||
$198,497 | 8.052%, 09/09/2026(d) 1 mo. LIBOR + 5.000% | $ | 193,866 | |||||
MPH Acquisition Holdings LLC |
| |||||||
350,000 | 0.000%, 09/01/2028(f) | 324,462 | ||||||
752,400 | 7.320%, 09/01/2028(d) 3 mo. LIBOR + 4.250% | 697,501 | ||||||
NA Rail Hold Co. LLC |
| |||||||
97,978 | 7.674%, 10/19/2026(d) 3 mo. LIBOR + 4.000% | 95,284 | ||||||
National Mentor Holdings, Inc. |
| |||||||
94,140 | 6.870%-7.430%, 03/02/2028(d) 1 mo. LIBOR + 3.750% | 67,840 | ||||||
NFM & J, L.P. |
| |||||||
34,463 | 8.509%-9.424%, 11/30/2027(d) 3 mo. LIBOR + 5.750% | 33,607 | ||||||
49,340 | 8.865%, 11/30/2027(d) 1 mo. LIBOR + 5.750% | 48,115 | ||||||
NFP Corp. |
| |||||||
48,130 | 6.365%, 02/15/2027(d) 1 mo. LIBOR + 3.250% | 45,338 | ||||||
NorthRiver Midstream Finance L.P. |
| |||||||
576,241 | 5.527%, 10/01/2025(d) 3 mo. LIBOR + 3.250% | 562,607 | ||||||
Organon & Co. |
| |||||||
507,304 | 6.188%, 06/02/2028(d) 3 mo. LIBOR + 3.000% | 497,158 | ||||||
Pacific Bells LLC |
| |||||||
99,258 | 8.315%, 11/10/2028(d) 1 mo. LIBOR + 4.500% | 92,930 | ||||||
Packers Holdings LLC |
| |||||||
98,520 | 6.006%, 03/09/2028(d) 1 mo. LIBOR + 3.250% | 90,670 | ||||||
PAI Holdco, Inc. |
| |||||||
98,500 | 6.556%, 10/28/2027(d) 3 mo. LIBOR + 3.750% | 93,657 | ||||||
Park River Holdings, Inc. |
| |||||||
197,499 | 5.527%, 12/28/2027(d) 3 mo. LIBOR + 3.250% | 168,615 | ||||||
PECF USS Intermediate Holding III Corp. |
| |||||||
99,250 | 7.365%, 12/15/2028(d) 1 mo. LIBOR + 4.250% | 85,024 | ||||||
Pelican Products, Inc. |
| |||||||
99,250 | 7.924%-8.420%, 12/29/2028(d) 3 mo. LIBOR + 4.250% | 91,558 | ||||||
Peraton Corp. |
| |||||||
94,895 | 6.865%, 02/01/2028(d) 1 mo. LIBOR + 3.750% | 90,186 | ||||||
PetVet Care Centers LLC |
| |||||||
196,456 | 6.615%, 02/14/2025(d) 1 mo. LIBOR + 3.500% | 182,458 | ||||||
Planview Parent, Inc. |
| |||||||
98,250 | 7.674%, 12/17/2027(d) 3 mo. LIBOR + 4.000% | 93,583 | ||||||
Playpower, Inc. |
| |||||||
89,606 | 9.174%, 05/08/2026(d) 3 mo. LIBOR + 5.500% | 81,093 | ||||||
Polaris Newco LLC |
| |||||||
45,343 | 7.674%, 06/02/2028(d) 1 mo. LIBOR + 4.000% | 41,961 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
BANK LOANS (CONTINUED) | ||||||||
Pro Mach Group, Inc. |
| |||||||
$99,265 | 7.115%, 08/31/2028(d) 1 mo. LIBOR + 4.000% | $ | 94,896 | |||||
Project Ruby Ultimate Parent Corp. |
| |||||||
98,500 | 6.365%, 03/10/2028(d) 1 mo. LIBOR + 3.250% | 92,208 | ||||||
Propulsion (BC) Finco S.A.R.L. |
| |||||||
300,000 | 0.000%, 09/14/2029(f) | 285,750 | ||||||
Quirch Foods Holdings LLC |
| |||||||
297,237 | 7.927%, 10/27/2027(d) 1 mo. SOFR + 4.750% | 279,032 | ||||||
Resonetics LLC |
| |||||||
99,000 | 6.806%, 04/28/2028(d) 3 mo. LIBOR + 4.000% | 94,298 | ||||||
Restaurant Technologies, Inc. |
| |||||||
199,000 | 7.803%, 04/02/2029(d) 3 mo. SOFR + 4.250% | 194,108 | ||||||
SCP Eye Care Services LLC |
| |||||||
13,319 | 4.500%-7.559%, 03/16/2028(d) 1 mo. LIBOR + 4.500% | 13,286 | ||||||
76,069 | 7.615%, 03/16/2028(d) 1 mo. LIBOR + 4.500% | 75,879 | ||||||
ScribeAmerica Intermediate Holdco LLC |
| |||||||
46,720 | 7.615%, 04/03/2025(d) 1 mo. LIBOR + 4.500% | 39,479 | ||||||
Service Logic Acquisition, Inc. |
| |||||||
1,365 | 6.806%-7.121%, 10/29/2027(d) 3 mo. LIBOR + 4.000% | 1,285 | ||||||
96,371 | 6.806%, 10/29/2027(d) 3 mo. LIBOR + 4.000% | 90,709 | ||||||
Sitecore Holding III A/S |
| |||||||
105,684 | 10.270%, 09/01/2028(d) 3 mo. LIBOR + 7.000% | 104,594 | ||||||
SkyMiles IP Ltd. |
| |||||||
168,365 | 6.460%, 10/20/2027(d) 3 mo. LIBOR + 3.750% | 169,272 | ||||||
Solis IV BV |
| |||||||
99,750 | 6.340%, 02/26/2029(d) 3 mo. SOFR + 3.500% | 82,593 | ||||||
Southern Veterinary Partners LLC |
| |||||||
98,310 | 7.115%, 10/05/2027(d) 1 mo. LIBOR + 4.000% | 93,271 | ||||||
Sovos Brands Intermediate, Inc. |
| |||||||
82,897 | 6.615%, 06/08/2028(d) 1 mo. LIBOR + 3.500% | 79,218 | ||||||
Sovos Compliance LLC |
| |||||||
99,324 | 7.615%, 08/11/2028(d) 1 mo. LIBOR + 4.500% | 94,953 | ||||||
SP PF Buyer LLC |
| |||||||
147,328 | 7.615%, 12/22/2025(d) 1 mo. LIBOR + 4.500% | 122,135 | ||||||
Sweetwater Borrower LLC |
| |||||||
98,505 | 7.375%, 08/07/2028(d) 1 mo. LIBOR + 4.250% | 90,132 | ||||||
Syndigo LLC |
| |||||||
147,750 | 7.318%, 12/15/2027(d) 1 mo. LIBOR + 4.500% | 134,452 | ||||||
System One Holdings LLC |
| |||||||
760,000 | 0.000%, 03/02/2028(f) | 731,975 | ||||||
750,500 | 7.703%, 03/02/2028(d) 3 mo. SOFR + 4.000% | 722,825 |
Principal Amount^ | Value | |||||||
Teneo Holdings LLC |
| |||||||
$67,385 | 8.384%, 07/11/2025(d) 1 mo. SOFR + 5.250% | $ | 63,875 | |||||
Trans Union LLC |
| |||||||
50,000 | 0.000%, 12/03/2029(f) | 50,031 | ||||||
TricorBraun Holdings, Inc. |
| |||||||
98,780 | 6.365%, 03/03/2028(d) 1 mo. LIBOR + 3.250% | 93,032 | ||||||
Truck Hero, Inc. |
| |||||||
98,500 | 6.615%, 01/31/2028(d) 1 mo. LIBOR + 3.500% | 86,427 | ||||||
TVC Albany, Inc. |
| |||||||
96,000 | 6.620%, 07/23/2025(d) 1 mo. LIBOR + 3.500% | 90,660 | ||||||
UGI Energy Services LLC |
| |||||||
232,200 | 6.615%, 08/13/2026(d) 1 mo. LIBOR + 3.500% | 231,040 | ||||||
United Airlines, Inc. |
| |||||||
645,175 | 6.533%, 04/21/2028(d) 3 mo. LIBOR + 3.750% | 618,516 | ||||||
Venture Global Calcasieu Pass LLC |
| |||||||
42,090 | 0.831%, 08/19/2026(f) 1 mo. LIBOR + 2.625% | 42,195 | ||||||
Verscend Holding Corp. |
| |||||||
194,405 | 7.115%, 08/27/2025(d) 1 mo. LIBOR + 4.000% | 189,059 | ||||||
Vertical US Newco, Inc. |
| |||||||
63,546 | 6.871%, 07/30/2027(d) 6 mo. LIBOR + 3.500% | 61,058 | ||||||
Weber-Stephen Products LLC |
| |||||||
99,500 | 7.384%, 10/30/2027(d) 1 mo. SOFR + 4.250% | 81,093 | ||||||
Women’s Care Enterprises LLC |
| |||||||
197,500 | 7.871%, 01/15/2028(d) 6 mo. LIBOR + 4.500% | 185,321 | ||||||
Wrench Group LLC |
| |||||||
98,235 | 7.674%, 04/30/2026(d) 3 mo. LIBOR + 4.000% | 95,410 | ||||||
Xplornet Communications, Inc. |
| |||||||
99,000 | 7.115%, 10/02/2028(d) 1 mo. LIBOR + 4.000% | 87,627 | ||||||
Yak Access LLC |
| |||||||
100,000 | 13.641%, 07/10/2026(d) 3 mo. LIBOR + 10.000% | 31,000 | ||||||
Zep, Inc. |
| |||||||
21,573 | 7.674%, 08/12/2024(d) 3 mo. LIBOR + 4.000% | 19,011 | ||||||
|
| |||||||
| TOTAL BANK LOANS | 29,062,395 | ||||||
|
| |||||||
CONVERTIBLE BONDS: 0.1% | ||||||||
Communications: 0.0% | ||||||||
Cable One, Inc. |
| |||||||
50,000 | 0.000%, 03/15/2026*(g) | 38,225 | ||||||
|
| |||||||
Consumer, Non-cyclical: 0.1% | ||||||||
Block, Inc. |
| |||||||
90,000 | 0.000%, 05/01/2026*(g) | 70,695 | ||||||
|
| |||||||
| TOTAL CONVERTIBLE BONDS | 108,920 | ||||||
|
|
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS: 33.0% | ||||||||
Basic Materials: 1.2% | ||||||||
Alcoa Nederland Holding B.V. |
| |||||||
$200,000 | 5.500%, 12/15/2027(c) | $ | 186,951 | |||||
Carpenter Technology Corp. |
| |||||||
150,000 | 7.625%, 03/15/2030 | 144,657 | ||||||
Clearwater Paper Corp. |
| |||||||
37,000 | 4.750%, 08/15/2028(c) | 32,476 | ||||||
Compass Minerals International, Inc. |
| |||||||
100,000 | 6.750%, 12/01/2027(c) | 94,104 | ||||||
EverArc Escrow Sarl |
| |||||||
100,000 | 5.000%, 10/30/2029(c) | 80,706 | ||||||
Illuminate Buyer LLC / Illuminate Holdings IV, Inc. |
| |||||||
80,000 | 9.000%, 07/01/2028(c) | 66,555 | ||||||
INEOS Quattro Finance 2 Plc |
| |||||||
200,000 | 3.375%, 01/15/2026(c) | 166,792 | ||||||
Ingevity Corp. |
| |||||||
150,000 | 3.875%, 11/01/2028(c) | 124,221 | ||||||
Kaiser Aluminum Corp. |
| |||||||
100,000 | 4.500%, 06/01/2031(c) | 73,410 | ||||||
Lightning eMotors, Inc. |
| |||||||
58,000 | 5.500%, 03/01/2037 | 58,000 | ||||||
29,000 | 7.500%, 03/01/2037 | 29,000 | ||||||
Minerals Technologies, Inc. |
| |||||||
65,000 | 5.000%, 07/01/2028(c) | 56,718 | ||||||
THUNDERBIRD 2022 1 A FUNDED |
| |||||||
58,000 | 5.500%, 03/01/2037 | 58,000 | ||||||
THUNDERBIRD 2022 1 B FUNDED |
| |||||||
29,000 | 7.500%, 03/01/2037 | 29,000 | ||||||
Valvoline, Inc. |
| |||||||
100,000 | 3.625%, 06/15/2031(c) | 73,906 | ||||||
WR Grace Holdings LLC |
| |||||||
100,000 | 4.875%, 06/15/2027(c) | 86,088 | ||||||
|
| |||||||
1,360,584 | ||||||||
|
| |||||||
Communications: 2.1% | ||||||||
Altice France S.A. |
| |||||||
200,000 | 5.500%, 10/15/2029(c) | 150,983 | ||||||
AMC Networks, Inc. |
| |||||||
150,000 | 4.250%, 02/15/2029 | 111,224 | ||||||
British Telecommunications Plc |
| |||||||
200,000 | 4.875%, 11/23/2081(b)(c) 5 year CMT + 3.493% | 163,380 | ||||||
CCO Holdings LLC / CCO Holdings Capital Corp. |
| |||||||
85,000 | 4.250%, 02/01/2031(c) | 65,199 | ||||||
70,000 | 4.500%, 06/01/2033(c) | 51,878 | ||||||
Cogent Communications Group, Inc. |
| |||||||
150,000 | 7.000%, 06/15/2027(c) | 141,592 | ||||||
Connect Finco S.A.R.L / Connect US Finco LLC |
| |||||||
200,000 | 6.750%, 10/01/2026(c) | 175,234 | ||||||
LCPR Senior Secured Financing DAC |
| |||||||
50,000 | 6.750%, 10/15/2027(c) | 41,569 | ||||||
200,000 | 5.125%, 07/15/2029(c) | 150,890 | ||||||
Level 3 Financing, Inc. |
| |||||||
249,000 | 4.250%, 07/01/2028(c) | 194,880 | ||||||
Match Group Holdings II LLC |
| |||||||
50,000 | 4.625%, 06/01/2028(c) | 42,856 |
Principal Amount^ | Value | |||||||
Communications (continued) | ||||||||
McGraw-Hill Education, Inc. |
| |||||||
$100,000 | 5.750%, 08/01/2028(c) | $ | 83,714 | |||||
150,000 | 8.000%, 08/01/2029(c) | 123,345 | ||||||
Paramount Global |
| |||||||
60,000 | 4.950%, 05/19/2050 | 42,791 | ||||||
Radiate Holdco LLC / Radiate Finance, Inc. |
| |||||||
150,000 | 4.500%, 09/15/2026(c) | 123,229 | ||||||
Rogers Communications, Inc. |
| |||||||
50,000 | 4.550%, 03/15/2052(c) | 39,965 | ||||||
UPC Broadband Finco B.V. |
| |||||||
200,000 | 4.875%, 07/15/2031(c) | 155,529 | ||||||
Virgin Media Finance Plc |
| |||||||
100,000 | 5.000%, 07/15/2030(c) | 75,195 | ||||||
Virgin Media Vendor Financing Notes IV DAC |
| |||||||
200,000 | 5.000%, 07/15/2028(c) | 162,144 | ||||||
Vodafone Group Plc |
| |||||||
100,000 | 5.125%, 06/04/2081(b) 5 year CMT + 3.073% | 67,833 | ||||||
VZ Secured Financing B.V. |
| |||||||
200,000 | 5.000%, 01/15/2032(c) | 149,788 | ||||||
|
| |||||||
2,313,218 | ||||||||
|
| |||||||
Consumer, Cyclical: 2.2% | ||||||||
1011778 BC ULC / New Red Finance, Inc. |
| |||||||
100,000 | 4.000%, 10/15/2030(c) | 78,988 | ||||||
Air Canada |
| |||||||
| 100,000 (CAD) |
| 4.625%, 08/15/2029(c) | 61,487 | ||||
Air Canada Pass Through Trust |
| |||||||
20,286 | Series 2020-2-A 5.250%, 10/01/2030(c) | 19,111 | ||||||
Asbury Automotive Group, Inc. |
| |||||||
44,000 | 4.625%, 11/15/2029(c) | 35,283 | ||||||
Beacon Roofing Supply, Inc. |
| |||||||
19,000 | 4.125%, 05/15/2029(c) | 15,413 | ||||||
Boyne USA, Inc. |
| |||||||
100,000 | 4.750%, 05/15/2029(c) | 83,910 | ||||||
CD&R Smokey Buyer, Inc. |
| |||||||
100,000 | 6.750%, 07/15/2025(c) | 91,142 | ||||||
Deuce Finco Plc |
| |||||||
| 100,000 (GBP) |
| 5.500%, 06/15/2027(c) | 83,395 | ||||
Fertitta Entertainment LLC / Fertitta Entertainment Finance Co., Inc. |
| |||||||
100,000 | 4.625%, 01/15/2029(c) | 82,910 | ||||||
Hilton Domestic Operating Co., Inc. |
| |||||||
150,000 | 4.000%, 05/01/2031(c) | 121,493 | ||||||
50,000 | 3.625%, 02/15/2032(c) | 38,350 | ||||||
Hyatt Hotels Corp. |
| |||||||
95,000 | 6.000%, 04/23/2030 | 92,104 | ||||||
JB Poindexter & Co., Inc. |
| |||||||
75,000 | 7.125%, 04/15/2026(c) | 69,454 | ||||||
Marriott International, Inc. |
| |||||||
70,000 | 4.625%, 06/15/2030 | 63,343 | ||||||
130,000 | 2.850%, 04/15/2031 | 102,228 | ||||||
50,000 | 3.500%, 10/15/2032 | 40,280 | ||||||
Michaels Cos., Inc. (The) |
| |||||||
100,000 | 5.250%, 05/01/2028(c) | 70,412 | ||||||
Murphy Oil USA, Inc. |
| |||||||
125,000 | 3.750%, 02/15/2031(c) | 100,716 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Consumer, Cyclical (continued) | ||||||||
Nordstrom, Inc. |
| |||||||
$160,000 | 4.375%, 04/01/2030 | $ | 117,410 | |||||
