Semper Short Duration Fund* | |||||||
Schedule of Investments - August 31, 2023 (Unaudited) | |||||||
Principal Amount | Value | ||||||
Asset-Backed Securities - Non-Agency — 13.0% | |||||||
Drive Auto Receivables Trust | |||||||
$ | 2,500,000 | Series 2021-1, Class D, 1.450%, 01/16/2029 | $ | 2,361,570 | |||
2,800,000 | Series 2021-2, Class D, 1.390%, 03/15/2029 | 2,621,866 | |||||
Enterprise Fleet Financing LLC | |||||||
2,000,000 | Series 2023-2, Class A3, 5.500%, 04/22/2030 (a) | 1,979,758 | |||||
Exeter Automobile Receivables Trust | |||||||
950,000 | Series 2021-2A, Class D, 1.400%, 04/15/2027 | 884,806 | |||||
675,000 | Series 2021-4A, Class D, 1.960%, 01/17/2028 | 625,426 | |||||
Flagship Credit Auto Trust | |||||||
2,423,000 | Series 2020-4, Class D, 2.180%, 02/16/2027 (a) | 2,292,364 | |||||
GLS Auto Receivables Trust | |||||||
1,750,000 | Series 2020-4A, Class D, 1.640%, 10/15/2026 (a) | 1,682,665 | |||||
John Deere Owner Trust | |||||||
654,098 | Series 2022-B, Class A2, 3.730%, 06/16/2025 | 649,888 | |||||
JPMorgan Chase Bank NA | |||||||
1,489,179 | Series 2021-2, Class C, 0.969%, 12/26/2028 (a) | 1,444,354 | |||||
1,688,280 | Series 2021-2, Class D, 1.138%, 12/26/2028 (a) | 1,635,857 | |||||
2,408,242 | Series 2021-3, Class B, 0.760%, 02/26/2029 (a) | 2,300,121 | |||||
Mosaic Solar Loan Trust | |||||||
578,140 | Series 2020-1A, Class B, 3.100%, 04/20/2046 (a) | 482,613 | |||||
Oxford Finance Funding Trust | |||||||
2,166,000 | Series 2023-1A, Class A2, 6.716%, 02/15/2031 (a) | 2,147,006 | |||||
Santander Bank Auto Credit | |||||||
1,769,168 | Series 2023-A, Class C, 6.736%, 06/15/2033 (a) | 1,769,967 | |||||
Santander Drive Auto Receivables Trust | |||||||
2,500,000 | Series 2021-1, Class D, 1.130%, 11/16/2026 | 2,408,197 | |||||
2,000,000 | Series 2021-2, Class D, 1.350%, 07/15/2027 | 1,901,044 | |||||
1,620,000 | Series 2021-3, Class D, 1.330%, 09/15/2027 | 1,523,362 | |||||
2,600,000 | Series 2022-2, Class C, 3.760%, 07/16/2029 | 2,489,638 | |||||
SLM Private Credit Student Loan Trust | |||||||
150,000 | Series 2003-C, Class A5, 7.886% (28-DayAuction Rate + 0.000%), 09/15/2032 (d) | 149,269 | |||||
South Carolina Student Loan Corp. | |||||||
74,094 | Series 2013-1, Class A, 5.650% (SOFR30A + 0.614%), 01/25/2041 (d) | 73,595 | |||||
Westlake Automobile Receivables Trust | |||||||
2,700,000 | Series 2022-1A, Class D, 3.490%, 03/15/2027 (a) | 2,575,355 | |||||
World Omni Automobile Lease Securitization Trust | |||||||
1,500,000 | Series 2021-A, Class A4, 0.500%, 11/16/2026 | 1,476,905 | |||||