Papa John’s International, Inc. |
| |||||||
100,000 | 3.875%, 09/15/2029(c) | 80,057 | ||||||
Penn Entertainment, Inc. |
| |||||||
100,000 | 4.125%, 07/01/2029(c) | 76,676 | ||||||
PetSmart, Inc. / PetSmart Finance Corp. |
| |||||||
250,000 | 4.750%, 02/15/2028(c) | 214,576 | ||||||
Scientific Games Holdings L.P. / Scientific Games US FinCo, Inc. |
| |||||||
100,000 | 6.625%, 03/01/2030(c) | 80,322 | ||||||
Scotts Miracle-Gro Co. (The) |
| |||||||
50,000 | 4.000%, 04/01/2031 | 35,310 | ||||||
Six Flags Theme Parks, Inc. |
| |||||||
18,000 | 7.000%, 07/01/2025(c) | 18,030 | ||||||
Station Casinos LLC |
| |||||||
150,000 | 4.625%, 12/01/2031(c) | 113,514 | ||||||
Suburban Propane Partners L.P. / Suburban Energy Finance Corp. |
| |||||||
100,000 | 5.875%, 03/01/2027 | 94,880 | ||||||
Suburban Propane Partners LP / Suburban Energy Finance Corp. |
| |||||||
100,000 | 5.000%, 06/01/2031(c) | 81,873 | ||||||
Superior Plus L.P. / Superior General Partner, Inc. |
| |||||||
100,000 | 4.500%, 03/15/2029(c) | 82,255 | ||||||
Wabash National Corp. |
| |||||||
150,000 | 4.500%, 10/15/2028(c) | 116,468 | ||||||
WMG Acquisition Corp. |
| |||||||
100,000 | 3.750%, 12/01/2029(c) | 83,218 | ||||||
|
| |||||||
2,444,608 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 3.1% | ||||||||
ADT Security Corp. (The) |
| |||||||
100,000 | 4.875%, 07/15/2032(c) | 80,844 | ||||||
Altria Group, Inc. |
| |||||||
10,000 | 4.450%, 05/06/2050 | 6,703 | ||||||
APi Group DE, Inc. |
| |||||||
100,000 | 4.750%, 10/15/2029(c) | �� | 83,952 | |||||
Avantor Funding, Inc. |
| |||||||
24,000 | 4.625%, 07/15/2028(c) | 21,301 | ||||||
Bausch Health Cos., Inc. |
| |||||||
725,000 | 4.875%, 06/01/2028(c) | 468,625 | ||||||
BCP V Modular Services Finance II Plc |
| |||||||
| 100,000 (EUR) |
| 4.750%, 11/30/2028(c) | 78,883 | ||||
Block, Inc. |
| |||||||
100,000 | 2.750%, 06/01/2026 | 86,045 | ||||||
Carriage Services, Inc. |
| |||||||
100,000 | 4.250%, 05/15/2029(c) | 79,281 | ||||||
Catalent Pharma Solutions, Inc. |
| |||||||
48,000 | 3.125%, 02/15/2029(c) | 37,072 | ||||||
Central Garden & Pet Co. |
| |||||||
85,000 | 4.125%, 10/15/2030 | 67,835 | ||||||
Charles River Laboratories International, Inc. |
| |||||||
200,000 | 4.000%, 03/15/2031(c) | 161,536 | ||||||
Cheplapharm Arzneimittel GmbH |
| |||||||
250,000 | 5.500%, 01/15/2028(c) | 207,918 | ||||||
CPI CG, Inc. |
| |||||||
93,000 | 8.625%, 03/15/2026(c) | 87,003 |
Principal Amount^ | Value | |||||||
Consumer, Non-cyclical (continued) | ||||||||
DaVita, Inc. |
| |||||||
$49,000 | 4.625%, 06/01/2030(c) | $ | 37,850 | |||||
Endo Luxembourg Finance Co. I S.A.R.L / Endo US, Inc. |
| |||||||
100,000 | 6.125%, 04/01/2029(c)(h) | 79,091 | ||||||
FAGE International S.A. / FAGE USA Dairy Industry, Inc. |
| |||||||
200,000 | 5.625%, 08/15/2026(c) | 178,127 | ||||||
HCA, Inc. |
| |||||||
150,000 | 3.500%, 07/15/2051 | 93,196 | ||||||
JBS USA LUX S.A. / JBS USA Food Co. / JBS USA Finance, Inc. |
| |||||||
50,000 | 3.750%, 12/01/2031(c) | 40,097 | ||||||
100,000 | 4.375%, 02/02/2052(c) | 67,173 | ||||||
Kraft Heinz Foods Co. |
| |||||||
50,000 | 5.000%, 06/04/2042 | 43,549 | ||||||
80,000 | 4.375%, 06/01/2046 | 62,372 | ||||||
25,000 | 4.875%, 10/01/2049 | 20,664 | ||||||
Kronos Acquisition Holdings, Inc. / KIK Custom Products, Inc. |
| |||||||
12,000 | 7.000%, 12/31/2027(c) | 9,324 | ||||||
Legends Hospitality Holding Co. LLC / Legends Hospitality Co-Issuer, Inc. |
| |||||||
200,000 | 5.000%, 02/01/2026(c) | 172,300 | ||||||
Medline Borrower LP |
| |||||||
150,000 | 3.875%, 04/01/2029(c) | 120,623 | ||||||
100,000 | 5.250%, 10/01/2029(c) | 75,745 | ||||||
Nielsen Finance LLC / Nielsen Finance Co. |
| |||||||
100,000 | 4.500%, 07/15/2029(c) | 99,810 | ||||||
100,000 | 4.750%, 07/15/2031(c) | 98,182 | ||||||
Option Care Health, Inc. |
| |||||||
100,000 | 4.375%, 10/31/2029(c) | 84,689 | ||||||
Prime Security Services Borrower LLC / Prime Finance, Inc. |
| |||||||
75,000 | 3.375%, 08/31/2027(c) | 63,172 | ||||||
Rent-A-Center, Inc. |
| |||||||
150,000 | 6.375%, 02/15/2029(c) | 117,310 | ||||||
Sabre GLBL, Inc. |
| |||||||
125,000 | 7.375%, 09/01/2025(c) | 112,126 | ||||||
Sotheby’s/Bidfair Holdings, Inc. |
| |||||||
200,000 | 5.875%, 06/01/2029(c) | 165,595 | ||||||
Spectrum Brands, Inc. |
| |||||||
50,000 | 5.500%, 07/15/2030(c) | 39,216 | ||||||
Tenet Healthcare Corp. |
| |||||||
15,000 | 4.625%, 06/15/2028(c) | 13,123 | ||||||
US Foods, Inc. |
| |||||||
70,000 | 6.250%, 04/15/2025(c) | 68,889 | ||||||
50,000 | 4.750%, 02/15/2029(c) | 42,777 | ||||||
100,000 | 4.625%, 06/01/2030(c) | 83,478 | ||||||
WW International, Inc. |
| |||||||
100,000 | 4.500%, 04/15/2029(c) | 52,498 | ||||||
|
| |||||||
3,507,974 | ||||||||
|
| |||||||
Energy: 4.2% | ||||||||
BP Capital Markets Plc |
| |||||||
250,000 | 4.875%, 03/22/2030(a)(b) 5 year CMT + 4.398% | 215,097 | ||||||
Cheniere Corpus Christi Holdings LLC |
| |||||||
100,000 | 3.520%, 12/31/2039 | 78,325 | ||||||
DCP Midstream Operating L.P. |
| |||||||
100,000 | 3.250%, 02/15/2032 | 79,374 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Energy (continued) | ||||||||
DT Midstream, Inc. |
| |||||||
$100,000 | 4.125%, 06/15/2029(c) | $ | 84,717 | |||||
Energy Transfer L.P. |
| |||||||
775,000 | 6.250%, 02/15/2023(a)(b) 3 mo. USD LIBOR + 4.028% | 636,469 | ||||||
EnLink Midstream LLC |
| |||||||
245,000 | 5.625%, 01/15/2028(c) | 229,763 | ||||||
100,000 | 6.500%, 09/01/2030(c) | 97,884 | ||||||
EnLink Midstream Partners L.P. |
| |||||||
138,000 | 4.150%, 06/01/2025 | 128,394 | ||||||
Global Partners L.P. / GLP Finance Corp. |
| |||||||
200,000 | 7.000%, 08/01/2027 | 182,480 | ||||||
25,000 | 6.875%, 01/15/2029 | 22,548 | ||||||
Harvest Midstream I L.P. |
| |||||||
500,000 | 7.500%, 09/01/2028(c) | 468,553 | ||||||
Holly Energy Partners L.P. / Holly Energy Finance Corp. |
| |||||||
100,000 | 6.375%, 04/15/2027(c) | 95,606 | ||||||
ITT Holdings LLC |
| |||||||
250,000 | 6.500%, 08/01/2029(c) | 194,509 | ||||||
Kinetik Holdings LP |
| |||||||
250,000 | 5.875%, 06/15/2030(c) | 229,441 | ||||||
Midwest Connector Capital Co. LLC |
| |||||||
99,000 | 4.625%, 04/01/2029(c) | 88,466 | ||||||
MPLX L.P. |
| |||||||
665,000 | Series B 6.875%, 02/15/2023(a)(b) 3 mo. USD LIBOR + 4.652% | 656,687 | ||||||
Northriver Midstream Finance L.P. |
| |||||||
125,000 | 5.625%, 02/15/2026(c) | 116,703 | ||||||
NuStar Logistics L.P. |
| |||||||
100,000 | 6.375%, 10/01/2030 | 85,756 | ||||||
Occidental Petroleum Corp. |
| |||||||
405,000 | 2.900%, 08/15/2024 | 390,341 | ||||||
285,000 | 5.500%, 12/01/2025 | 286,774 | ||||||
100,000 | 7.875%, 09/15/2031 | 106,901 | ||||||
Parkland Corp. |
| |||||||
100,000 | 4.625%, 05/01/2030(c) | 81,069 | ||||||
Targa Resources Partners L.P. / Targa Resources Partners Finance Corp. |
| |||||||
150,000 | 5.500%, 03/01/2030 | 135,695 | ||||||
TransMontaigne Partners L.P. / TLP Finance Corp. |
| |||||||
100,000 | 6.125%, 02/15/2026 | 84,029 | ||||||
|
| |||||||
4,775,581 | ||||||||
|
| |||||||
Financial: 16.2% | ||||||||
Aegon N.V. |
| |||||||
500,000 | 5.500%, 04/11/2048(b) 6 mo. USD LIBOR + 3.540% | 432,720 | ||||||
American Equity Investment Life Holding Co. |
| |||||||
25,000 | 5.000%, 06/15/2027 | 23,768 | ||||||
AmWINS Group, Inc. |
| |||||||
50,000 | 4.875%, 06/30/2029(c) | 41,696 | ||||||
Apollo Management Holdings L.P. |
| |||||||
700,000 | 4.950%, 01/14/2050(b)(c) 5 year CMT + 3.266% | 595,537 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
Avolon Holdings Funding Ltd. |
| |||||||
$205,000 | 5.500%, 01/15/2026(c) | $ | 193,094 | |||||
AXIS Specialty Finance LLC |
| |||||||
400,000 | 4.900%, 01/15/2040(b) 5 year CMT + 3.186% | 325,836 | ||||||
Bank of America Corp. |
| |||||||
945,000 | 4.375%, 01/27/2027(a)(b) 5 year CMT + 2.760% | 760,725 | ||||||
Bank of New York Mellon Corp. (The) |
| |||||||
30,000 | 4.700%, 09/20/2025(a)(b) 5 year CMT + 4.358% | 28,800 | ||||||
Brazilian Merchant Voucher Receivables Ltd. |
| |||||||
186,531 | 4.180%, 04/07/2028(i) | 181,378 | ||||||
Bread Financial Holdings, Inc. |
| |||||||
375,000 | 4.750%, 12/15/2024(c) | 327,887 | ||||||
Charles Schwab Corp. (The) |
| |||||||
100,000 | 4.000%, 12/01/2030(a)(b) 10 year CMT + 3.079% | 73,581 | ||||||
CION Investment Corp. |
| |||||||
230,000 | 4.500%, 02/11/2026 | 205,611 | ||||||
Citigroup, Inc. |
| |||||||
100,000 | 4.000%, 12/10/2025(a)(b) 5 year CMT + 3.597% | 84,264 | ||||||
150,000 | 3.875%, 02/18/2026(a)(b) 5 year CMT + 3.417% | 124,069 | ||||||
Corebridge Financial, Inc. |
| |||||||
570,000 | 6.875%, 12/15/2052(b)(c) 5 year CMT + 3.846% | 521,551 | ||||||
Credit Acceptance Corp. |
| |||||||
535,000 | 6.625%, 03/15/2026 | 496,932 | ||||||
Cushman & Wakefield US Borrower LLC |
| |||||||
71,000 | 6.750%, 05/15/2028(c) | 66,014 | ||||||
Doctors Co. An Interinsurance Exchange (The) |
| |||||||
515,000 | 4.500%, 01/18/2032(c) | 431,074 | ||||||
Drawbridge Special Opportunities Fund L.P. / Drawbridge Special Opportunities Fin |
| |||||||
710,000 | 3.875%, 02/15/2026(c) | 645,479 | ||||||
EF Holdco / EF Cayman Hold / Ellington Fin REIT Cayman/TRS / EF Cayman Non-MTM |
| |||||||
830,000 | 5.875%, 04/01/2027(c) | 739,513 | ||||||
Enstar Finance LLC |
| |||||||
200,000 | 5.750%, 09/01/2040(b) 5 year CMT + 5.468% | 179,186 | ||||||
770,000 | 5.500%, 01/15/2042(b) 5 year CMT + 4.006% | 626,405 | ||||||
Equitable Holdings, Inc. |
| |||||||
150,000 | 4.950%, 09/15/2025(a)(b) 5 year CMT + 4.736% | 141,000 | ||||||
Fairfax India Holdings Corp. |
| |||||||
320,000 | 5.000%, 02/26/2028(c) | 294,566 | ||||||
Fidelis Insurance Holdings Ltd. |
| |||||||
630,000 | 6.625%, 04/01/2041(b)(c) 5 year CMT + 6.323% | 609,424 | ||||||
Franklin BSP Lending Corp. |
| |||||||
225,000 | 4.850%, 12/15/2024(c) | 209,707 | ||||||
FS KKR Capital Corp. |
| |||||||
100,000 | 3.250%, 07/15/2027 | 82,540 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Financial (continued) | ||||||||
Gladstone Capital Corp. |
| |||||||
$545,000 | 5.125%, 01/31/2026 | $ | 504,125 | |||||
Global Atlantic Fin Co. |
| |||||||
250,000 | 4.700%, 10/15/2051(b)(c) 5 year CMT + 3.796% | 188,552 | ||||||
GLP Capital L.P. / GLP Financing II, Inc. |
| |||||||
50,000 | 5.300%, 01/15/2029 | 45,703 | ||||||
140,000 | 4.000%, 01/15/2031 | 114,752 | ||||||
Goldman Sachs Group, Inc. (The) |
| |||||||
100,000 | Series U 3.650%, 08/10/2026(a)(b) 5 year CMT + 2.915% | 76,850 | ||||||
Home Point Capital, Inc. |
| |||||||
195,000 | 5.000%, 02/01/2026(c) | 121,836 | ||||||
Host Hotels & Resorts L.P. |
| |||||||
150,000 | 3.500%, 09/15/2030 | 119,772 | ||||||
HUB International Ltd. |
| |||||||
50,000 | 5.625%, 12/01/2029(c) | 41,849 | ||||||
Hunt Cos., Inc. |
| |||||||
100,000 | 5.250%, 04/15/2029(c) | 76,696 | ||||||
Iron Mountain, Inc. |
| |||||||
25,000 | 4.500%, 02/15/2031(c) | 19,373 | ||||||
150,000 | 5.625%, 07/15/2032(c) | 120,201 | ||||||
Jane Street Group / JSG Finance, Inc. |
| |||||||
100,000 | 4.500%, 11/15/2029(c) | 86,140 | ||||||
Jefferies Finance LLC / JFIN Co-Issuer Corp. |
| |||||||
200,000 | 5.000%, 08/15/2028(c) | 147,897 | ||||||
JPMorgan Chase & Co. |
| |||||||
150,000 | 5.717%, 09/14/2033(b) SOFR + 2.580% | 141,963 | ||||||
Kennedy-Wilson, Inc. |
| |||||||
100,000 | 4.750%, 03/01/2029 | 76,550 | ||||||
100,000 | 4.750%, 02/01/2030 | 74,318 | ||||||
100,000 | 5.000%, 03/01/2031 | 72,730 | ||||||
KKR Core Holding Co. LLC |
| |||||||
38,905 | 4.000%, 08/12/2031 | 33,292 | ||||||
Kuvare US Holdings, Inc. |
| |||||||
100,000 | 7.000%, 02/17/2051(b)(c) 5 year CMT + 6.541% | 101,250 | ||||||
Liberty Mutual Group, Inc. |
| |||||||
220,000 | 4.300%, 02/01/2061(c) | 138,983 | ||||||
LPL Holdings, Inc. |
| |||||||
150,000 | 4.000%, 03/15/2029(c) | 128,971 | ||||||
Markel Corp. |
| |||||||