Total Asset-Backed Securities - Non-Agency (Cost $35,680,576) | 35,475,626 | ||||||
Collateralized Loan Obligations — 13.7% | |||||||
Anchorage Capital CLO Ltd. | |||||||
2,075,579 | Series 2014-4RA, Class A, 6.677% (CME Term SOFR 3 Month + 1.312%), 01/28/2031 (a)(d) | 2,067,989 | |||||
Apidos CLO XV | |||||||
996,798 | Series 2013-15A, Class A1RR, 6.598% (CME Term SOFR 3 Month + 1.272%), 04/20/2031 (a)(d) | 993,136 | |||||
Apidos CLO XXIV | |||||||
2,500,000 | Series 2016-24A, Class A1AL, 6.538% (CME Term SOFR 3 Month + 1.212%), 10/20/2030 (a)(d) | 2,485,266 | |||||
Benefit Street Partners CLO V-B Ltd. | |||||||
1,680,000 | Series 2018-5BA, Class A1A, 6.678% (CME Term SOFR 3 Month + 1.352%), 04/20/2031 (a)(d) | 1,675,983 | |||||
Carlyle Global Market Strategies CLO Ltd. | |||||||
2,243,454 | Series 2014-5A, Class A1RR, 6.710% (CME Term SOFR 3 Month + 1.402%), 07/15/2031 (a)(d) | 2,237,953 | |||||
1,685,599 | Series 2015-1A, Class AR3, 6.568% (CME Term SOFR 3 Month + 1.242%), 07/20/2031 (a)(d) | 1,680,637 | |||||
Crestline Denali CLO XVII Ltd. | |||||||
2,500,000 | Series 2018-1A, Class AR, 6.630% (CME Term SOFR 3 Month + 1.322%), 10/15/2031 (a)(d) | 2,482,407 | |||||
Crown Point CLO IV Ltd. | |||||||
2,161,646 | Series 2018-4A, Class A, 6.688% (CME Term SOFR 3 Month + 1.362%), 04/20/2031 (a)(d) | 2,151,458 | |||||
Ellington CLO IV Ltd. | |||||||
245,196 | Series 2019-4A, Class AR, 7.150% (CME Term SOFR 3 Month + 1.842%), 04/15/2029 (a)(d) | 245,147 | |||||
KKR CLO 9 Ltd. | |||||||
615,195 | Series 9, Class AR2, 6.520% (CME Term SOFR 3 Month + 1.212%), 07/15/2030 (a)(d) | 612,014 | |||||
KKR Financial CLO Ltd. | |||||||
1,364,173 | Series 2013-1A, Class A1R, 6.860% (CME Term SOFR 3 Month + 1.552%), 04/15/2029 (a)(d) | 1,364,783 | |||||
Nassau II Ltd. | |||||||
430,155 | Series 2017-IIA, Class AL, 6.820% (CME Term SOFR 3 Month + 1.512%), 01/15/2030 (a)(d) | 429,083 | |||||
Neuberger Berman Loan Advisers CLO 25 Ltd. | |||||||
2,883,804 | Series 2017-25A, Class AR, 6.502% (CME Term SOFR 3 Month + 1.192%), 10/18/2029 (a)(d) | 2,870,287 | |||||
OHA Credit Partners VII Ltd. | |||||||
726,000 | Series 2012-7A, Class AR3, 6.711% (CME Term SOFR 3 Month + 1.332%), 02/20/2034 (a)(d) | 721,541 | |||||
OZLM VI Ltd. | |||||||
2,800,495 | Series 2014-6A, Class A1S, 6.650% (CME Term SOFR 3 Month + 1.342%), 04/17/2031 (a)(d) | 2,785,524 | |||||
OZLM VIII Ltd. | |||||||
1,510,341 | Series 2014-8A, Class A1R3, 6.550% (CME Term SOFR 3 Month + 1.242%), 10/17/2029 (a)(d) | 1,505,158 | |||||
OZLM XI Ltd. | |||||||
1,317,075 | Series 2015-11A, Class A1R, 6.881% (CME Term SOFR 3 Month + 1.512%), 10/30/2030 (a)(d) | 1,315,450 | |||||
Regatta XIV Funding Ltd. | |||||||
1,000,000 | Series 2018-3A, Class A, 6.803% (CME Term SOFR 3 Month + 1.452%), 10/25/2031 (a)(d) | 995,112 | |||||
Saranac CLO III Ltd. | |||||||
1,237,324 | Series 2014-3A, Class ALR, 7.120% (3 Month LIBOR USD + 1.600%), 06/22/2030 (a)(d) | 1,236,090 | |||||
Saranac CLO VII Ltd. | |||||||
1,010,026 | Series 2014-2A, Class A1AR, 6.871% (CME Term SOFR 3 Month + 1.492%), 11/20/2029 (a)(d) | 1,008,008 | |||||
Sound Point CLO V-R Ltd. | |||||||
1,550,000 | Series 2014-1RA, Class A, 6.722% (CME Term SOFR 3 Month + 1.412%), 07/18/2031 (a)(d) | 1,532,102 | |||||
Sound Point CLO XXI Ltd. | |||||||
1,000,000 | Series 2018-3A, Class A1A, 6.792% (CME Term SOFR 3 Month + 1.442%), 10/26/2031 (a)(d) | 988,946 | |||||
Telos CLO Ltd. | |||||||
823,339 | Series 2013-4A, Class AR, 6.810% (CME Term SOFR 3 Month + 1.502%), 01/17/2030 (a)(d) | 819,540 | |||||
Venture XVII CLO Ltd. | |||||||
760,836 | Series 2014-17A, Class ARR, 6.450% (CME Term SOFR 3 Month + 1.142%), 04/15/2027 (a)(d) | 758,209 | |||||
Wellfleet CLO Ltd. | |||||||
1,801,833 | Series 2017-2A, Class A1R, 6.648% (CME Term SOFR 3 Month + 1.322%), 10/20/2029 (a)(d) | 1,795,886 | |||||
Zais CLO 8 Ltd. | |||||||
390,034 | Series 2018-1A, Class A, 6.520% (CME Term SOFR 3 Month + 1.212%), 04/15/2029 (a)(d) | 389,071 | |||||
Total Collateralized Loan Obligations (Cost $37,257,090) | 37,146,780 | ||||||
Commercial Mortgage-Backed Securities - Agency — 0.0% | |||||||
GNMA | |||||||
289,489 | Series 2009-4, Class IO, 0.390%, 01/16/2049 (e)(f) | 566 | |||||
Total Commercial Mortgage-Backed Securities - Agency (Cost $1,633) | 566 | ||||||
Commercial Mortgage-Backed Securities - Non-Agency — 16.7% | |||||||
Arbor Realty Collateralized Loan Obligation Ltd. | |||||||
1,113,000 | Series 2021-FL2, Class C, 7.375% (CME Term SOFR 1 Month + 2.064%), 05/15/2036 (a)(d) | 1,057,266 | |||||
3,000,000 | Series 2021-FL2, Class D, 7.925% (CME Term SOFR 1 Month + 2.614%), 05/15/2036 (a)(d) | 2,800,597 | |||||
Barclays Commercial Mortgage Securities LLC | |||||||
1,000,000 | Series 2019-BWAY, Class A, 6.380% (CME Term SOFR 1 Month + 1.070%), 11/15/2034 (a)(d) | 808,656 | |||||
BDS Ltd. | |||||||
3,250,000 | Series 2021-FL7, Class D, 7.776% (CME Term SOFR 1 Month + 2.464%), 06/16/2036 (a)(d) | 3,077,007 | |||||
2,500,000 | Series 2021-FL7, Class E, 8.226% (CME Term SOFR 1 Month + 2.914%), 06/16/2036 (a)(d) | 2,328,310 | |||||
BrightSpire Capital, Inc. | |||||||
2,400,000 | Series 2021-FL1, Class A, 6.578% (CME Term SOFR 1 Month + 1.264%), 08/19/2038 (a)(b) | 2,334,600 | |||||