210,000 | 6.000%, 06/01/2025(a)(b) 5 year CMT + 5.662% | 204,112 | ||||||
MetLife, Inc. |
| |||||||
70,000 | 3.850%, 09/15/2025(a)(b) 5 year CMT + 3.576% | 62,797 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen |
| |||||||
540,000 | 5.875%, 05/23/2042(b)(c) 5 year CMT + 3.982% | 511,593 | ||||||
Nationwide Mutual Insurance Co. |
| |||||||
130,000 | 4.350%, 04/30/2050(c) | 97,134 | ||||||
NFP Corp. |
| |||||||
170,000 | 6.875%, 08/15/2028(c) | 132,881 | ||||||
100,000 | 7.500%, 10/01/2030(c) | 95,019 | ||||||
OFS Capital Corp. |
| |||||||
620,000 | 4.750%, 02/10/2026 | 556,630 |
Principal Amount^ | Value | |||||||
Financial (continued) | ||||||||
OneAmerica Financial Partners, Inc. |
| |||||||
$70,000 | 4.250%, 10/15/2050(c) | $ | 51,636 | |||||
OneMain Finance Corp. |
| |||||||
100,000 | 4.000%, 09/15/2030 | 70,332 | ||||||
Oxford Finance LLC / Oxford Finance Co-Issuer II, Inc. |
| |||||||
590,000 | 6.375%, 02/01/2027(c) | 553,240 | ||||||
PartnerRe Finance B LLC |
| |||||||
615,000 | 4.500%, 10/01/2050(b) 5 year CMT + 3.815% | 526,215 | ||||||
PennantPark Investment Corp. |
| |||||||
140,000 | 4.000%, 11/01/2026 | 116,013 | ||||||
Rocket Mortgage LLC / Rocket Mortgage Co-Issuer, Inc. |
| |||||||
150,000 | 3.875%, 03/01/2031(c) | 108,964 | ||||||
Ryan Specialty Group LLC |
| |||||||
100,000 | 4.375%, 02/01/2030(c) | 84,939 | ||||||
Scentre Group Trust |
| |||||||
610,000 | 5.125%, 09/24/2080(b)(c) 5 year CMT + 4.685% | 497,345 | ||||||
Sculptor Alternative Solutions LLC |
| |||||||
500,000 | 6.000%, 05/15/2037(c) | 454,450 | ||||||
Sirius International Group Ltd. |
| |||||||
700,000 | 4.600%, 11/01/2026(c) | 605,101 | ||||||
Starwood Property Trust, Inc. |
| |||||||
475,000 | 4.375%, 01/15/2027(c) | 405,674 | ||||||
Strategic Credit Opportunities Partners LLC |
| |||||||
345,000 | 4.250%, 04/01/2026 | 301,226 | ||||||
Trinity Capital, Inc. |
| |||||||
320,000 | 4.375%, 08/24/2026 | 276,452 | ||||||
United Insurance Holdings Corp. |
| |||||||
530,000 | 6.250%, 12/15/2027 | 350,118 | ||||||
United Wholesale Mortgage LLC |
| |||||||
100,000 | 5.500%, 11/15/2025(c) | 87,370 | ||||||
100,000 | 5.500%, 04/15/2029(c) | 76,204 | ||||||
Universal Insurance Holdings, Inc. |
| |||||||
345,000 | 5.625%, 11/30/2026 | 301,274 | ||||||
VC3, Inc. |
| |||||||
694,194 | 3.500%, 10/15/2041(c) | 639,283 | ||||||
Wells Fargo & Co. |
| |||||||
100,000 | 3.900%, 03/15/2026(a)(b) 5 year CMT + 3.453% | 84,562 | ||||||
Wilton RE Ltd. |
| |||||||
250,000 | 6.000%, 10/22/2030(a)(b)(c) 5 year CMT + 5.266% | 217,632 | ||||||
|
| |||||||
18,342,356 | ||||||||
|
| |||||||
Industrial: 1.7% | ||||||||
Arcosa, Inc. |
| |||||||
100,000 | 4.375%, 04/15/2029(c) | 85,156 | ||||||
Artera Services LLC |
| |||||||
110,000 | 9.033%, 12/04/2025(c) | 88,701 | ||||||
Atkore, Inc. |
| |||||||
100,000 | 4.250%, 06/01/2031(c) | 80,109 | ||||||
Boeing Co. (The) |
| |||||||
200,000 | 5.150%, 05/01/2030 | 185,012 | ||||||
100,000 | 5.705%, 05/01/2040 | 87,608 | ||||||
100,000 | 5.805%, 05/01/2050 | 87,327 | ||||||
Brundage-Bone Concrete Pumping Holdings, Inc. |
| |||||||
150,000 | 6.000%, 02/01/2026(c) | 135,557 | ||||||
Builders FirstSource, Inc. |
| |||||||
100,000 | 6.375%, 06/15/2032(c) | 89,078 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Industrial (continued) | ||||||||
Flowserve Corp. |
| |||||||
$60,000 | 3.500%, 10/01/2030 | $ | 49,539 | |||||
GrafTech Finance, Inc. |
| |||||||
105,000 | 4.625%, 12/15/2028(c) | 79,912 | ||||||
Great Lakes Dredge & Dock Corp. |
| |||||||
200,000 | 5.250%, 06/01/2029(c) | 154,375 | ||||||
Harsco Corp. |
| |||||||
175,000 | 5.750%, 07/31/2027(c) | 109,659 | ||||||
James Hardie International Finance DAC |
| |||||||
250,000 | 5.000%, 01/15/2028(c) | 226,799 | ||||||
Mauser Packaging Solutions Holding Co. |
| |||||||
50,000 | 8.500%, 04/15/2024(c) | 47,750 | ||||||
New Enterprise Stone & Lime Co., Inc. |
| |||||||
150,000 | 9.750%, 07/15/2028(c) | 126,808 | ||||||
PGT Innovations, Inc. |
| |||||||
100,000 | 4.375%, 10/01/2029(c) | 82,181 | ||||||
Standard Industries, Inc. |
| |||||||
175,000 | 4.375%, 07/15/2030(c) | 134,297 | ||||||
25,000 | 3.375%, 01/15/2031(c) | 17,666 | ||||||
TopBuild Corp. |
| |||||||
50,000 | 3.625%, 03/15/2029(c) | 39,343 | ||||||
|
| |||||||
1,906,877 | ||||||||
|
| |||||||
Technology: 1.1% | ||||||||
AMS AG |
| |||||||
265,000 | 7.000%, 07/31/2025(c) | 240,127 | ||||||
AthenaHealth Group, Inc. |
| |||||||
150,000 | 6.500%, 02/15/2030(c) | 118,867 | ||||||
Boxer Parent Co., Inc. |
| |||||||
200,000 | 7.125%, 10/02/2025(c) | 196,238 | ||||||
Broadcom, Inc. |
| |||||||
100,000 | 3.187%, 11/15/2036(c) | 68,566 | ||||||
Brunello Bidco SpA |
| |||||||
| 100,000 (EUR) |
| 3.500%, 02/15/2028 | 81,161 | ||||
CDW LLC / CDW Finance Corp. |
| |||||||
60,000 | 3.569%, 12/01/2031 | 46,942 | ||||||
Central Parent, Inc. / CDK Global, Inc. |
| |||||||
100,000 | 7.250%, 06/15/2029(c) | 95,280 | ||||||
NCR Corp. |
| |||||||
100,000 | 5.125%, 04/15/2029(c) | 75,204 | ||||||
100,000 | 6.125%, 09/01/2029(c) | 86,273 | ||||||
100,000 | 5.250%, 10/01/2030(c) | 75,659 | ||||||
Playtika Holding Corp. |
| |||||||
100,000 | 4.250%, 03/15/2029(c) | 80,107 | ||||||
Twilio, Inc. |
| |||||||
100,000 | 3.875%, 03/15/2031 | 78,707 | ||||||
|
| |||||||
1,243,131 | ||||||||
|
| |||||||
Utilities: 1.2% | ||||||||
Clearway Energy Operating LLC |
| |||||||
100,000 | 3.750%, 02/15/2031(c) | 79,548 | ||||||
Edison International |
| |||||||
700,000 | Series A 5.375%, 03/15/2026(a)(b) 5 year CMT + 4.698% | 581,875 |
Principal Amount^ | Value | |||||||
Utilities (continued) | ||||||||
Terraform Global Operating L.P. |
| |||||||
$225,000 | 6.125%, 03/01/2026(c) | $ | 211,817 | |||||
Vistra Operations Co. LLC |
| |||||||
535,000 | 5.000%, 07/31/2027(c) | 484,435 | ||||||
|
| |||||||
1,357,675 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 37,252,004 | ||||||
|
| |||||||
GOVERNMENT SECURITIES & AGENCY ISSUE: 19.2% | ||||||||
United States Treasury Note |
| |||||||
3,500,000 | 0.125%, 12/15/2023 | 3,331,699 | ||||||
United States Treasury Note |
| |||||||
3,200,000 | 1.625%, 12/15/2022(j) | 3,190,408 | ||||||
2,900,000 | 0.500%, 03/15/2023(j) | 2,856,790 | ||||||
3,400,000 | 0.250%, 06/15/2023 | 3,309,535 | ||||||
2,500,000 | 0.125%, 09/15/2023 | �� | 2,404,897 | |||||
2,800,000 | 0.250%, 03/15/2024(j) | 2,641,406 | ||||||
2,500,000 | 0.250%, 06/15/2024(j) | 2,335,840 | ||||||
1,100,000 | 0.375%, 09/15/2024 | 1,020,852 | ||||||
United States Treasury Strip Principal |
| |||||||
170,000 | 0.000%, 05/15/2044 | 70,083 | ||||||
170,000 | 0.000%, 11/15/2044 | 68,532 | ||||||
170,000 | 0.000%, 02/15/2046 | 65,996 | ||||||
1,070,000 | 0.000%, 08/15/2051 | 369,732 | ||||||
|
| |||||||
| TOTAL GOVERNMENT SECURITIES & | 21,665,770 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES: 10.4% | ||||||||
ACRE Commercial Mortgage Ltd. |
| |||||||
250,000 | Series 2021-FL4-D 5.593%, 12/18/2037(c)(d) 1 mo. USD LIBOR + 2.600% | 242,702 | ||||||
Alternative Loan Trust |
| |||||||
126,176 | Series 2007-OA4-A1 3.424%, 05/25/2047(d) 1 mo. USD LIBOR + 0.340% | 108,930 | ||||||
121,814 | Series 2007-OA7-A1A 3.444%, 05/25/2047(d) 1 mo. USD LIBOR + 0.360% | 104,018 | ||||||
BPR Trust |
| |||||||
230,000 | Series 2022-OANA-C 5.542%, 04/15/2037(c)(d) TSFR1M + 2.697% | 222,086 | ||||||
BX Commercial Mortgage Trust |
| |||||||
212,500 | Series 2019-XL-F 4.818%, 10/15/2036(c)(d) 1 mo. USD LIBOR + 2.000% | 204,333 | ||||||
212,500 | Series 2019-XL-G 5.118%, 10/15/2036(c)(d) 1 mo. USD LIBOR + 2.300% | 203,873 | ||||||
BX Trust |
| |||||||
900,000 | Series 2019-RP-D 5.413%, 06/15/2034(c)(d) 1 mo. USD LIBOR + 2.595% | 854,140 | ||||||
BXMT Ltd. |
| |||||||
250,000 | Series 2020-FL2-D 4.986%, 02/15/2038(c)(d) TSFR1M + 2.064% | 241,284 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
MORTGAGE-BACKED SECURITIES (CONTINUED) | ||||||||
BXMT Ltd. (continued) |
| |||||||
$100,000 | Series 2020-FL3-D 5.200%, 11/15/2037(c)(d) SOFR 30-day + 2.914% | $ | 97,593 | |||||
CD Mortgage Trust |
| |||||||
825,845 | Series 2017-CD4-XA 1.383%, 05/10/2050(b)(k) | 34,875 | ||||||
CFMT LLC |
| |||||||
100,000 | Series 2022-HB9 M1 3.250%, 09/25/2037(b)(c) | 84,916 | ||||||
Citigroup Mortgage Loan Trust |
| |||||||
99,616 | Series 2022-A-A1 6.170%, 09/25/2062(c)(e) | 99,240 | ||||||
Credit Suisse Mortgage-Backed Trust |
| |||||||
570,000 | Series 2018-SITE-E 4.941%, 04/15/2036(b)(c) | 511,243 | ||||||
Credit Suisse Mortgage-Backed Trust |
| |||||||
480,000 | Series 2018-SITE-C 4.941%, 04/15/2036(b)(c) | 452,210 | ||||||
3,000,000 | 4.000%, 10/01/2052(l) | 2,785,312 | ||||||
4,000,000 | 4.000%, 11/15/2052(l) | 3,710,781 | ||||||
Finance of America HECM Buyout |
| |||||||
100,000 | Series 2022-HB2-M2 6.000%, 04/25/2026(b)(c) | 95,735 | ||||||
Freddie Mac Military Housing Bonds Resecuritization Trust Certificates |
| |||||||
2,763,575 | Series 2015-R1-XA1 0.700%, 11/25/2055(b)(c)(k) | 199,315 | ||||||
4,363,667 | Series 2015-R1-XA3 0.700%, 11/25/2052(b)(c)(k) | 238,220 | ||||||
GS Mortgage Securities Corp. Trust |
| |||||||
250,000 | Series 2020-DUNE-E 5.318%, 12/15/2036(c)(d) 1 mo. USD LIBOR + 2.500% | 236,135 | ||||||
250,000 | Series 2020-UPTN-E 3.354%, 02/10/2037(b)(c) | 216,471 | ||||||
HarborView Mortgage Loan Trust |
| |||||||
211,034 | Series 2006-12-2A2A 3.183%, 01/19/2038(d) 1 mo. USD LIBOR + 0.190% | 187,360 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust |
| |||||||
1,677,899 | Series 2016-JP2-XA 1.947%, 08/15/2049(b)(k) | 86,054 | ||||||
JPMDB Commercial Mortgage Securities Trust |
| |||||||
188,494 | Series 2017-C5-XA 1.040%, 03/15/2050(b)(k) | 5,406 | ||||||
NYMT Loan Trust |
| |||||||
97,965 | Series 2022-SP1-A1 5.250%, 07/25/2062(c)(e) | 93,850 | ||||||
OBX Trust |
| |||||||
100,000 | Series 2022-NQM8-A3 6.100%, 09/25/2062(c) | 97,650 | ||||||
Residential Accredit Loans, Inc. Trust |
| |||||||
371,560 | Series 2006-QO6-A1 3.444%, 06/25/2046(d) 1 mo. USD LIBOR + 0.360% | 90,079 |
Principal Amount^ | Value | |||||||
Taubman Centers Commercial Mortgage Trust |
| |||||||
$230,000 | Series 2022-DPM-C 6.622%, 05/15/2037(c)(d) TSFR1M + 3.777% | $ | 219,973 | |||||
Wells Fargo Commercial Mortgage Trust |
| |||||||
916,125 | Series 2016-BNK1-XA 1.859%, 08/15/2049(b)(k) | 45,545 | ||||||
|
| |||||||
| TOTAL MORTGAGE-BACKED | 11,769,329 | ||||||
|
| |||||||
MUNICIPAL BOND: 0.0% | ||||||||
Indiana: 0.0% | ||||||||
Knox County Industry Economic Development Revenue |
| |||||||
5,000 | Series B 5.900%, 04/01/2034 | 4,718 | ||||||
|
| |||||||
| TOTAL MUNICIPAL BOND | 4,718 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS: 3.0% | ||||||||
Shares | ||||||||
MONEY MARKET FUNDS: 1.1% | ||||||||
1,233,094 | State Street Institutional Treasury Money Market Fund- Premier Class - Premier Class, 2.470%(m) | 1,233,094 | ||||||
|
| |||||||
| TOTAL MONEY MARKET FUNDS | 1,233,094 | ||||||
|
| |||||||
Principal Amount^ | ||||||||
REPURCHASE AGREEMENTS: 1.8% | ||||||||
$2,070,238 | Fixed Income Clearing Corp. 0.830%, 9/30/2022, due 10/03/2022 [collateral: par value $2,152,500 U.S. Treasury Bill, 3.792%, due 3/30/2023, value $2,112,355] (proceeds $2,070,381) | 2,070,238 | ||||||
|
| |||||||
TREASURY BILL: 0.1% | ||||||||
United States Treasury Bill |
| |||||||
50,000 | 3.573%, 02/16/2023(j) | 49,329 | ||||||
|
| |||||||
| TOTAL TREASURY BILLS | 49,329 | ||||||
|
| |||||||
| TOTAL SHORT-TERM INVESTMENTS | 3,352,661 | ||||||
|
| |||||||
| TOTAL PURCHASED OPTIONS | 373,990 | ||||||
|
| |||||||
| TOTAL INVESTMENTS | 124,064,415 | ||||||
|
| |||||||
Liabilities in Excess of Other Assets: (9.9)% | (11,151,226 | ) | ||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 112,913,189 | ||||||
|
|
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Percentages are stated as a percent of net assets.