BX Commercial Mortgage Trust | |||||||
2,500,000 | Series 2021-VOLT, Class F, 7.825% (CME Term SOFR 1 Month + 2.514%), 09/15/2036 (a)(d) | 2,350,631 | |||||
3,249,417 | Series 2021-SOAR, Class E, 7.225% (CME Term SOFR 1 Month + 1.914%), 06/15/2038 (a)(d) | 3,149,152 | |||||
BXMT Ltd. | |||||||
2,950,000 | Series 2020-FL2, Class C, 7.078% (CME Term SOFR 1 Month + 1.764%), 02/15/2038 (a)(b) | 2,537,661 | |||||
3,000,000 | Series 2021-FL4, Class C, 7.178% (CME Term SOFR 1 Month + 1.864%), 05/15/2038 (a)(b) | 2,679,732 | |||||
3,500,000 | Series 2021-FL4, Class D, 7.678% (CME Term SOFR 1 Month + 2.364%), 05/15/2038 (a)(b) | 3,049,883 | |||||
Credit Suisse Mortgage Capital | |||||||
1,596,029 | Series 2019-ICE4, Class E, 7.508% (CME Term SOFR 1 Month + 2.197%), 05/15/2036 (a)(d) | 1,572,663 | |||||
DBCG Mortgage Trust | |||||||
350,000 | Series 2017-BBG, Class C, 8.500% (Prime Rate + 0.000%), 06/15/2034 (a)(d) | 332,565 | |||||
GPMT Ltd. | |||||||
1,000,000 | Series 2021-FL3, Class B, 7.376% (CME Term SOFR 1 Month + 2.064%), 07/16/2035 (a)(b) | 942,644 | |||||
HGI CRE CLO Ltd. | |||||||
934,000 | Series 2021-FL1, Class AS, 6.827% (CME Term SOFR 1 Month + 1.514%), 06/16/2036 (a)(b) | 907,211 | |||||
2,000,000 | Series 2021-FL1, Class D, 7.777% (CME Term SOFR 1 Month + 2.464%), 06/16/2036 (a)(d) | 1,850,316 | |||||
750,000 | Series 2021-FL1, Class E, 8.377% (CME Term SOFR 1 Month + 3.064%), 06/16/2036 (a)(d) | 687,088 | |||||
1,500,000 | Series 2021-FL2, Class D, 7.577% (1 Month LIBOR USD + 2.150%), 09/17/2036 (a)(b) | 1,392,105 | |||||
2,038,000 | Series 2021-FL2, Class E, 7.877% (1 Month LIBOR USD + 2.450%), 09/17/2036 (a)(b) | 1,873,925 | |||||
Morgan Stanley Capital I Trust | |||||||
2,000,000 | Series 2014-150E, Class A, 3.912%, 09/09/2032 (a) | 1,456,718 | |||||
Multi-Family Housing Mortgage Loan Trust | |||||||
1,000,000 | Series 2021-FL5, Class D, 7.928% (CME Term SOFR 1 Month + 2.614%), 07/15/2036 (a)(d) | 977,216 | |||||
3,300,000 | Series 2021-FL6, Class C, 7.276% (CME Term SOFR 1 Month + 1.964%), 07/16/2036 (a)(d) | 3,151,841 | |||||
1,700,000 | Series 2021-FL7, Class E, 8.226% (CME Term SOFR 1 Month + 2.914%), 10/16/2036 (a)(d) | 1,565,179 | |||||
Shelter Growth CRE Issuer Ltd. | |||||||
2,000,000 | Series 2023-FL5, Class A, 8.068% (CME Term SOFR 1 Month + 2.754%), 05/19/2038 (a)(b) | 2,006,603 | |||||
Velocity Commercial Capital Loan Trust | |||||||
90,297 | Series 2017-2, Class AFL, 6.329% (SOFR3OA + 0.900%), 11/25/2047 (a)(d) | 89,398 | |||||
333,857 | Series 2019-2, Class M3, 3.480%, 07/25/2049 (a)(e) | 284,920 | |||||