CDOR | Canadian Dollar Offered Rate | |
CLO | Collateralized Loan Obligation | |
CMT | Constant Maturity Treasury Index | |
LIBOR | London Interbank Offered Rate | |
LP | Limited Partnership | |
REIT | Real Estate Investment Trust | |
SOFR | Secured Overnight Financing Rate | |
TSFR | CME term SOFR | |
* | Non-Income Producing Security. | |
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. | |
(a) | Perpetual Call. | |
(b) | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect at September 30, 2022. | |
(c) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. | |
(d) | Floating Interest Rate at September 30, 2022. | |
(e) | Coupon increases periodically based upon a predetermined schedule. Stated interest rate in effect at September 30, 2022. | |
(f) | This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date. |
(g) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(h) | Security is currently in default and/or non-income producing. | |
(i) | Security is valued using significant unobservable inputs in good faith in accordance with procedures approved by the Board of Trustees. | |
(j) | Securities with an aggregate fair value of $7,182,387 have been pledged as collateral for options, interest rate swaps, securities sold short and futures positions. | |
(k) | Interest Only security. Security with a notional or nominal principal amount. | |
(l) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement date. | |
(m) | The rate disclosed is the 7 day net yield as of September 30, 2022. |
CURRENCY ABBREVIATIONS:
CAD | Canadian Dollar | |
EUR | Euro | |
GBP | British Pound | |
USD | U.S. Dollar |
UNFUNDED LOAN COMMITMENTS — At September 30, 2022, the Fund had unfunded loan commitments which could be extended at the option of the borrowers, pursuant to the following agreements:
Borrower | Principal Amount | Current Value | Unrealized Gain (Loss) | |||||||||
Seaport Financing LLC, 0.500%, 10/31/2023 | $ | 100,000 | $ | 98,180 | $ | (1,820 | ) | |||||
Higginbotham Insurance Agency, Inc., 1.000%, 11/25/2026 | 40,393 | 39,391 | (1,002 | ) | ||||||||
Service Logic Acquisition, Inc, 4.000%, 10/29/2027 | 919 | 865 | (54 | ) | ||||||||
NFM & J, L.P., 1.000%, 11/30/2027 | 15,604 | 15,217 | (387 | ) | ||||||||
SCP Eye Care Services, LLC, 4.500%, 03/16/2028 | 33 | 33 | — | |||||||||
Athenahealth, Inc., 3.500%, 02/15/2029 | 61,594 | 55,342 | (6,252 | ) | ||||||||
|
|
|
| |||||||||
TOTAL | $ | 209,028 | $ | (9,515 | ) | |||||||
|
|
|
|
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
Cost of investments | $ | 132,242,006 | ||
|
| |||
Gross unrealized appreciation | 295,364 | |||
Gross unrealized depreciation | (12,321,127 | ) | ||
|
| |||
Net unrealized depreciation | $ | (12,025,763 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN PURCHASED OPTIONS at September 30, 2022 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
INDEX OPTIONS |
| |||||||||||||||||||||||||||||
Put |
| |||||||||||||||||||||||||||||
S&P 500 Index | Goldman Sachs & Co. | $ | 3,800.00 | 11/18/2022 | 6 | $ | 2,151,372 | $ | 156,840 | $ | 81,486 | $ | 75,354 | |||||||||||||||||
S&P 500 Index | Goldman Sachs & Co. | 3,600.00 | 12/16/2022 | 7 | 2,509,934 | 123,200 | 112,000 | 11,200 | ||||||||||||||||||||||
S&P 500 Index | Morgan Stanley & Co. | 4,000.00 | 4/21/2023 | 2 | 717,124 | 93,950 | 47,605 | 46,345 | ||||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Purchased Options | $ | 373,990 | $ | 241,091 | $ | 132,899 | ||||||||||||||||||||||||
|
|
|
|
|
|
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN SECURITIES SOLD SHORT at September 30, 2022 (Unaudited)
Principal Amount | Value | |||||||
MORTGAGE-BACKED SECURITIES: (2.5)% | ||||||||
(3,000,000) | Federal National Mortgage Association(l) | $ | (2,785,313 | ) | ||||
|
| |||||||
| TOTAL SECURITIES SOLD SHORT | $ | (2,785,313 | ) | ||||
|
|
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS at September 30, 2022 (Unaudited)
At September 30, 2022, the Fund had the following forward foreign currency exchange contracts:
Asset Derivatives | Liability Derivatives | |||||||||||||||||||||
Counterparty | Settlement Date | Fund Receiving | U.S. $ Value at September 30, 2022 | Fund Delivering | U.S. $ Value at September 30, 2022 | Unrealized Appreciation | Unrealized Depreciation | |||||||||||||||
Bank of America N.A. | 10/17/2022 | USD | $ | 174,260 | EUR | $ | 170,350 | $ | 3,910 | $ | — | |||||||||||
Morgan Stanley & Co. | 10/17/2022 | USD | 136,938 | CAD | 130,876 | 6,062 | — | |||||||||||||||
10/17/2022 | USD | 97,974 | GBP | 94,636 | 3,338 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||
$ | 409,172 | $ | 395,862 | $ | 13,310 | $ | — | |||||||||||||||
|
|
|
|
|
|
|
|
SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at September 30, 2022 (Unaudited)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long | ||||||||||||||||||||
10YR U.S. Treasury Notes | 10 | 1,173,422 | $ | 1,120,625 | 12/20/2022 | $ | (52,797 | ) | ||||||||||||
|
| |||||||||||||||||||
Total Long | $ | (52,797 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts - Short | ||||||||||||||||||||
5YR U.S. Treasury Notes | (10 | ) | (1,111,856 | ) | $ | (1,075,078 | ) | 12/30/2022 | $ | 36,777 | ||||||||||
|
| |||||||||||||||||||
Total Short | $ | 36,777 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | (16,020 | ) | |||||||||||||||||
|
|
SCHEDULE OF INVESTMENTS IN SWAPS at September 30, 2022 (Unaudited)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Rates Exchanged | ||||||||||||||||||||||||||
Notional Amount | Maturity Date | Payment Received | Payment Made | Periodic Payment Frequency | Fair Value | Upfront Payment Made (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
$ 4,800,000 | 7/18/2027 | 1 Day SOFR | 2.781 | % | Annually | $ | (217,442 | ) | $ | 322 | $ | (217,764 | ) |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at September 30, 2022 (Unaudited)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
INDEX OPTIONS |
| |||||||||||||||||||||||||||||
Put | ||||||||||||||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | $ | 1,630.00 | 10/7/2022 | (3 | ) | $ | (499,416 | ) | $ | (4,932 | ) | $ | (9,477 | ) | $ | 4,545 | |||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,610.00 | 10/14/2022 | (1 | ) | (166,472 | ) | (2,366 | ) | (3,769 | ) | 1,403 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,620.00 | 10/14/2022 | (2 | ) | (332,944 | ) | (6,120 | ) | (7,778 | ) | 1,658 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,630.00 | 10/14/2022 | (1 | ) | (166,472 | ) | (2,953 | ) | (4,039 | ) | 1,086 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,675.00 | 10/14/2022 | (1 | ) | (166,472 | ) | (3,455 | ) | (3,549 | ) | 94 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,630.00 | 10/21/2022 | (1 | ) | (166,472 | ) | (4,008 | ) | (4,599 | ) | 591 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,675.00 | 10/21/2022 | (4 | ) | (665,888 | ) | (23,840 | ) | (16,276 | ) | (7,564 | ) | |||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,620.00 | 10/28/2022 | (3 | ) | (499,416 | ) | (11,175 | ) | (15,387 | ) | 4,212 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,630.00 | 10/28/2022 | (2 | ) | (332,944 | ) | (7,926 | ) | (10,418 | ) | 2,492 | ||||||||||||||||||
Russell 2000 Index | UBS Securities LLC | 1,610.00 | 11/4/2022 | (2 | ) | (332,944 | ) | (9,200 | ) | (11,238 | ) | 2,038 | ||||||||||||||||||
S&P 500 Index | Goldman Sachs & Co. | 3,400.00 | 11/18/2022 | (6 | ) | (2,151,372 | ) | (47,724 | ) | (23,418 | ) | (24,306 | ) | |||||||||||||||||
S&P 500 Index | Goldman Sachs & Co. | 3,200.00 | 12/16/2022 | (7 | ) | (2,509,934 | ) | (43,043 | ) | (40,600 | ) | (2,443 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,580.00 | 10/7/2022 | (6 | ) | (2,151,372 | ) | (29,850 | ) | (29,334 | ) | (516 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,665.00 | 10/7/2022 | (1 | ) | (358,562 | ) | (9,560 | ) | (4,659 | ) | (4,901 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,570.00 | 10/14/2022 | (1 | ) | (358,562 | ) | (7,760 | ) | (6,749 | ) | (1,011 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,580.00 | 10/14/2022 | (2 | ) | (717,124 | ) | (15,786 | ) | (13,118 | ) | (2,668 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,665.00 | 10/14/2022 | (1 | ) | (358,562 | ) | (12,600 | ) | (6,239 | ) | (6,361 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,745.00 | 10/14/2022 | (2 | ) | (717,124 | ) | (30,860 | ) | (13,118 | ) | (17,742 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,750.00 | 10/14/2022 | (7 | ) | (2,509,934 | ) | (128,828 | ) | (48,852 | ) | (79,976 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,665.00 | 10/21/2022 | (2 | ) | (717,124 | ) | (25,804 | ) | (14,478 | ) | (11,326 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,745.00 | 10/21/2022 | (2 | ) | (717,124 | ) | (30,520 | ) | (14,898 | ) | (15,622 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,750.00 | 10/21/2022 | (4 | ) | (1,434,248 | ) | (73,200 | ) | (31,436 | ) | (41,764 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,775.00 | 10/21/2022 | (4 | ) | (1,434,248 | ) | (78,452 | ) | (29,596 | ) | (48,856 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,780.00 | 10/21/2022 | (1 | ) | (358,562 | ) | (20,382 | ) | (7,469 | ) | (12,913 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,570.00 | 10/28/2022 | (5 | ) | (1,792,810 | ) | (50,990 | ) | (45,395 | ) | (5,595 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,580.00 | 10/28/2022 | (6 | ) | (2,151,372 | ) | (61,092 | ) | (52,314 | ) | (8,778 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,665.00 | 10/28/2022 | (2 | ) | (717,124 | ) | (28,660 | ) | (16,838 | ) | (11,822 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,540.00 | 11/4/2022 | (3 | ) | (1,075,686 | ) | (29,796 | ) | (30,717 | ) | 921 | ||||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,545.00 | 11/4/2022 | (1 | ) | (358,562 | ) | (9,920 | ) | (9,619 | ) | (301 | ) | |||||||||||||||||
S&P 500 Index | UBS Securities LLC | 3,570.00 | 11/4/2022 | (1 | ) | (358,562 | ) | (9,260 | ) | (10,189 | ) | 929 |
iMGP High Income Alternatives Fund
SCHEDULE OF INVESTMENTS IN WRITTEN OPTIONS at September 30, 2022 (Unaudited)(Continued)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Fair Value | Premiums Received | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
S&P 500 Index | UBS Securities LLC | $ | 3,615.00 | 11/4/2022 | (1 | ) | $ | (358,562 | ) | $ | (12,808 | ) | $ | (9,249 | ) | $ | (3,559 | ) | ||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||||
Total Written Options |
| $ | (832,870 | ) | $ | (544,815 | ) | $ | (288,055 | ) | ||||||||||||||||||||
|
|
|
|
|
|
iMGP Dolan McEniry Corporate Bond Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
Principal Amount^ | Value | |||||||
CORPORATE BONDS: 98.7% | ||||||||
Basic Materials: 1.9% | ||||||||
Steel Dynamics, Inc. | ||||||||
$918,000 | 2.400%, 06/15/2025 | $ | 849,898 | |||||
679,000 | 5.000%, 12/15/2026 | 666,403 | ||||||
|
| |||||||
1,516,301 | ||||||||
|
| |||||||
Communications: 20.0% | ||||||||
AMC Networks, Inc. | ||||||||
1,476,000 | 4.750%, 08/01/2025 | 1,319,002 | ||||||
582,000 | 4.250%, 02/15/2029 | 431,550 | ||||||
AT&T, Inc. | ||||||||
143,000 | 3.800%, 02/15/2027 | 134,315 | ||||||
1,516,000 | 4.250%, 03/01/2027 | 1,457,721 | ||||||
403,000 | 4.100%, 02/15/2028 | 376,312 | ||||||
Discovery Communications LLC | ||||||||
2,102,000 | 3.950%, 03/20/2028 | 1,846,952 | ||||||
Expedia Group, Inc. | ||||||||
2,283,000 | 3.800%, 02/15/2028 | 2,033,172 | ||||||
Lumen Technologies, Inc. | ||||||||
2,303,000 | 7.500%, 04/01/2024 | 2,373,529 | ||||||
Motorola Solutions, Inc. | ||||||||
2,011,000 | 4.600%, 02/23/2028 | 1,898,092 | ||||||
TEGNA, Inc. | ||||||||
2,337,000 | 4.625%, 03/15/2028 | 2,162,631 | ||||||
Verizon Communications, Inc. | ||||||||
1,899,000 | 4.125%, 03/16/2027 | 1,817,444 | ||||||
|
| |||||||
15,850,720 | ||||||||
|
| |||||||
Consumer, Cyclical: 9.7% | ||||||||
Bloomin’ Brands, Inc. / OSI Restaurant Partners LLC | ||||||||
1,895,000 | 5.125%, 04/15/2029(a) | 1,581,592 | ||||||
Boyd Gaming Corp. | ||||||||
602,000 | 4.750%, 12/01/2027 | 533,974 | ||||||
Dollar Tree, Inc. | ||||||||
747,000 | 4.000%, 05/15/2025 | 724,701 | ||||||
1,123,000 | 4.200%, 05/15/2028 | 1,048,828 | ||||||
Newell Brands, Inc. | ||||||||
2,057,000 | 6.625%, 09/15/2029 | 2,016,107 | ||||||
QVC, Inc. | ||||||||
198,000 | 4.850%, 04/01/2024 | 186,641 | ||||||
281,000 | 4.450%, 02/15/2025 | 240,175 | ||||||
1,844,000 | 4.750%, 02/15/2027 | 1,384,707 | ||||||
|
| |||||||
7,716,725 | ||||||||
|
| |||||||
Consumer, Non-cyclical: 27.5% | ||||||||
Altria Group, Inc. | ||||||||
1,823,000 | 4.400%, 02/14/2026 | 1,756,651 | ||||||
224,000 | 4.800%, 02/14/2029 | 207,099 | ||||||
Block Financial LLC | ||||||||
2,315,000 | 2.500%, 07/15/2028 | 1,919,704 | ||||||
Conagra Brands, Inc. | ||||||||
1,044,000 | 4.300%, 05/01/2024 | 1,028,291 | ||||||
654,000 | 4.600%, 11/01/2025 | 639,479 | ||||||
275,000 | 4.850%, 11/01/2028 | 260,001 | ||||||
DaVita, Inc. | ||||||||
1,184,000 | 4.625%, 06/01/2030(a) | 914,581 | ||||||
Encompass Health Corp. | ||||||||
388,000 | 4.500%, 02/01/2028 | 333,189 | ||||||
Global Payments, Inc. | ||||||||
630,000 | 2.650%, 02/15/2025 | 589,531 | ||||||
1,283,000 | 4.800%, 04/01/2026 | 1,240,400 |
Principal Amount^ | Value | |||||||
Consumer, Non-cyclical (continued) | ||||||||
HCA, Inc. | ||||||||
$775,000 | 5.375%, 09/01/2026 | $ | 752,135 | |||||
1,182,000 | 5.625%, 09/01/2028 | 1,128,949 | ||||||
Kraft Heinz Foods Co. | ||||||||
939,000 | 3.000%, 06/01/2026 | 866,938 | ||||||
1,312,000 | 3.875%, 05/15/2027 | 1,227,346 | ||||||
Molson Coors Beverage Co. | ||||||||
2,077,000 | 3.000%, 07/15/2026 | 1,899,813 | ||||||
Reynolds American, Inc. | ||||||||
2,042,000 | 4.450%, 06/12/2025 | 1,975,504 | ||||||
Service Corp. International | ||||||||
1,499,000 | 4.625%, 12/15/2027 | 1,359,990 | ||||||
531,000 | 5.125%, 06/01/2029 | 483,308 | ||||||
United Rentals North America, Inc. | ||||||||
962,000 | 5.500%, 05/15/2027 | 931,697 | ||||||
981,000 | 4.875%, 01/15/2028 | 901,583 | ||||||
Verisk Analytics, Inc. | ||||||||
792,000 | 4.000%, 06/15/2025 | 767,729 | ||||||
Zimmer Biomet Holdings, Inc. | ||||||||
730,000 | 3.050%, 01/15/2026 | 682,778 | ||||||
|
| |||||||
21,866,696 | ||||||||
|
| |||||||
Financial: 7.5% | ||||||||
American Tower Corp. | ||||||||
799,000 | 4.000%, 06/01/2025 | 770,377 | ||||||
1,390,000 | 3.375%, 10/15/2026 | 1,272,572 | ||||||
SBA Communications Corp. | ||||||||
605,000 | 3.875%, 02/15/2027 | 541,290 | ||||||
1,594,000 | 3.125%, 02/01/2029 | 1,285,489 | ||||||
Trinity Acquisition Plc | ||||||||
715,000 | 4.400%, 03/15/2026 | 687,468 | ||||||
Willis North America, Inc. | ||||||||
230,000 | 3.600%, 05/15/2024 | 223,530 | ||||||
1,217,000 | 4.500%, 09/15/2028 | 1,130,768 | ||||||
|
| |||||||
5,911,494 | ||||||||
|
| |||||||
Industrial: 15.0% | ||||||||
Allegion US Holding Co., Inc. | ||||||||
957,000 | 3.200%, 10/01/2024 | 915,602 | ||||||
1,149,000 | 3.550%, 10/01/2027 | 1,027,263 | ||||||
Carlisle Cos., Inc. | ||||||||
336,000 | 3.500%, 12/01/2024 | 323,887 | ||||||
1,839,000 | 3.750%, 12/01/2027 | 1,675,770 | ||||||
Carrier Global Corp. | ||||||||
2,225,000 | 2.493%, 02/15/2027 | 1,976,267 | ||||||
Fortune Brands Home & Security, Inc. | ||||||||
758,000 | 4.000%, 09/21/2023 | 747,684 | ||||||
284,000 | 4.000%, 06/15/2025 | 273,462 | ||||||
TransDigm, Inc. | ||||||||
1,201,000 | 5.500%, 11/15/2027 | 1,047,230 | ||||||
Trimble, Inc. | ||||||||
2,055,000 | 4.900%, 06/15/2028 | 1,959,122 | ||||||
Westinghouse Air Brake Technologies Corp. | ||||||||
974,000 | 4.400%, 03/15/2024 | 956,509 | ||||||
1,105,000 | 4.950%, 09/15/2028 | 1,023,411 | ||||||
|
| |||||||
11,926,207 | ||||||||
|
| |||||||
Technology: 17.1% | ||||||||
Broadcom Corp. / Broadcom Cayman Finance Ltd. | ||||||||
1,569,000 | 3.875%, 01/15/2027 | 1,446,072 | ||||||
Broadcom, Inc. | ||||||||
363,000 | 3.459%, 09/15/2026 | 337,701 |
iMGP Dolan McEniry Corporate Bond Fund
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)(Continued)
Principal Amount^ | Value | |||||||
CORPORATE BONDS (CONTINUED) | ||||||||
Technology (continued) | ||||||||
CA, Inc. |
| |||||||
$231,000 | 4.700%, 03/15/2027 | $ | 214,222 | |||||
CDW LLC / CDW Finance Corp. |
| |||||||
564,000 | 4.125%, 05/01/2025 | 533,588 | ||||||
1,322,000 | 4.250%, 04/01/2028 | 1,181,220 | ||||||
228,000 | 3.250%, 02/15/2029 | 185,457 | ||||||
HP, Inc. |
| |||||||
1,847,000 | 3.000%, 06/17/2027 | 1,640,566 | ||||||
210,000 | 4.000%, 04/15/2029 | 184,338 | ||||||
Microchip Technology, Inc. |
| |||||||
1,977,000 | 4.250%, 09/01/2025 | 1,911,698 | ||||||
Oracle Corp. |
| |||||||
2,447,000 | 2.300%, 03/25/2028 | 2,048,798 | ||||||
Qorvo, Inc. |
| |||||||
2,281,000 | 4.375%, 10/15/2029 | 1,957,132 | ||||||
Western Digital Corp. |
| |||||||
2,113,000 | 4.750%, 02/15/2026 | 1,957,779 | ||||||
|
| |||||||
13,598,571 | ||||||||
|
| |||||||
| TOTAL CORPORATE BONDS | 78,386,714 | ||||||
|
| |||||||
| TOTAL INVESTMENTS (Cost: $89,019,357): 98.7% | 78,386,714 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 1.3% | 1,015,257 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 79,401,971 | ||||||
|
|
Percentages are stated as a percent of net assets.
LP | Limited Partnership | |||
^ | The principal amount is stated in U.S. Dollars unless otherwise indicated. | |||
(a) | Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may be sold in transactions exempt from registration only to qualified institutional buyers or in a public offering registered under Securities Act of 1933. |
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
Cost of investments | $ | 89,019,357 | ||
|
| |||
Gross unrealized appreciation | — | |||
Gross unrealized depreciation | (10,632,643 | ) | ||
|
| |||
Net unrealized depreciation | $ | (10,632,643 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iMGP DBi Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
TOTAL INVESTMENTS (Cost: $0): 0.0% | 0 | |||||
|
| |||||
Other Assets in Excess of Liabilities: 100.0% | 920,594,178 | |||||
|
| |||||
NET ASSETS: 100.0% | $ | 920,594,178 | ||||
|
|
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
Cost of investments | $ | — | ||
|
| |||
Gross unrealized appreciation | 28,477,227 | |||
Gross unrealized depreciation | (1,217,646 | ) | ||
|
| |||
Net unrealized appreciation | $ | 27,259,581 | ||
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iMGP DBi Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at September 30, 2022 (Unaudited)(a)
|
| |||||||||||||||||||
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long |
| |||||||||||||||||||
S&P 500 E Mini Index | 53 | 10,399,194 | $ | 9,543,975 | 12/16/2022 | $ | (855,219 | ) | ||||||||||||
WTI Crude Futures (b) | 94 | 7,762,107 | 7,399,680 | 11/21/2022 | (362,427 | ) | ||||||||||||||
|
| |||||||||||||||||||
Total Long | $ | (1,217,646 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts - Short | ||||||||||||||||||||
30 Day Federal Funds Futures | (258 | ) | (103,092,911 | ) | $ | (102,977,113 | ) | 1/31/2023 | $ | 115,798 | ||||||||||
90-day Euro-Dollar Futures | (894 | ) | (214,310,121 | ) | (213,822,450 | ) | 3/18/2024 | 487,671 | ||||||||||||
Euro FX Currency Futures | (3,266 | ) | (406,255,645 | ) | (402,595,738 | ) | 12/19/2022 | 3,659,907 | ||||||||||||
Gold 100 Oz Futures (b) | (630 | ) | (106,390,425 | ) | (105,336,000 | ) | 12/28/2022 | 1,054,425 | ||||||||||||
Japanese Yen Currency Futures | (1,424 | ) | (125,526,592 | ) | (123,950,300 | ) | 12/19/2022 | 1,576,292 | ||||||||||||
MSCI EAFE Index Futures | (999 | ) | (87,493,525 | ) | (82,946,970 | ) | 12/16/2022 | 4,546,555 | ||||||||||||
MSCI Emerging Market Index | (425 | ) | (20,214,540 | ) | (18,519,375 | ) | 12/16/2022 | 1,695,165 | ||||||||||||
U.S. Treasury 10-Year Note Futures | (897 | ) | (102,655,978 | ) | (100,520,062 | ) | 12/20/2022 | 2,135,916 | ||||||||||||
U.S. Treasury 10-Year Ultra Note Futures | (838 | ) | (101,980,946 | ) | (99,289,906 | ) | 12/20/2022 | 2,691,040 | ||||||||||||
U.S. Treasury 2-Year Note Futures | (1,043 | ) | (215,678,860 | ) | (214,222,423 | ) | 12/30/2022 | 1,456,437 | ||||||||||||
U.S. Treasury Bonds 20 Year Bond Futures | (625 | ) | (83,193,738 | ) | (79,003,906 | ) | 12/20/2022 | 4,189,832 | ||||||||||||
U.S. Treasury Ultra-Long Bond Futures | (565 | ) | (82,273,189 | ) | (77,405,000 | ) | 12/20/2022 | 4,868,189 | ||||||||||||
|
| |||||||||||||||||||
Total Short | $ | 28,477,227 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | 27,259,581 | ||||||||||||||||||
|
|
(a) | Societe Generale is the counterparty for all Open Futures Contracts held by the Fund and the iMGP DBi Cayman Managed Futures Subsidiary at September 30, 2022. |
(b) | Contract held by the iMGP DBi Cayman Managed Futures Subsidiary. |
iMGP DBi Hedge Strategy ETF
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
TOTAL INVESTMENTS | $ | 0 | ||||
|
| |||||
Other Assets in Excess of Liabilities: 100.0% | 16,072,673 | |||||
|
| |||||
NET ASSETS: 100.0% | $ | 16,072,673 | ||||
|
|
Percentages are stated as a percent of net assets.
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
Cost of investments | $ | — | ||
|
| |||
Gross unrealized appreciation | 164,817 | |||
Gross unrealized depreciation | (632,827 | ) | ||
|
| |||
Net unrealized appreciation | $ | (468,010 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
iMGP DBi Hedge Strategy ETF
SCHEDULE OF INVESTMENTS IN FUTURES CONTRACTS at September 30, 2022 (Unaudited) (a)
Description | Number of Contracts | Notional Amount | Notional Value | Expiration Date | Unrealized Appreciation/ (Depreciation) | |||||||||||||||
Futures Contracts - Long | ||||||||||||||||||||
U.S. Treasury Ultra Bond Futures | 3 | 449,321 | $ | 411,000 | 12/20/2022 | $ | (38,321 | ) | ||||||||||||
Russell 2000 E-mini Futures | 15 | 1,375,892 | 1,252,350 | 12/16/2022 | (123,542 | ) | ||||||||||||||
MSCI EAFE Index Futures | 20 | 1,805,436 | 1,660,600 | 12/16/2022 | (144,836 | ) | ||||||||||||||
Nasdaq 100 E-mini Futures | 4 | 988,251 | 882,840 | 12/16/2022 | (105,411 | ) | ||||||||||||||
MSCI Emerging Market Index | 5 | 239,726 | 217,875 | 12/16/2022 | (21,851 | ) | ||||||||||||||
U.S. Treasury Long Bond Futures | 4 | 543,183 | 505,625 | 12/20/2022 | (37,558 | ) | ||||||||||||||
S&P Mid Cap 400 E-mini Futures | 7 | 1,707,048 | 1,545,740 | 12/16/2022 | (161,308 | ) | ||||||||||||||
U.S. Dollar Index Futures | 17 | 1,858,637 | 1,905,428 | 12/19/2022 | 46,791 | |||||||||||||||
|
| |||||||||||||||||||
Total Long | $ | (586,036 | ) | |||||||||||||||||
|
| |||||||||||||||||||
Futures Contracts - Short | ||||||||||||||||||||
90-day Euro-Dollar Futures | (15 | ) | (3,602,349 | ) | $ | (3,587,625 | ) | 3/18/2024 | $ | 14,724 | ||||||||||
Euro FX Currency Futures | (15 | ) | (1,885,128 | ) | (1,849,031 | ) | 12/19/2022 | 36,097 | ||||||||||||
British Pound Currency Futures | (5 | ) | (361,556 | ) | (349,406 | ) | 12/19/2022 | 12,150 | ||||||||||||
Japanese Yen Currency Futures | (5 | ) | (441,135 | ) | (435,219 | ) | 12/19/2022 | 5,916 | ||||||||||||
U.S. Treasury 2-Year Note Futures | (18 | ) | (3,732,102 | ) | (3,697,032 | ) | 12/30/2022 | 35,070 | ||||||||||||
Canadian Dollar Currency Futures | (4 | ) | (303,649 | ) | (289,580 | ) | 12/20/2022 | 14,069 | ||||||||||||
|
| |||||||||||||||||||
Total Short | $ | 118,026 | ||||||||||||||||||
|
| |||||||||||||||||||
Total Futures Contracts | $ | (468,010 | ) | |||||||||||||||||
|
|
(a) | Mizuho Securities USA LLC is the counterparty for all Open Futures Contracts held by the Fund at September 30, 2022. |
iMGP RBA Responsible Global Allocation ETF
SCHEDULE OF INVESTMENTS IN SECURITIES at September 30, 2022 (Unaudited)
Shares | Value | |||||||
EXCHANGE-TRADED FUNDS: 92.7% | ||||||||
7,141 | iShares ESG Advanced MSCI EAFE ETF | $ | 332,628 | |||||
54,181 | iShares ESG Aware US Aggregate Bond ETF | 2,516,165 | ||||||
8,428 | iShares ESG Aware USD Corporate Bond ETF | 183,562 | ||||||
16,730 | iShares MSCI Global Sustainable Development Goals | 1,185,655 | ||||||
10,656 | iShares Trust iShares ESG Aware MSCI EAFE ETF | 598,121 | ||||||
40,700 | Nuveen ESG Large-Cap Value ETF | 1,256,409 | ||||||
5,066 | Nuveen ESG Mid-Cap Value ETF | 143,773 | ||||||
6,097 | Vanguard ESG International Stock ETF | 264,854 | ||||||
16,761 | WisdomTree US ESG Fund | 640,773 | ||||||
|
| |||||||
| TOTAL EXCHANGE-TRADED FUNDS | 7,121,940 | ||||||
|
| |||||||
| TOTAL INVESTMENTS | 7,121,940 | ||||||
|
| |||||||
Other Assets in Excess of Liabilities: 7.3% | 557,812 | |||||||
|
| |||||||
NET ASSETS: 100.0% | $ | 7,679,752 | ||||||
|
|
Percentages are stated as a percent of net assets.
ETF | Exchange-Traded Fund |
The cost basis of investments for federal income tax purposes at September 30, 2022 was as follows*:
Cost of investments | $ | 8,222,509 | ||
|
| |||
Gross unrealized appreciation | — | |||
Gross unrealized depreciation | (1,100,569 | ) | ||
|
| |||
Net unrealized depreciation | $ | (1,100,569 | ) | |
|
|
* | Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report. |
Litman Gregory Funds Trust
SCHEDULE OF INVESTMENTS (Continued)
September 30, 2022 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
The following is a summary of the significant accounting policies followed by the Funds. These policies are in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Security Valuation. The Funds record their investments at fair value. Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The valuation techniques used to determine fair value are further described below. Investments in securities and derivatives traded on a national securities exchange are valued at the last reported sales price at the close of regular trading on each day that the exchanges are open for trading. Securities listed on the NASDAQ Global Market, the NASDAQ Global Select Market and the NASDAQ Capital Market are valued using the NASDAQ Official Closing Price. Securities traded on an exchange for which there have been no sales are valued at the mean between the closing bid and asked prices. Debt securities maturing within 60 days or less are valued at amortized cost unless the Valuation Committee determines that amortized cost does not represent fair value. Securities for which market prices are not readily available or if a security’s value has materially changed after the close of the security’s primary market but before the close of trading on the New York Stock Exchange (“NYSE”), the securities are valued at fair value as determined in good faith by the Managers that selected the security for the Funds’ portfolio and the Trust’s Valuation Committee in accordance with procedures approved by the Board of Trustees (the “Board”). In determining fair value, the Funds take into account all relevant factors and available information. Consequently, the price of the security used by a Fund to calculate its net asset value may differ from quoted or published prices for the same security. Fair value pricing involves subjective judgments and there is no single standard for determining the fair value of a security. As a result, different mutual funds could reasonably arrive at a different value for the same security. For securities that do not trade during NYSE hours, fair value determinations are based on analyses of market movements after the close of those securities’ primary markets, and include reviews of developments in foreign markets, the performance of U.S. securities markets, and the performance of instruments trading in U.S. markets that represent foreign securities and baskets of foreign securities. Pricing services are used to obtain closing market prices and to compute certain fair value adjustments utilizing computerized pricing models. It is possible that the fair value determined for a security is materially different from the value that could be realized upon the sale of that security or from the values that other mutual funds may determine.
Investments in other funds are valued at their respective net asset values as determined by those funds in accordance with the 1940 Act.
Debt securities generally trade in the over-the-counter market rather than on a securities exchange. The Funds’ pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the pricing services also utilize proprietary valuation models which may consider market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair value. Securities denominated in a foreign currency are converted into their U.S. dollar equivalent at the foreign exchange rate in effect at the close of the NYSE on the date that the values of the foreign debt securities are determined. Repurchase agreements are valued at cost, which approximates fair value.
Certain derivatives trade in the over-the-counter market. The Funds’ pricing services use various techniques including industry standard option pricing models and proprietary discounted cash flow models to determine the fair value of those instruments. The Funds’ net benefit or obligation under the derivative contract, as measured by the fair value of the contract, is included in net assets.
The Funds have procedures to determine the fair value of securities and other financial instruments for which market prices are not readily available or which may not be reliably priced. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Due to the inherent uncertainty of valuations of such investments, the fair values may differ significantly from the values that would have been used had an active market existed.
Consolidation of Subsidiary. The DBi Managed Futures Strategy ETF may invest up to 20% of its total assets in the iMGP DBi Cayman Managed Futures Subsidiary (the “Subsidiary”). The Subsidiary, which is organized under the laws of the Cayman Islands, is wholly- owned and controlled by the DBi Managed Futures Strategy ETF. The financial statements of the DBi Managed Futures Strategy ETF include the operations of the Subsidiary. All intercompany accounts and transactions have been eliminated in consolidation. The Subsidiary acts as an investment vehicle in order to invest in commodity-linked derivative instruments consistent with the Fund’s investment objectives and policies. The DBi Managed Futures Strategy ETF had 11.8% of its total assets invested in the Subsidiary as of September 30, 2022.
The Subsidiary is an exempted Cayman Islands investment company and as such is not subject to Cayman Islands taxes at the present time. For U.S. income tax purposes, the Subsidiary is a Controlled Foreign Corporation (“CFC”) not subject to U.S. income taxes. As a wholly-owned CFC, however, the Subsidiary’s net income and capital gains, if any, will be included each year in the Fund’s investment company taxable income.
Senior Term Loans. The Alternative Strategies Fund and the High Income Alternatives Fund may invest in bank debt, which includes interests in loans to companies or their affiliates undertaken to finance a capital restructuring or in connection with recapitalizations, acquisitions, leveraged buyouts, refinancings or other financially leveraged transactions and may include loans which are designed to provide temporary or bridge financing to a borrower pending the sale of identified assets, the arrangement of longer-term loans or the issuance and sale of debt obligations. These loans, which may bear fixed or floating rates, have generally been arranged through private negotiations between a corporate borrower and one or more financial institutions (“Lenders”), including banks. The Alternative Strategies Fund’s and the High Income Alternatives Fund’s investments may be in the form of participations in loans (“Participations”) or of assignments of all or a portion of loans from third parties (“Assignments”).
Unfunded Loan Commitments. The Alternative Strategies Fund and the High Income Alternatives Fund may enter into certain credit agreements, all or a portion of which may be unfunded. The Fund is obligated to fund these commitments at the borrower’s discretion. These commitments, if any, are disclosed in the Schedules of Investments.
Short Sales. Each Fund may sell a security it does not own in anticipation of a decline in the fair value of that security. When each Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. In addition, cash and certain investments in securities may be used to collateralize the securities sold short. Each day the securities sold short transaction is open, the liability to replace the borrowed security is marked to market and an unrealized gain or loss is recorded. While the transaction remains open, the Fund may also incur expenses for any dividends or interest which will be paid to the lender of the securities as well as a fee to borrow the delivered security. During the term of the short sale, the value of the securities pledged as collateral on short sales is required to exceed the value of the securities sold short. A gain, limited to the price at which each Fund sold the security short, or a loss, unlimited in size, will be recognized upon the termination of a short sale. Each Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
Repurchase Agreements. Each Fund may enter into repurchase agreements through which the Fund acquires a security (the “underlying security”) from a seller, a well-established securities dealer or a bank that is a member of the Federal Reserve System. The bank or securities dealer agrees to repurchase the underlying security at the same price, plus a specified amount of interest, at a later date, generally for a period of less than one week. It is the Trust’s policy that its Custodian takes possession of securities as collateral under repurchase agreements and to determine on a daily basis that the value of such securities, including recorded interest, is sufficient to cover the value of the repurchase agreements. The Trust’s policy states that the value of the collateral is at least 102% of the value of the repurchase agreement. If the counterparty defaults and the value of the collateral declines or if bankruptcy proceedings are commenced with respect to the counterparty of the security, realization of the collateral by a Fund may be delayed or limited. At September 30, 2022, the Funds’ ongoing exposure to the economic return on repurchase agreements is shown on the Schedules of Investments in Securities.
Reverse repurchase agreements. The High Income Alternatives Fund may enter into reverse repurchase agreements with banks and brokers to enhance return. Under a reverse repurchase agreement a Fund sells portfolio assets subject to an agreement by that Fund to repurchase the same assets at an agreed upon price and date. The Fund can use the proceeds received from entering into a reverse repurchase agreement to make additional investments, which generally causes the Fund’s portfolio to behave as if it were leveraged. If the buyer in a reverse repurchase agreement files for bankruptcy or becomes insolvent, the Fund may be unable to recover the securities it sold and as a result may realize a loss on the transaction if the securities it sold are worth more than the purchase price it originally received from the buyer. Reverse repurchase agreements outstanding at the end of the period, if any, are shown on the Schedules of Investments. Cash received in exchange for securities transferred under reverse repurchase agreements are reflected as reverse repurchase agreements on the Statements of Assets and Liabilities.
For the period ended September 30, 2022, the High Income Alternatives Fund had outstanding reverse repurchase agreement balance for 7 days. The average amount of borrowings was $143,488 and the average interest rate was 0.09% during the 7 day period.
Foreign Currency Translation. The Funds’ records are maintained in U.S. dollars. The value of securities, currencies and other assets and liabilities denominated in currencies other than U.S. dollars are translated into U.S. dollars based upon foreign exchange rates prevailing at the end of the reporting period. The currencies are translated into U.S. dollars by using the exchange rates quoted at the close of the London Stock Exchange prior to when each Fund’s net asset value is next determined. Purchases and sales of investment securities, income and expenses are translated on the respective dates of such transactions.
The Funds do not isolate that portion of their net realized and unrealized gains and losses on investments resulting from changes in foreign exchange rates from the impact arising from changes in market prices. Such fluctuations are included with net realized and unrealized gain or loss from investments.
Net realized foreign currency transaction gains and losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the differences between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign currency transactions gains and losses arise from changes in the value of assets and liabilities, other than investments in securities, resulting from changes in the exchange rates.
Forward Foreign Currency Exchange Contracts. The Funds may utilize forward foreign currency exchange contracts (“forward contracts”) under which they are obligated to exchange currencies on specified future dates at specified rates, and are subject to foreign exchange rates fluctuations. All contracts are “marked-to-market” daily and any resulting unrealized gains or losses are recorded as unrealized appreciation or depreciation on forward foreign currency exchange contracts. The Funds record realized gains or losses at the time the forward contract is settled. These gains and losses are reflected on the Statements of Operations as realized gain (loss) on forward foreign currency exchange contracts. Counterparties to these forward contracts are major U.S. financial institutions.
Commodity Futures Trading Commission (“CFTC”) Regulation. Because of the nature of their investments, the DBi Managed Futures Strategy ETF and the DBi Hedge Strategy ETF are subject to regulation under the Commodities Exchange Act, as amended (the “CEA”), as a commodity pool and each of the Advisor and Sub-Adviser is subject to regulation under the CEA as a commodity pool operator (“CPO”), as those terms are defined under the CEA. The Advisor and Sub-Adviser are regulated by the CFTC, the National Futures Association and the U.S. Securities and Exchange Commission (“SEC”) and are subject to each regulator’s disclosure requirements. The CFTC has adopted rules that are intended to harmonize certain CEA disclosure requirements with SEC disclosure requirements.
Futures Contracts. The Alternative Strategies Fund and the High Income Alternatives Fund invest in financial futures contracts primarily for the purpose of hedging their existing portfolio securities, or securities that the Funds intend to purchase, against fluctuations in fair value caused by changes in prevailing market interest rates. Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash, U.S. government securities, or other assets, equal to a certain percentage of the contract amount (initial margin deposit). Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuations in the fair value of the underlying security. Each Fund recognizes a gain or loss equal to the daily variation margin. If market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the financial futures contracts and may realize a loss. The use of futures transactions involves the risk of imperfect correlation in movements in the price of futures contracts, interest rates, and the underlying hedged assets.
Interest Rate Swaps. During the period ended September 30, 2022, the Alternative Strategies Fund and the High Income Alternatives Fund invested in interest rate swaps. An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other. Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the Over the counter (“OTC”) market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Credit Default Swaps. During the period ended September 30, 2022, the Alternative Strategies Fund and the High Income Alternatives Fund entered into credit default swaps to manage their exposure to the market or certain sectors of the market, to reduce their risk exposure to defaults of corporate issuers or indexes or to create exposure to corporate issuers or indexes to which they are not otherwise exposed. In a credit default swap, the protection buyer makes a stream of payments based on a fixed percentage applied to the contract notional amount to the protection seller in exchange for the right to receive a specified return upon the occurrence of a defined credit event on the reference obligation which may be either a single security or a basket of securities issued by corporate or sovereign issuers. Although contract-specific, credit events are generally defined as bankruptcy, failure to pay, restructuring, obligation acceleration, obligation default, or repudiation/moratorium. Upon the occurrence of a defined credit event, the difference between the value of the reference obligation and the swap’s notional amount is recorded as realized gain (for protection written) or loss (for protection sold). In the case of credit default swaps where a Fund is selling protection, the notional amount approximates the maximum loss. For centrally cleared swaps the daily change in valuation, and upfront payments, if any, are recorded as a receivable or payable for variation margin.