Total Commercial Mortgage-Backed Securities - Non-Agency (Cost $48,631,151) | 45,263,887 | ||||||
Corporate Bonds — 0.7% | |||||||
Korth Direct Mortgage, Inc. | |||||||
2,000,000 | 10.000%, 03/25/2025 (a)(c) | 1,891,250 | |||||
Total Corporate Bonds (Cost $1,926,854) | 1,891,250 | ||||||
Residential Mortgage-Backed Securities - Agency — 20.3% | |||||||
Fannie Mae Connecticut Avenue Securities | |||||||
17,196 | Series 2014-C04, Class 2M2, 10.402% (SOFR30A + 5.114%), 11/25/2024 (d) | 17,381 | |||||
80,698 | Series 2017-C01, Class 1ED1, 6.652% (SOFR30A + 1.364%), 07/25/2029 (d) | 80,898 | |||||
1,884,219 | Series 2019-R06, Class 2B1, 9.152% (SOFR30A + 3.864%), 09/25/2039 (a)(d) | 1,923,758 | |||||
1,983,000 | Series 2020-SBT1, Class 1M2, 9.052% (SOFR30A + 3.764%), 02/25/2040 (a)(d) | 2,052,548 | |||||
3,350,000 | Series 2021-R01, Class 1M2, 6.838% (SOFR30A + 1.550%), 10/25/2041 (a)(d) | 3,315,408 | |||||
1,150,000 | Series 2021-R01, Class 1B1, 8.388% (SOFR30A + 3.100%), 10/25/2041 (a)(d) | 1,149,281 | |||||
2,000,000 | Series 2021-R02, Class 2M2, 7.288% (SOFR30A + 2.000%), 11/25/2041 (a)(d) | 1,969,313 | |||||
510,000 | Series 2021-R03, Class 1M2, 6.938% (SOFR30A + 1.650%), 12/25/2041 (a)(d) | 500,857 | |||||
1,000,000 | Series 2023-R01, Class 1M2, 9.046% (SOFR30A + 3.750%), 12/25/2042 (a)(d) | 1,042,617 | |||||
1,460,000 | Series 2023-R03, Class 2M2, 9.188% (SOFR30A + 3.900%), 04/25/2043 (a)(d) | 1,520,918 | |||||
2,750,000 | Series 2023-R04, Class 1M2, 8.846% (SOFR30A + 3.550%), 05/25/2043 (a)(d) | 2,864,645 | |||||
2,000,000 | Series 2023-R05, Class 1M2, 8.396% (SOFR30A + 3.100%), 06/25/2043 (a)(d) | 2,039,850 | |||||
1,267,000 | Series 2023-R06, Class 1M2, 7.988% (SOFR30A + 2.700%), 07/25/2043 (a)(d) | 1,276,689 | |||||
Federal Home Loan Mortgage Corp. | |||||||
1,853,234 | Series 2023-HQA2, Class M1A, 7.288% (SOFR30A + 2.000%), 06/25/2043 (a)(d) | 1,867,162 | |||||
Freddie Mac STACR REMIC Trust | |||||||
3,891,665 | Series 2021-HQA1, Class M2AS, 6.538% (SOFR30A + 1.250%), 08/25/2033 (a)(d) | 3,866,924 | |||||
3,000,000 | Series 2022-DNA3, Class M1B, 8.188% (SOFR30A + 2.900%), 04/25/2042 (a)(d) | 3,049,395 | |||||
3,300,000 | Series 2020-DNA1, Class B1, 7.702% (SOFR30A + 2.414%), 01/25/2050 (a)(d) | 3,278,905 | |||||
966,134 | Series 2020-DNA4, Class B1, 11.402% (SOFR30A + 6.114%), 08/25/2050 (a)(d) | 1,076,032 | |||||
912,306 | Series 2020-HQA4, Class B1, 10.652% (SOFR30A + 5.364%), 09/25/2050 (a)(d) | 971,966 | |||||
1,060,000 | Series 2021-DNA1, Class B1, 7.938% (SOFR30A + 2.650%), 01/25/2051 (a)(d) | 1,030,267 | |||||