Total Return Swaps. Total return swap is the generic name for any non-traditional swap where one party agrees to pay the other the “total return” of a defined underlying asset, usually in return for receiving a stream of London Interbank Offered Rate (“LIBOR”) based cash flows. A total return swap may be applied to any underlying asset but is most commonly used with equity indices, single stocks, bonds and defined portfolios of loans and mortgages. Total return swap is a mechanism for the user to accept the economic benefits of asset ownership without utilizing the Statement of Assets and Liabilities. The other leg of the swap, usually LIBOR, is a spread to reflect the non-Statement of Assets and Liabilities nature of the product. No notional amounts are exchanged with total return swaps. The total return receiver assumes the entire economic exposure - that is, both market and credit exposure - to the reference asset. The total return payer - often the owner of the reference obligation - gives up economic exposure to the performance of the reference asset and in return takes on counterparty credit exposure to the total return receiver in the event of a default or fall in value of the reference asset.
Purchasing Put and Call Options. Each Fund may purchase covered “put” and “call” options with respect to securities which are otherwise eligible for purchase by a Fund and with respect to various stock indices subject to certain restrictions. Each Fund will engage in trading of such derivative securities primarily for hedging purposes.
If a Fund purchases a put option, a Fund acquires the right to sell the underlying security at a specified price at any time during the term of the option (for “American-style” options) or on the option expiration date (for “European-style” options). Purchasing put options may be used as a portfolio investment strategy when a portfolio manager perceives significant short-term risk but substantial long-term appreciation for the underlying security. The put option acts as an insurance policy, as it protects against significant downward price movement while it allows full participation in any upward movement. If a Fund is holding a stock which it feels has strong fundamentals, but for some reason may be weak in the near term, a Fund may purchase a put option on such security, thereby giving itself the right to sell such security at a certain strike price throughout the term of the option. Consequently, a Fund will exercise the put only if the price of such security falls below the strike price of the put. The difference between the put’s strike price and the market price of the underlying security on the date a Fund exercises the put, less transaction costs, will be the amount by which a Fund will be able to hedge against a decline in the underlying security. If during the period of the option the market price for the underlying security remains at or above the put’s strike price, the put will expire worthless, representing a loss of the price a Fund paid for the put, plus transaction costs. If the price of the underlying security increases, the profit a Fund realizes on the sale of the security will be reduced by the premium paid for the put option less any amount for which the put may be sold.
If a Fund purchases a call option, it acquires the right to purchase the underlying security at a specified price at any time during the term of the option. The purchase of a call option is a type of insurance policy to hedge against losses that could occur if a Fund has a short position in the underlying security and the security thereafter increases in price. Each Fund will exercise a call option only if the price of the underlying security is above the strike price at the time of exercise. If during the option period the market price for the underlying security remains at or below the strike price of the call option, the option will expire worthless, representing a loss of the price paid for the option, plus transaction costs. If the call option has been purchased to hedge a short position of a Fund in the underlying security and the price of the underlying security thereafter falls, the profit a Fund realizes on the cover of the short position in the security will be reduced by the premium paid for the call option less any amount for which such option may be sold.
Prior to exercise or expiration, an option may be sold when it has remaining value by a purchaser through a “closing sale transaction,” which is accomplished by selling an option of the same series as the option previously purchased. Each Fund generally will purchase only those options for which a Manager believes there is an active secondary market to facilitate closing transactions.
Writing Call Options. Each Fund may write covered call options. A call option is “covered” if a Fund owns the security underlying the call or has an absolute right to acquire the security without additional cash consideration (or, if additional cash consideration is required, cash or cash equivalents in such amount as are held in a segregated account by the Custodian). The writer of a call option receives a premium and gives the purchaser the right to buy the security underlying the option at the exercise price. The writer has the obligation upon exercise of the option to deliver the underlying security against payment of the exercise price during the option period. If the writer of an exchange-traded option wishes to terminate his obligation, he may effect a “closing purchase transaction.” This is accomplished by buying an option of the same series as the option previously written. A writer may not effect a closing purchase transaction after it has been notified of the exercise of an option.
Effecting a closing transaction in the case of a written call option will permit a Fund to write another call option on the underlying security with either a different exercise price, expiration date or both. Also, effecting a closing transaction will permit the cash or proceeds from the concurrent sale of any securities subject to the option to be used for other investments of a Fund. If a Fund desires to sell a particular security from its portfolio on which it has written a call option, it will effect a closing transaction prior to or concurrent with the sale of the security.
Each Fund will realize a gain from a closing transaction if the cost of the closing transaction is less than the premium received from writing the option or if the proceeds from the closing transaction are more than the premium paid to purchase the option. Each Fund will realize a loss from a closing transaction if the cost of the closing transaction is more than the premium received from writing the option or if the proceeds from the closing transaction are less than the premium paid to purchase the option. However, because increases in the market price of a call option will generally reflect increases in the market price of the underlying security, any loss to a Fund resulting from the repurchase of a call option is likely to be offset in whole or in part by appreciation of the underlying security owned by a Fund.
Writing Put Options. Each Fund may write put options. By writing put options, the Fund takes on the risk of declines in the value of the underlying instrument, including the possibility of a loss up to the entire strike price of each option it sells, but without the corresponding opportunity to benefit from potential increases in the value of the underlying instrument. When the Fund writes a put option, it assumes the risk that it must purchase the underlying instrument at a strike price that may be higher than the market price of the instrument. If there is a broad market decline and the Fund is able to close out its written put options, it may result in substantial losses to the Fund (see Note 9).
Risks of Investing in Options. There are several risks associated with transactions in options on securities. Options may be more volatile than the underlying instruments and, therefore, on a percentage basis, an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves. There are also significant differences between the securities and options markets that could result in an imperfect correlation between these markets, causing a given transaction not to achieve its objective. In addition, a liquid secondary market for particular options may be absent for reasons which include the following: there may be insufficient trading interest in certain options; restrictions may be imposed by an exchange on opening transactions or closing transactions or both; trading halts, suspensions or other restrictions may be imposed with respect to particular classes or series of option of underlying securities; unusual or unforeseen circumstances may interrupt normal operations on an exchange; the facilities of an exchange or clearing corporation may not at all times be adequate to handle current trading volume; or one or more exchanges could, for economic or other reasons, decide or be compelled at some future date to discontinue the trading of options (or a particular class or series of options), in which event the secondary market on that exchange (or in that class or series of options) would cease to exist, although outstanding options that had been issued by a clearing corporation as a result of trades on that exchange would continue to be exercisable in accordance with their terms.
A decision as to whether, when and how to use options involves the exercise of skill and judgment, and even a well-conceived transaction may be unsuccessful to some degree because of market behavior or unexpected events. The extent to which a Fund may enter into options transactions may be limited by the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), with respect to qualification of a Fund as a regulated investment company.
Restricted Securities. A restricted security cannot be resold to the general public without prior registration under the Securities Act of 1933. If the security is subsequently registered and resold, the issuers would typically bear the expense of all registrations at no cost to the Fund. Restricted securities are valued according to the guidelines and procedures adopted by the Funds’ Board of Trustees. As of September 30, 2022, there were no restricted securities held in the Funds.
Illiquid Securities. Each Fund may not invest more than 15% of the value of its net assets in illiquid securities, including restricted securities that are not deemed to be liquid by the Sub-Advisors. The Advisor and the Sub-Advisors will monitor the amount of illiquid securities in a Fund’s portfolio, under the supervision of the Board, to ensure compliance with a Fund’s investment restrictions. In accordance with procedures approved by the Board, these securities may be valued using techniques other than market quotations, and the values established for these securities may be different than what would be produced through the use of another methodology or if they had been priced using market quotations. Illiquid securities and other portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time, and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.
Fair Value of Financial Investments
The Funds follow a fair value hierarchy that distinguishes between market data obtained from independent sources (observable inputs) and the Funds’ own market assumptions (unobservable inputs). These inputs are used in determining the value of each Fund’s investments and are summarized in the following fair value hierarchy:
Level 1 – Quoted prices in active markets for identical securities.
Level 2 – Other significant observable inputs (including quoted prices for similar securities, interest rates, foreign exchange rates, and fair value estimates for foreign securities indices).
Level 3 – Significant unobservable inputs (including the Funds’ own assumptions in determining fair value of investments).
Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. Treasury obligations, U.S. Treasury inflation protected securities, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or independent pricing services or sources. Independent pricing services typically use information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. The service providers’ internal models use inputs that are observable such as, among other things, issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Fixed income securities purchased on a delayed-delivery basis are typically marked to market daily until settlement at the forward settlement date.
Mortgage and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by pricing service providers that use broker dealer quotations or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, estimated cash flows and market-based yield spreads for each tranche, current market data and incorporates deal collateral performance, as available.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
Mortgage and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.
Repurchase agreements and reverse repurchase agreements are short-term investments, they are fair valued approximately at their principal amounts. Repurchase agreements and reverse repurchase agreements are categorized as Level 2 of the fair value hierarchy.
Financial derivative instruments, such as foreign currency contracts, options contracts, futures, or swap agreements, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of broker dealer quotations or pricing service providers at the settlement price determined by the relevant exchange. Depending on the product and the terms of the transaction, the value of the derivative contracts can be estimated by a pricing service provider using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as issuer details, indices, spreads, interest rates, curves, dividends and exchange rates. Derivatives that use similar valuation techniques and inputs as described above are categorized as Level 1 or Level 2 of the fair value hierarchy.
The following tables provide the fair value measurements of applicable Fund assets and liabilities by level within the fair value hierarchy for each Fund as of September 30, 2022. These assets and liabilities are measured on a recurring basis.
Global Select Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 140,973,724 | $ | — | $ | — | $ | 140,973,724 | ||||||||
Preferred Stock | 3,114,210 | — | — | 3,114,210 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Equity | 144,087,934 | — | — | 144,087,934 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 7,581,000 | — | 7,581,000 | ||||||||||||
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|
|
|
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|
|
| |||||||||
Total Investments in Securities | $ | 144,087,934 | $ | 7,581,000 | $ | — | $ | 151,668,934 | ||||||||
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|
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|
|
(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
International Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity | ||||||||||||||||
Common Stocks | ||||||||||||||||
Argentina | $ | 1,461,032 | $ | — | $ | — | $ | 1,461,032 | ||||||||
Australia | 2,704,636 | — | — | 2,704,636 | ||||||||||||
Canada | 3,705,161 | — | — | 3,705,161 | ||||||||||||
China | 9,275,576 | — | — | 9,275,576 | ||||||||||||
Denmark | 3,953,814 | — | — | 3,953,814 | ||||||||||||
Finland | 5,641,888 | — | — | 5,641,888 | ||||||||||||
France | 13,816,258 | — | — | 13,816,258 | ||||||||||||
Germany | 41,234,668 | — | — | 41,234,668 | ||||||||||||
Ireland | 12,254,140 | — | — | 12,254,140 | ||||||||||||
Israel | 6,743,943 | — | — | 6,743,943 | ||||||||||||
Italy | 2,231,926 | — | — | 2,231,926 | ||||||||||||
Netherlands | 9,474,180 | — | — | 9,474,180 | ||||||||||||
Portugal | 4,598,219 | — | — | 4,598,219 | ||||||||||||
South Korea | 2,380,314 | — | — | 2,380,314 | ||||||||||||
Spain | 8,242,313 | — | — | 8,242,313 | ||||||||||||
Sweden | 4,709,444 | — | — | 4,709,444 | ||||||||||||
Switzerland | 7,541,936 | — | — | 7,541,936 | ||||||||||||
United Kingdom | 19,002,773 | — | — | 19,002,773 | ||||||||||||
United States | 14,240,429 | — | — | 14,240,429 | ||||||||||||
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|
|
|
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|
|
| |||||||||
Total Equity | 173,212,650 | — | — | 173,212,650 | ||||||||||||
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|
|
| |||||||||
Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 11,799,000 | — | 11,799,000 | ||||||||||||
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|
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|
|
| |||||||||
Total Short-Term Investments | — | 11,799,000 | — | 11,799,000 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 173,212,650 | $ | 11,799,000 | $ | — | $ | 185,011,650 | ||||||||
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Oldfield International Value Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 621,780 | $ | — | $ | — | $ | 621,780 | ||||||||
China | 588,799 | — | — | 588,799 | ||||||||||||
France | 896,396 | — | — | 896,396 | ||||||||||||
Germany | 3,467,521 | — | — | 3,467,521 | ||||||||||||
Italy | 830,244 | — | — | 830,244 | ||||||||||||
Japan | 3,171,293 | — | — | 3,171,293 | ||||||||||||
Netherlands | 899,060 | — | — | 899,060 | ||||||||||||
South Korea | 2,165,323 | — | — | 2,165,323 | ||||||||||||
Sweden | 699,517 | — | — | 699,517 | ||||||||||||
United Kingdom | 3,250,263 | — | — | 3,250,263 | ||||||||||||
Preferred Stock | ||||||||||||||||
Germany | 472,965 | — | — | 472,965 | ||||||||||||
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Total Equity | 17,063,161 | — | — | 17,063,161 | ||||||||||||
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Total Investments in Securities | $ | 17,063,161 | $ | — | $ | — | $ | 17,063,161 | ||||||||
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SBH Focused Small Value Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 44,828,092 | $ | — | $ | — | $ | 44,828,092 | ||||||||
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Total Equity | 44,828,092 | — | — | 44,828,092 | ||||||||||||
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Total Investments in Securities | $ | 44,828,092 | $ | — | $ | — | $ | 44,828,092 | ||||||||
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(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
Alternative Strategies Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | 317,532,695 | $ | 3,548,149 | $ | 2,220,562 | ** | $ | 323,301,406 | |||||||
Preferred Stocks | 350,116 | 1,193,132 | 222,138 | ** | 1,765,386 | |||||||||||
Limited Partnerships | — | — | 1,958,730 | ** | 1,958,730 | |||||||||||
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Total Equity | 317,882,811 | 4,741,281 | 4,401,430 | ** | 327,025,522 | |||||||||||
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Rights/Warrants | 44,614 | 106 | — | 44,720 | ||||||||||||
Fixed Income | ||||||||||||||||
Asset-Backed Securities | — | 102,688,999 | — | 102,688,999 | ||||||||||||
Bank Loans | — | 17,610,766 | 1,926,951 | ** | 19,537,717 | |||||||||||
Convertible Bonds | — | 15,851,740 | — | 15,851,740 | ||||||||||||
Corporate Bonds | — | 265,801,412 | — | 265,801,412 | ||||||||||||
Government Securities & Agency Issue | — | 22,485,539 | — | 22,485,539 | ||||||||||||
Mortgage-Backed Securities | — | 151,640,694 | 519,486 | (1) | 152,160,180 | |||||||||||
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Total Fixed Income | — | 576,079,150 | 2,446,437 | ** | 578,525,587 | |||||||||||
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Short-Term Investments | ||||||||||||||||
Repurchase Agreements | — | 289,220,897 | — | 289,220,897 | ||||||||||||
Treasury Bills | — | 33,142,535 | — | 33,142,535 | ||||||||||||
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Total Short-Term Investments | — | 322,363,432 | — | 322,363,432 | ||||||||||||
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Purchased Options | 147,000 | — | — | 147,000 | ||||||||||||
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Total Investments in Securities | $ | 318,074,425 | $ | 903,183,969 | $ | 6,847,867 | ** | $ | 1,228,106,261 | |||||||
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Short Sales | ||||||||||||||||
Common Stocks | (8,668,739 | ) | — | — | (8,668,739 | ) | ||||||||||
Exchange-Traded Funds | (750,928 | ) | — | — | (750,928 | ) | ||||||||||
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Total Short Sales | (9,419,667 | ) | — | — | (9,419,667 | ) | ||||||||||
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Total Investments in Securities in Liabilities | $ | (9,419,667 | ) | $ | — | $ | — | $ | (9,419,667 | ) | ||||||
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Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,001,399 | $ | — | $ | 1,001,399 | ||||||||
Futures | 3,036,435 | — | — | 3,036,435 | ||||||||||||
Swaps - Credit Default | — | (1,785,848 | ) | — | (1,785,848 | ) | ||||||||||
Swaps - Total Return | — | 5,316,762 | — | 5,316,762 | ||||||||||||
Written Options | (129,563 | ) | — | — | (129,563 | ) | ||||||||||
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(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the Alternative Strategies Fund. |
(1) | These securities were priced by a pricing service; however, the Advisor/Sub-Advisor used their fair value procedures based on other available inputs which more accurately reflected the current fair value of these securities. |
High Income Alternatives Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Common Stocks | $ | — | $ | 432 | $ | — | $ | 432 | ||||||||
Preferred Stocks | 3,055,734 | 426,062 | — | 3,481,796 | ||||||||||||
Closed-End Funds | 369,504 | — | — | 369,504 | ||||||||||||
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Total Equity | 3,425,238 | 426,494 | — | 3,851,732 | ||||||||||||
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Rights/Warrants | 21 | — | — | 21 | ||||||||||||
Fixed Income | ||||||||||||||||
Asset-Backed Securities | — | 16,622,875 | — | 16,622,875 | ||||||||||||
Bank Loans | — | 29,062,395 | — | 29,062,395 | ||||||||||||
Convertible Bonds | — | 108,920 | — | 108,920 | ||||||||||||
Corporate Bonds | — | 37,070,626 | 181,378 | ** | 37,252,004 | |||||||||||
Government Securities & Agency Issue | — | 21,665,770 | — | 21,665,770 | ||||||||||||
Mortgage-Backed Securities | — | 11,769,329 | — | 11,769,329 | ||||||||||||
Municipal Bond | — | 4,718 | — | 4,718 | ||||||||||||
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Total Fixed Income | — | 116,304,633 | 181,378 | ** | 116,486,011 | |||||||||||
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Short-Term Investments | ||||||||||||||||
Money Market Funds | 1,233,094 | — | — | 1,233,094 | ||||||||||||
Repurchase Agreements | — | 2,070,238 | — | 2,070,238 | ||||||||||||
Treasury Bills | — | 49,329 | — | 49,329 | ||||||||||||
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Total Short-Term Investments | 1,233,094 | 2,119,567 | — | 3,352,661 | ||||||||||||
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Purchased Options | 373,990 | — | — | 373,990 | ||||||||||||
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Total Investments in Securities | $ | 5,032,343 | $ | 118,850,694 | $ | 181,378 | ** | $ | 124,064,415 | |||||||
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Fixed Income | ||||||||||||||||
Unfunded Loan Commitments | — | 209,028 | — | 209,028 | ||||||||||||
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Total Investments in Securities in Assets | $ | 5,032,343 | $ | 119,059,722 | $ | 181,378 | ** | $ | 124,273,443 | |||||||
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Short Sales | ||||||||||||||||
Mortgage-Backed Securities | — | (2,785,313 | ) | — | (2,785,313 | ) | ||||||||||
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Total Investments in Securities in Liabilities | $ | — | $ | (2,785,313 | ) | $ | — | $ | (2,785,313 | ) | ||||||
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Other Financial Instruments* | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | 13,310 | $ | — | $ | — | $ | 13,310 | ||||||||
Futures | (16,020 | ) | — | — | (16,020 | ) | ||||||||||
Swaps - Interest Rate | — | (217,764 | ) | — | (217,764 | ) | ||||||||||
Written Options | (832,870 | ) | — | — | (832,870 | ) | ||||||||||
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(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
** | Significant unobservable inputs were used in determining the value of portfolio securities for the High Income Alternatives Fund. |
Dolan McEniry Corporate Bond Fund
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Fixed Income | ||||||||||||||||
Corporate Bonds | $ | — | $ | 78,386,714 | $ | — | $ | 78,386,714 | ||||||||
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Total Fixed Income | — | 78,386,714 | — | 78,386,714 | ||||||||||||
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Total Investments in Securities | $ | — | $ | 78,386,714 | $ | — | $ | 78,386,714 | ||||||||
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DBi Managed Futures Strategy ETF (Consolidated)
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Futures | $ | 27,259,581 | $ | — | $ | — | $ | 27,259,581 | ||||||||
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* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
DBi Hedge Strategy ETF
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Other Financial Instruments* | ||||||||||||||||
Futures | $ | (468,010 | ) | $ | — | $ | — | $ | (468,010 | ) | ||||||
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* | Other financial instruments are derivative instruments, such as futures, forward foreign currency exchange, swaps contracts and written options. Futures, forward foreign currency exchange and swap contracts are valued at the unrealized appreciation (depreciation) on the instrument, while written options are valued at fair value. |
RBA Responsible Global Allocation ETF
Description | Level 1 - Quoted prices in active markets for identical assets | Level 2 - Significant other observable inputs | Level 3 - Significant unobservable inputs | Total | ||||||||||||
Equity(a) | ||||||||||||||||
Exchange-Traded Funds | $ | 7,121,940 | $ | — | $ | — | $ | 7,121,940 | ||||||||
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Total Equity | 7,121,940 | — | — | 7,121,940 | ||||||||||||
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Total Investments in Securities | $ | 7,121,940 | $ | — | $ | — | $ | 7,121,940 | ||||||||
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(a) | See Fund’s Schedule of Investments in Securities for sector classifications. |
Principal Risks
Below are summaries of the principal risks of investing in one or more of the Funds, each of which could adversely affect a Fund’s net asset value, yield and total return. Each risk listed below does not necessarily apply to each Fund, and you should read a Fund’s prospectus carefully for a description of the principal risks associated with investing in a particular Fund.
• | Asset-Backed Securities Risk. This is the risk that the impairment of the value of the collateral underlying a security in which the High Income Alternatives Fund invests, such as the non-payment of loans, will result in a reduction in the value of the security. The value of these securities may also fluctuate in response to the market’s perception of the value of issuers or collateral. |
• | Below Investment-Grade Fixed Income Securities Risk. This is the risk of investing in below investment-grade fixed income securities (also known as “junk bonds”), which may be greater than that of higher rated fixed income securities. These securities are rated Ba1 through C by Moody’s Investors Service (“Moody’s”) or BB+ through D by Standard & Poor’s Rating Group (“S&P”) (or comparably rated by another nationally recognized statistical rating organization), or, if not rated by Moody’s or S&P, are considered by the sub-advisors to be of similar quality. These securities have greater risk of default than higher rated securities. The market value of these securities is more sensitive to corporate developments and economic conditions and can be volatile. Market conditions can diminish liquidity and make accurate valuations difficult to obtain. There is no limit to the Alternative Strategies Fund’s ability to invest in below investment-grade fixed income securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in below investment-grade fixed income securities. |
• | Capital Structure Arbitrage Risk. The perceived mispricing identified by the sub-advisor may not disappear or may even increase, in which case losses may be realized. |
• | Collateral Risk. If the Alternative Strategies Fund and High Income Alternatives Fund’s financial instruments are secured by collateral, the issuer may have difficulty liquidating the collateral and/or the Fund may have difficulty enforcing its rights under the terms of the securities if an issuer defaults. Collateral may be insufficient or the Fund’s right to the collateral may be set aside by a court. Collateral will generally consist of assets that may not be readily liquidated, including for example, equipment, inventory, work in the process of manufacture, real property and payments to become due under contracts or other receivable obligations. There is no assurance that the liquidation of those assets would satisfy an issuer’s obligations under a financial instrument. Non-affiliates and affiliates of issuers of financial instruments may provide collateral in the form of secured and unsecured guarantees and/or security interests in assets that they own, which may also be insufficient to satisfy an issuer’s obligations under a financial instrument. |
• | Collateralized Loan Obligations and Collateralized Debt Obligations Risk. Collateralized loan obligations (“CLOs”) bear many of the same risks as other forms of asset-backed securities, including interest rate risk, credit risk and default risk. As they are backed by pools of loans, CLOs also bear similar risks to investing in loans directly. CLOs issue classes or “tranches” that vary in risk and yield. CLOs may experience substantial losses attributable to loan defaults. Losses caused by defaults on underlying assets are borne first by the holders of subordinate tranches. The Alternative Strategies Fund and High Income Alternatives Fund’s investment in CLOs may decrease in market value when the CLO experiences loan defaults or credit impairment, the disappearance of a subordinate tranche, or market anticipation of defaults and investor aversion to CLO securities as a class. |
Collateralized debt obligations (“CDOs”) are structured similarly to CLOs and bear the same risks as CLOs including interest rate risk, credit risk and default risk. CDOs are subject to additional risks because they are backed by pools of assets other than loans including securities (such as other asset-backed securities), synthetic instruments or bonds and may be highly leveraged. Like CLOs, losses incurred by a CDO are borne first by holders of subordinate tranches. Accordingly, the risks of CDOs depend largely on the type of underlying collateral and the tranche of CDOs in which the Fund invests. For example, CDOs that obtain their exposure through synthetic investments entail the risks associated with derivative instruments.
• | Commodity Risk. Exposure to the commodities markets (including financial futuresmarkets) may subject the DBi Managed Futures Strategy ETF, through its investment in a wholly-owned subsidiary (the “Subsidiary”), which is organized under the laws of the Cayman Islands and is advised by the sub-advisor, to greater volatility than investments in traditional securities. Prices of commodities and related contractsmay fluctuate significantly over short periods for a variety of reasons, including changes in interest rates, supply and demand relationships and balances of payments and trade; weather and natural disasters; governmental, agricultural, trade, fiscal, monetary and exchange control programs and policies, public health crises and trade or price wars among commodity producers or buyers. The commodity markets are subject to temporary distortions and other disruptions. U.S. futures exchanges and some foreign exchanges have regulations that limit the amount of fluctuation in futures contract prices which may occur during a single business day. Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at disadvantageous times or prices. |
• | Communications Services Sector Risk. A Fund may invest a portion of its assets in the communications services sector. Media and communications companies may be significantly affected by product and service obsolescence due to technological advancement or development, competitive pressures, substantial capital requirements, fluctuating demand and changes in regulation. |
• | Consumer Discretionary Sector Risk. A Fund may invest a portion of its assets in the consumer discretionary sector. The success of consumer product manufacturers and retailers is tied closely to the performance of the overall domestic and international economy, interest rates, competition and consumer confidence. Success depends heavily on disposable household income and consumer spending. Changes in demographics and consumer tastes can also affect the demand for, and success of, consumer products and services in the marketplace. |
• | Consumer Staples Sector Risk. Certain of the Funds, through the implementation of their respective investment strategies, may from time to time invest a significant portion of their assets in the consumer staples sector, which includes, for example, the food and staples retailing industry, the food, beverage and tobacco industry and the household and personal products industry. This sector can be significantly affected by, among other factors, the regulation of various product components and production methods, marketing campaigns and changes in the global economy, consumer spending and consumer demand. Tobacco companies, in particular, may be adversely affected by new laws, regulations and litigations. Companies in the consumer staples sector may also be adversely affected by changes or trends in commodity prices, which may be influenced by unpredictable factors. These companies may be subject to severe competition, which may have an adverse impact on their profitability. |
• | Convertible Arbitrage Risk. Arbitrage strategies involve engaging in transactions that attempt to exploit price differences of identical, related or similar securities on different markets or in different forms. A Fund may realize losses or reduced rate of return if underlying relationships among securities in which investment positions are taken change in an adverse manner or a transaction is unexpectedly terminated or delayed. Trading to seek short-term capital appreciation can be expected to cause the Fund’s portfolio turnover rate to be substantially higher than that of the average equity-oriented investment company, resulting in higher transaction costs and additional capital gains tax liabilities. |
• | Convertible Securities Risk. This is the risk that the market value of convertible securities may fluctuate due to changes in, among other things, interest rates; other general economic conditions; industry fundamentals; market sentiment; the issuer’s operating results, financial statements, and credit ratings; and the market value of the underlying common or preferred stock. |
• | Corporate Debt Obligations Risk. Corporate debt obligations are subject to the risk of an issuer’s inability to meet principal and interest payments on the obligations. Therefore, the High Income Alternatives Fund may be indirectly exposed to such risks associated with corporate debt obligations. |
• | Country/Regional Risk. World events – such as political upheaval, financial troubles, or natural disasters – may adversely affect the value of securities issued by companies in foreign countries or regions. Because each of the International Fund and Oldfield International Value Fund may invest a large portion of its assets in securities of companies located in any one country or region, including emerging markets, the Fund’s performance may be hurt disproportionately by the poor performance of its investments in that area. This risk is heightened in emerging markets. |
• | Currency Risk. This is the risk that investing in foreign currencies may expose the Fund to fluctuations in currency exchange rates and that such fluctuations in the exchange rates may negatively affect an investment related to a currency or denominated in a foreign currency. The Alternative Strategies Fund may invest in foreign currencies for investment and hedging purposes. All of the Funds may invest in foreign currencies for hedging purposes. |
• | Cybersecurity Risk. Information and technology systems relied upon by the Funds, the Advisor, the sub-advisors, the Funds’ service providers (including, but not limited to, Fund accountants, custodians, transfer agents, administrators, distributors and other financial intermediaries) and/or the issuers of securities in which a Fund invests may be vulnerable to damage or interruption from computer viruses, network failures, computer and telecommunication failures, infiltration by unauthorized persons, security breaches, usage errors, power outages and catastrophic events such as fires, tornadoes, floods, hurricanes and earthquakes. Although the Advisor has implemented measures to manage risks relating to these types of events, if these systems are compromised, become inoperable for extended periods of time or cease to function properly, significant investment may be required to fix or replace them. The failure of these systems and/or of disaster recovery plans could cause significant interruptions in the operations of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests and may result in a failure to maintain the security, confidentiality or privacy of sensitive data, including personal information relating to investors (and the beneficial owners of investors). Such a failure could also harm the reputation of the Funds, the Advisor, the sub-advisors, the Funds’ service providers and/or issuers of securities in which a Fund invests, subject such entities and their respective affiliates to legal claims or otherwise affect their business and financial performance. |
• | Derivatives Risk. This is the risk that an investment in derivatives may not correlate completely to the performance of the underlying securities and may be volatile and that the insolvency of the counterparty to a derivative instrument could cause the Fund to lose all or substantially all of its investment in the derivative instrument, as well as the benefits derived therefrom. |
• | Options Risk. This is the risk that an investment in options may be subject to greater fluctuation than an investment in the underlying instruments themselves and may be subject to a complete loss of the amounts paid as premiums to purchase the options. |
• | Futures Contracts Risk. This is the risk that an investment in futures contracts may be subject to losses that exceed the amount of the premiums paid and may subject the Fund’s net asset value to greater volatility. |
• | P-Notes Risk. This is the risk that the performance results of P-Notes will not replicate exactly the performance of the issuers or markets that the P-Notes seek to replicate. Investments in P-Notes involve risks normally associated with a direct investment in the underlying securities as well as additional risks, such as counterparty risk. |
• | Swaps Risk. Risks inherent in the use of swaps include: (1) swap contracts may not be assigned without the consent of the counterparty; (2) potential default of the counterparty to the swap; (3) absence of a liquid secondary market for any particular swap at any time; and (4) possible inability of the Fund to close out the swap transaction at a time that otherwise would be favorable for it to do so. |
• | Emerging Markets Risk. A Fund may invest a portion of its assets in emerging market countries. Emerging market countries are those with immature economic and political structures, and investing in emerging markets entails greater risk than in developed markets. Such risks could include those related to government dependence on a few industries or resources, government-imposed taxes on foreign investment or limits on the removal of capital from a country, unstable government, and volatile markets. |
• | Equity Hedge Strategy Risk. The DBi Hedge Strategy ETF uses various investment strategies that seek to identify the main drivers of performance of a diversified portfolio of the largest long/short equity hedge funds. These investment strategies involve the use of complex derivatives techniques, and there is no guarantee that these strategies will succeed. The use of such strategies and techniques may subject the Fund to greater volatility and loss than investing in individual equity securities. There can be no assurance that utilizing a certain approach or model will achieve a particular level of return or reduce volatility and loss. |
• | Equity Securities Risk. This is the risk that the value of equity securities may fluctuate, sometimes rapidly and unpredictably, due to factors affecting the general market, an entire industry or sector, or particular companies. These factors include, without limitation, adverse changes in economic conditions, the general outlook for corporate earnings, interest rates or investor sentiment; increases in production costs; and significant management decisions. This risk is greater for small- and medium-sized companies, which tend to be more vulnerable to adverse developments than larger companies. |
• | ETF Risk. The DBi Managed Futures Strategy ETF and the DBi Hedge Strategy ETF are each an ETF, and, as a result of an ETF’s structure, each is exposed to the following risks: |
• | Authorized Participants, Market Makers, and Liquidity Providers Limitation Risk. The Fund has a limited number of financial institutions that may act as Authorized Participants (“APs”). In addition, there may be a limited number of market makers and/or liquidity providers in the marketplace. To the extent either of the following events occur, shares of the Fund (“Shares”) may trade at a material discount to NAV and possibly face delisting: (i) APs exit the business or otherwise become unable to process creation and/or redemption orders and no other APs step forward to perform these services, or (ii) market makers and/or liquidity providers exit the business or significantly reduce their business activities and no other entities step forward to perform their functions. |
• | Cash Redemption Risk. The Fund’s investment strategy may require it to redeem Shares for cash or to otherwise include cash as part of its redemption proceeds. The Fund may be required to sell or unwind portfolio investments to obtain the cash needed to distribute redemption proceeds. This may cause the Fund to recognize a capital gain that it might not have recognized if it had made a redemption in-kind. As a result, the Fund may pay out higher annual capital gain distributions than if the in-kind redemption process was used. |
• | Costs of Buying or Selling Shares. Due to the costs of buying or selling Shares, including brokerage commissions imposed by brokers and bid/ask spreads, frequent trading of Shares may significantly reduce investment results and an investment in Shares may not be advisable for investors who anticipate regularly making small investments. |
• | Shares May Trade at Prices Other Than NAV. As with all ETFs, Shares may be bought and sold in the secondary market at market prices. Although it is expected that the market price of Shares will approximate the Fund’s NAV, there may be times when the market price of Shares is more than the NAV intra-day (premium) or less than the NAV intra-day (discount) due to supply and demand of Shares or during periods of market volatility. This risk is heightened in times of market volatility and volatility in the Fund’s portfolio holdings, periods of steep market declines, and periods when there is limited trading activity for Shares in the secondary market, in which case such premiums or discounts may be significant. If an investor purchases Shares at a time when the market price is at a premium to the NAV of the Shares or sells at a time when the market price is at a discount to the NAV of the Shares, then the investor may sustain losses that are in addition to any losses caused by a decrease in NAV. |
• | Trading. Although Shares are listed for trading on a national securities exchange, and may be traded on other U.S. exchanges, there can be no assurance that Shares will trade with any volume, or at all, on any stock exchange. In stressed market conditions, the liquidity of Shares may begin to mirror the liquidity of the Fund’s underlying portfolio holdings, which can be significantly less liquid than Shares. |
• | European Investment Risk. Each of the International Fund and Oldfield International Value Fund may invest a significant portion of its assets in issuers based in Western Europe and the United Kingdom (“UK”). The economies of countries in Europe are often closely connected and interdependent, and events in one country in Europe can have an adverse impact on other European countries. Efforts by the member countries of the European Union (“EU”) to continue to unify their economic and monetary policies may increase the potential for similarities in the movements of European markets and reduce the potential investment benefits of diversification within the region. However, the substance of these policies may not address the needs of all European economies. European financial markets have in recent years experienced increased volatility due to concerns with some countries’ high levels of sovereign debt, budget deficits and unemployment. Markets have also been affected by the withdrawal of the UK from the EU (an event commonly known as “Brexit”). On January 31, 2020, the UK officially withdrew from the EU and entered into a transition period until December 31, 2020, during which the UK effectively remained in the EU from an economic perspective. The impact of Brexit on the UK, the EU and the broader global economy may be significant. As a result of the political divisions within the UK and between the UK and the EU that the referendum vote has highlighted and the uncertain consequences of Brexit, the UK and European economies and the broader global economy could be significantly impacted, which may result in increased volatility and illiquidity and potentially lower economic growth on markets in the UK, Europe and globally, which could potentially have an adverse effect on the value of a Fund’s investments. |
• | Event-Driven Risk. Event-driven strategies seek to profit from the market inefficiencies surrounding market events, such as mergers, acquisitions, asset sales, restructurings, refinancings, recapitalizations, reorganizations or other special situations. Event-driven investing involves attempting to predict the outcome of a particular transaction as well as the optimal time at which to commit capital to it. Event-driven opportunities involve difficult legal as well as financial analysis, as some of the principal impediments to the consummation of major corporate events are often legal or regulatory rather than economic. In addition, certain of the securities issued in the context of major corporate events include complex call, put and other features, and it is difficult to precisely evaluate the terms and embedded option characteristics of these securities. A Fund may take both long and short positions in a wide range of securities, derivatives and other instruments in implementing its event-driven strategies. |
• | Financial Sector Risk. A Fund may invest a portion of its assets in the financial services sector and, therefore, the performance of the Fund could be negatively impacted by events affecting this sector, including changes in interest rates, government regulation, the rate of defaults on corporate, consumer and government debt and the availability and cost of capital. |
• | Fixed Income Securities Risk. Interest rates may go up resulting in a decrease in value of the securities held by a Fund. Fixed income securities held by a Fund are also subject to interest rate risk, credit risk, call risk and liquidity risk, which are more fully described below. |
• | Credit Risk. Credit risk is the risk that an issuer will not make timely payments of principal and interest. A credit rating assigned to a particular debt security is essentially an opinion as to the credit quality of an issuer and may prove to be inaccurate. There is also the risk that a bond issuer may “call,” or repay, its high yielding bonds before their maturity dates. |
• | Interest Rate Risk. Interest rates may go up resulting in a decrease in the value of the securities held by a Fund. Interest rates have been historically low, so a Fund faces a heightened risk that interest rates may rise. Debt securities subject to prepayment can offer less potential for gains during a declining interest rate environment and similar or greater potential for loss in a rising interest rate environment. |
• | Call Risk. During periods of declining interest rates, a bond issuer may “call” or repay its high yielding bonds before their maturity dates. |
• | Liquidity Risk. Certain securities may be difficult or impossible to sell at the time and the price that a Fund would like. Trading opportunities are more limited for fixed income securities that have not received any credit ratings, have received ratings below investment grade or are not widely held. The values of these securities may fluctuate more sharply than those of other securities, and a Fund may experience some difficulty in closing out positions in these securities at prevailing market prices. |
• | Foreign Investment and Emerging Markets Risks. This is the risk that an investment in foreign (non-U.S.) securities may cause the Funds to experience more rapid and extreme changes in value than a fund that invests exclusively in securities of U.S. companies, due to factors such as currency conversion rate fluctuations, currency blockages, political and economic instability, differences in financial reporting, accounting and auditing standards, nationalization, expropriation or confiscatory taxation, and smaller and less-strict regulation of securities markets. These risks are greater in emerging markets. There is no limit to the Alternative Strategies Fund’s ability to invest in emerging market securities; however, under normal market conditions, it does not expect to invest more than 50% of its total assets in emerging market securities; however, some Funds may invest a portion of their assets in stocks of companies based outside of the United States. |
• | Forward Contracts Risk. Forward contracts involve an obligation to purchase or sell a specific currency at a future date, which may be any fixed number of days from the date of the contract as agreed by the parties in an amount and at a price set at the time of the contract. At the maturity of a forward contract, a fund may either accept or make delivery of the currency specified in the contract or, at or prior to maturity, enter into a closing transaction involving the purchase or sale of an offsetting contract. A Fund may invest in non-deliverable forwards, which are cash-settled, short-term forward contracts on foreign currencies that are non-convertible and that may be thinly traded or illiquid. The use of forward contracts involves various risks, including the risks associated with fluctuations in foreign currency and the risk that the counterparty will fail to fulfill its obligations. |
• | General Market Risk; Recent Market Events. The value of a Fund’s shares will fluctuate based on the performance of the Fund’s investments and other factors affecting the securities markets generally. Certain investments selected for a Fund’s portfolio may be worth less than the price originally paid for them, or less than they were worth at an earlier time. The value of a Fund’s investments may go up or down, sometimes dramatically and unpredictably, based on current market conditions, such as real or perceived adverse political or economic conditions, inflation, changes in interest rates, lack of liquidity in the fixed income markets or adverse investor sentiment. |
• | Healthcare Sector Risk. A Fund may invest a portion of its assets in the healthcare sector. The profitability of companies in the healthcare sector may be adversely affected by government regulations and government healthcare programs, increases or decreases in the cost of medical products and services and product liability claims, among other factors. Many healthcare companies are heavily dependent on patent protection, and the expiration of a company’s patent may adversely affect that company’s profitability. Healthcare companies are subject to competitive forces that may result in price discounting, and may be thinly capitalized and susceptible to product obsolescence. |
• | Industrial Sector Risk. A Fund may invest a portion of its assets in the industrial sector. Companies in the industrial sector could be affected by, among other things, government regulation, world events and global economic conditions, insurance costs, and labor relations issues. |
• | Investment in Investment Companies Risk. This is the risk that investing in other investment companies, including ETFs, CEFs, BDCs, unit investment trusts and open-end funds, subjects the Fund to those risks affecting the investment vehicle, including the possibility that the value of the underlying securities held by the investment vehicle could decrease or the portfolio becomes illiquid. Moreover, the High Income Alternatives Fund and its shareholders will incur its pro rata share of the underlying vehicles’ expenses, which will reduce the Fund’s performance. In addition, investments in an ETF are subject to, among other risks, the risk that the ETF’s shares may trade at a discount or premium relative to the net asset value of the shares and the listing exchange may halt trading of the ETF’s shares. BDCs may carry risks similar to those of a private equity or venture capital fund. BDC company securities are not redeemable at the option of the shareholder and they may trade in the market at a discount to their net asset value. BDCs usually trade at a discount to their net asset value because they invest in unlisted securities and have limited access to capital markets. Shares of CEFs also frequently trade at a discount to their net asset value for those and other reasons. |
• | Investment Selection Risk. The specific investments held in the Fund’s investment portfolio may underperform other funds in the same asset class or benchmarks that are representative of the general performance of the asset class because of a portfolio manager’s choice of securities. |
• | Investments in Loan Risk. Investments in loans, including loan syndicates and other direct lending opportunities, involve special types of risks, including credit risk, interest rate risk, counterparty risk and prepayment risk. Loans may offer a fixed or floating interest rate. Loans are often generally below investment grade and may be unrated. The High Income Alternatives Fund’s investments in loans can also be difficult to value accurately and may be more susceptible to liquidity risk than fixed-income instruments of similar credit quality and/or maturity. The Fund is also subject to the risk that the value of the collateral for the loan may be insufficient or unavailable to cover the borrower’s obligations should the borrower fail to make payments or become insolvent. Participations in loans may subject the Fund to the credit risk of both the borrower and the issuer of the participation and may make enforcement of loan covenants, if any, more difficult for the Fund as legal action may have to go through the issuer of the participations. Transactions in loans are often subject to long settlement periods, thus potentially limiting the ability of the Fund to invest sale proceeds in other investments and to use proceeds to meet its current redemption obligations. In addition, many banks have been weakened by the recent financial crisis, and it may be difficult for the Fund to obtain an accurate picture of a lending bank’s financial condition. |
• | Japanese Investment Risk. Japan may be subject to political, economic, nuclear and labor risks, among others. Any of these risks, individually or in the aggregate, can impact an investment made in Japan. The growth of Japan’s economy has recently lagged that of its Asian neighbors and other major developed economies. Since 2000, Japan’s economic growth rate has generally remained low relative to other advanced economies, and it may remain low in the future. The Japanese economy faces several concerns, including a financial system with large levels of nonperforming loans, overleveraged corporate balance sheets, extensive cross-ownership by major corporations, a changing corporate governance structure, large government deficits, heavy dependence on international trade and oil and other commodity imports, an aging workforce and significant population decline, sometimes unpredictable national politics, political tensions with China, and natural disasters, such as earthquakes, volcanic eruptions, typhoons and tsunamis. Any of these concerns could negatively affect the value of Japanese investments. |
• | Large Shareholder Purchase and Redemption Risk. This is the risk that a Fund may experience adverse effects when certain large shareholders purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell its securities at times when it would not otherwise do so, which may negatively impact the Fund’s net asset value and liquidity. Similarly, large share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. |
• | Leverage Risk. This is the risk that leverage may cause the effect of an increase or decrease in the value of the Alternative Strategies Fund’s portfolio securities to be magnified and the Fund to be more volatile than if leverage was not used. Leverage may result from certain transactions, including the use of derivatives and borrowing. Under normal circumstances, the Alternative Strategies Fund may borrow amounts up to one third of the value of its total assets except that it may exceed this limit to satisfy redemption requests or for other temporary purposes. |
• | LIBOR Risk. LIBOR is used extensively in the U.S. and globally as a “benchmark” or “reference rate” for various commercial and financial contracts, including corporate and municipal bonds, bank loans, asset-backed and mortgage-related securities, interest rate swaps and other derivatives. For example, debt securities in which a Fund invests may pay interest at floating rates based on LIBOR or may be subject to interest caps or floors based on LIBOR. A Fund’s derivative investments may also reference LIBOR. In addition, issuers of instruments in which a Fund invests may obtain financing at floating rates based on LIBOR, and a Fund may use leverage or borrowings based on LIBOR. In July 2017, the head of the United Kingdom Financial Conduct Authority announced the intention to phase out the use of LIBOR by the end of 2021. There is currently no definitive information regarding the future utilization of LIBOR or of any particular replacement reference rate. Abandonment of or modifications to LIBOR could have adverse impacts on newly issued financial instruments and existing financial instruments that reference LIBOR. |
• | Liquidity and Valuation Risk. It may be difficult for the Fund to purchase and sell particular investments within a reasonable time at a fair price, or the price at which it has been valued by iM Global for purposes of the Fund’s net asset value, causing the Fund to be less liquid and unable to realize what iM Global believes should be the price of the investment. Valuation of portfolio investments may be difficult, such as during periods of market turmoil or reduced liquidity, and for investments that may, for example, trade infrequently or irregularly. In these and other circumstances, an investment may be valued using fair value methodologies, which are inherently subjective, reflect good faith judgments based on available information and may not accurately estimate the price at which the Fund could sell the investment at that time. These risks may be heightened for fixed-income instruments because of the near historically low interest rate environment as of the date of this prospectus. Based on its investment strategies, a significant portion of the Fund’s investments can be difficult to value and potentially less liquid and thus particularly prone to the foregoing risks. |
• | Long Short Risk. The DBi Hedge Strategy ETF seeks long exposure to certain factors and short exposure to certain other factors. The Fund may or may not take long or short positions in correlated asset classes. The Fund could lose money if either or both of the Fund’s long and short positions produce negative returns. The sub-advisor’s proprietary, quantitative model, the Dynamic Beta Engine, may or may not identify long and short positions in correlated asset classes. There is no guarantee that the returns of the Fund’s long and short positions will produce positive returns. |
• | Managed Futures Strategy Risk. In seeking to achieve its investment objective, the DBi Managed Futures Strategy ETF will utilize various investment strategies that involve the use of complex investment techniques, and there is no guarantee that these strategies will succeed. The use of such strategies and techniques may subject the Fund to greater volatility and loss. There can be no assurance that utilizing a certain approach or model will achieve a particular level of return or reduce volatility and loss. |
• | Merger Arbitrage Risk. This is the risk that a proposed reorganization in which the Alternative Strategies Fund invests may be renegotiated or terminated. |
• | Mid-Sized Companies Risk. Securities of companies with mid-sized market capitalizations are generally more volatile and less liquid than the securities of large-capitalization companies. Mid-sized companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management. Mid-sized companies may have relatively short operating histories or may be newer public companies. Some of these companies have more aggressive capital structures, including higher debt levels, than large-cap companies, or are involved in rapidly growing or changing industries and/or new technologies, which pose additional risks. |
• | Models and Data Risk. The Alternative Strategies Fund uses proprietary systematic and quantitative models as part of its investment strategies. These models may fail to identify profitable opportunities at any time. Furthermore, the models may incorrectly identify opportunities and these misidentified opportunities may lead to substantial losses for the Fund. Models may be predictive in nature and such models may result in an incorrect assessment of future events. Data used in the construction of models may prove to be inaccurate or stale, which may result in losses for the Fund. |
• | Mortgage-Backed Securities Risk. This is the risk of investing in mortgaged-backed securities, which includes interest rate risk, prepayment risk and the risk of defaults on the mortgage loans underlying these securities. |
• | Multi-Style Management Risk. Because portions of a Fund’s assets are managed by different portfolio managers using different styles, the Fund could experience overlapping security transactions. Certain portfolio managers may be purchasing securities at the same time other portfolio managers may be selling those same securities, which may lead to higher transaction expenses compared to a Fund using a single investment management style. |
• | Non-Diversified Fund Risk. Because each of the DBi Managed Futures Strategy ETF and the DBi Hedge Strategy ETF is “non-diversified,” each may invest a greater percentage of its assets in the securities of a single issuer. As a result, a decline in the value of an investment in a single issuer could cause a Fund’s overall value to decline to a greater degree than if the Fund held a more diversified portfolio. |
• | Portfolio Turnover Risk. This is the risk that a Fund may experience high portfolio turnover rates as a result of its investment strategies. High portfolio turnover rates may indicate higher transaction costs and may result in higher taxes when shares of a Fund are held in a taxable account as compared to shares in investment companies that hold investments for a longer period. High portfolio turnover involves correspondingly greater expenses to a Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities, which may result in adverse tax consequences to a Fund’s shareholders as compared to shares in investment companies that hold investments for a longer period. |
• | Prepayment and Extension Risk. In times of declining interest rates, a Fund’s higher yielding securities will be prepaid, and the Fund will have to replace them with securities having a lower yield. Rising interest rates could extend the life of securities with lower payment rates. This is known as extension risk and may increase a Fund’s sensitivity to rising rates and its potential for price declines. |
• | Public Health Emergency Risk. This is the risk that pandemics and other public health emergencies, including outbreaks of infectious diseases such as the current outbreak of the novel coronavirus (“COVID-19”), can result, and in the case of COVID-19 is resulting, in market volatility and disruption, and materially and adversely impact economic conditions in ways that cannot be predicted, all of which could result in substantial investment losses. Containment efforts and related restrictive actions by governments and businesses have significantly diminished and disrupted global economic activity across many industries. Less developed countries and their health systems may be more vulnerable to these impacts. The ultimate impact of COVID-19 or other health emergencies on global economic conditions and businesses is impossible to predict accurately. Ongoing and potential additional material adverse economic effects of indeterminate duration and severity are possible. The resulting adverse impact on the value of an investment in a Fund could be significant and prolonged. |
• | Sector Weightings Risk. To the extent that a Fund emphasizes, from time to time, investments in a particular sector, the Fund will be subject to a greater degree to the risks particular to that sector. Market conditions, interest rates, and economic, regulatory, or financial developments could significantly affect a single sector. By focusing its investments in a particular sector, a Fund may face more risks than if it were diversified broadly over numerous sectors. |
• | Short Position Risk. A Fund will incur a loss as a result of a short position if the price of the short position instrument increases in value between the date of the short position sale and the date on which the Fund purchases an offsetting position. Short positions may be considered speculative transactions and involve special risks, including greater reliance on the ability to accurately anticipate the future value of a security or instrument. A Fund’s losses are potentially unlimited in a short position transaction. |
• | Short Sale Risk. This is the risk that the value of a security the Alternative Strategies Fund sells short does not go down as expected. The risk of loss is theoretically unlimited if the value of the security sold short continues to increase. In addition, short sales may cause the Alternative Strategies Fund to be compelled, at a time disadvantageous to it, to buy the security previously sold short, thus resulting in a loss. To meet current margin requirements, the Alternative Strategies Fund is required to deposit with the broker additional cash or securities so that the total deposit with the broker is maintained daily at 150% of the current market value of the securities sold short. |
• | Smaller Companies Risk. A Fund may invest a portion of its assets in the securities of small- and mid-sized companies. Securities of small and mid-cap companies are generally more volatile and less liquid than the securities of large-cap companies. This is because smaller companies may be more reliant on a few products, services or key personnel, which can make it riskier than investing in larger companies with more diverse product lines and structured management. |
• | Special Situations Risk. Investments in special situations (undervalued equities, merger arbitrage situations, distressed companies, etc.) may involve greater risks when compared to other investments a Fund may make due to a variety of factors. For example, mergers, acquisitions, reorganizations, liquidations or recapitalizations may fail or not be completed on the terms originally contemplated, and expected developments may not occur in a timely manner, if at all. |
• | Subsidiary Risk. By investing in the Subsidiary, the DBi Managed Futures Strategy ETF is indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Subsidiary is not registered under the 1940 Act, and, unless otherwise noted in this Prospectus, is not subject to all the investor protections of the 1940 Act. Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or the Subsidiary to continue to operate as it does currently and could adversely affect the Fund. |
• | Tax Risk. The federal income tax treatment of the DBi Managed Futures Strategy ETF’s income from the Subsidiary may be negatively affected by future legislation, Treasury Regulations (proposed or final), and/or other Internal Revenue Service (“IRS”) guidance or authorities that could affect the character, timing of recognition, and/or amount of the Fund’s investment company taxable income and/ or net capital gains and, therefore, the distributions it makes. If the Fund failed the source of income test for any taxable year but was eligible to and did cure the failure, it could incur potentially significant additional federal income tax expenses. If, on the other hand, the Fund failed to qualify as a RIC for any taxable year and was ineligible to or otherwise did not cure the failure, it would be subject to federal income tax at the fund-level on its taxable income at the regular corporate tax rate (without reduction for distributions to shareholders), with the consequence that its income available for distribution to shareholders would be reduced and distributions from its current or accumulated earnings and profits would generally be taxable to its shareholders as dividend income. |
Changes in the laws of the United States and/or the Cayman Islands could result in the inability of the Fund and/or the Subsidiary to operate as described in this Prospectus and the Statement of Additional Information (“SAI”) and could adversely affect the Fund. For example, the Cayman Islands does not currently impose any income, corporate or capital gains tax or withholding tax on the Subsidiary. If Cayman Islands law changes such that the Subsidiary must pay Cayman Islands taxes, Fund shareholders would likely suffer decreased investment returns.
• | TBAs and Dollar Rolls Risk. TBA (“to-be-announced”) and dollar roll transactions present special risks to the Alternative Strategies Fund. Although the particular TBA securities must meet industry-accepted “good delivery” standards, there can be no assurance that a security purchased on a forward commitment basis will ultimately be issued or delivered by the counterparty. During the settlement period, the Fund will still bear the risk of any decline in the value of the security to be delivered. TBAs and other forward settling securities involve leverage because they can provide investment exposure in an amount exceeding the fund’s initial investment. Leverage can magnify investment risks and cause losses to be realized more quickly. While dollar roll transactions involve the simultaneous purchase and sale of substantially similar TBA securities with different settlement dates, these transactions do not require the purchase and sale of identical securities so the characteristics of the security delivered to the Fund may be less favorable than the security delivered to the dealer. |
• | Technology Investment Risk. A Fund may invest a portion of its assets in the technology sector, which is a very volatile segment of the market. The nature of technology is that it is rapidly changing. Therefore, products or services that may initially look promising may subsequently fail or become obsolete. In addition, many technology companies are younger, smaller and unseasoned companies which may not have established products, an experienced management team, or earnings history. |
• | Unfavorable Tax Treatment Risk. This is the risk that a material portion of the Alternative Strategies Fund’s return could be in the form of net investment income or short-term capital gains, some of which may be distributed to shareholders and taxed at ordinary income tax rates. Therefore, shareholders may have a greater need to pay regular taxes than compared to other investment strategies that hold investments longer. Due to this investment strategy, it may be preferable for certain shareholders to invest in the Fund through pre-tax or tax-deferred accounts as compared to investment through currently taxable accounts. Potential shareholders are encouraged to consult their tax advisors in this regard. |
• | U.S. Government and U.S. Agency Obligations Risk. Securities issued by U.S. Government agencies and instrumentalities have different levels of U.S. Government credit support. Some are backed by the full faith and credit of the U.S. Government, while others are supported by only the discretionary authority of the U.S. Government or only by the credit of the agency or instrumentality. No assurance can be given that the U.S. Government will provide financial support to U.S. Government-sponsored instrumentalities because they are not obligated to do so by law. Guarantees of timely prepayment of principal and interest do not assure that the market prices and yields of the securities are guaranteed nor do they guarantee the NAV or performance of a Fund, which will vary with changes in interest rates, the sub-advisor’s performance and other market conditions. |
• | Value Stock Risk. Value stocks are stocks of companies that may have experienced adverse business or industry developments or may be subject to special risks that have caused the stocks to be out of favor and, in the opinion of the manager, undervalued. The value of a security believed by a manager to be undervalued may never reach what is believed to be its full (intrinsic) value, or such security’s value may decrease. |