1,146,586 | Series 2022-DNA7, Class M1A, 7.788% (SOFR30A + 2.500%), 03/25/2052 (a)(d) | 1,165,538 | |||||
Freddie Mac Structured Agency Credit Risk | |||||||
1,426,452 | Series 2017-HQA3, Class M2B, 7.752% (SOFR30A + 2.464%), 04/25/2030 (d) | 1,436,689 | |||||
3,848,158 | Series 2021-DNA2, Class M2, 7.588% (SOFR30A + 2.300%), 08/25/2033 (a)(d) | 3,870,268 | |||||
2,060,000 | Series 2021-DNA2, Class B1, 8.688% (SOFR30A + 3.400%), 08/25/2033 (a)(d) | 2,116,676 | |||||
1,285,000 | Series 2021-DNA6, Class M2, 6.788% (SOFR30A + 1.500%), 10/25/2041 (a)(d) | 1,259,255 | |||||
2,042,000 | Series 2018-HRP2, Class B1, 9.602% (SOFR30A + 4.314%), 02/25/2047 (a)(d) | 2,172,609 | |||||
29,416 | Series 2018-SPI2, Class M2, 3.836%, 05/25/2048 (a)(e) | 27,985 | |||||
1,350,000 | Series 2020-HQA5, Class B1, 9.288% (SOFR30A + 4.000%), 11/25/2050 (a)(d) | 1,409,063 | |||||
Freddie Mac Structured Agency Credit Risk REMIC Trust | |||||||
1,500,000 | Series 2021-DNA3, Class B1, 8.788% (SOFR30A + 3.500%), 10/25/2033 (a)(d) | 1,541,467 | |||||
3,269,000 | Series 2021-DNA5, Class B1, 8.338% (SOFR30A + 3.050%), 01/25/2034 (a)(d) | 3,269,121 | |||||
1,000,000 | Series 2022-DNA4, Class M1B, 8.638% (SOFR30A + 3.350%), 05/25/2042 (a)(d) | 1,026,665 | |||||
1,000,000 | Series 2022-DNA6, Class M1B, 8.988% (SOFR30A + 3.700%), 09/25/2042 (a)(d) | 1,043,573 | |||||
GNMA | |||||||
5,734 | Series 2008-55, Class WT, 5.516%, 06/20/2037 (e) | 5,672 | |||||
Total Residential Mortgage-Backed Securities - Agency (Cost $54,435,196) | 55,239,395 | ||||||
Residential Mortgage-Backed Securities - Non-Agency — 18.9% | |||||||
AMSR Trust | |||||||
2,296,000 | Series 2020-SFR4, Class G2, 4.870%, 11/17/2037 (a) | 2,109,361 | |||||
Angel Oak Mortgage Trust | |||||||
620,000 | Series 2021-3, Class M1, 2.479%, 05/25/2066 (a)(e) | 399,058 | |||||
Bellemeade Re Ltd. | |||||||
2,000,000 | Series 2021-1A, Class M1C, 8.238% (SOFR30A + 2.950%), 03/25/2031 (a)(d) | 2,031,914 | |||||
3,450,000 | Series 2021-2A, Class M1C, 7.138% (SOFR30A + 1.850%), 06/25/2031 (a)(d) | 3,427,350 | |||||
1,725,000 | Series 2021-3A, Class M1C, 6.838% (SOFR30A + 1.550%), 09/25/2031 (a)(d) | 1,686,044 | |||||
Bombardier Capital Mortgage Securitization Corp. | |||||||
86,567 | Series 1999-B, Class A3, 7.180%, 12/15/2029 (e) | 9,388 | |||||
Boston Lending Trust | |||||||
1,119,705 | Series 2021-1, Class M1, 2.000%, 07/25/2061 (a)(b) | 551,685 | |||||
520,793 | Series 2021-1, Class M2, 2.000%, 07/25/2061 (a)(b) | 214,799 | |||||
Brean Asset Backed Securities Trust | |||||||
2,160,910 | Series 2022-RM5, Class A, 4.500%, 09/25/2062 (a)(e) | 1,938,188 | |||||
Centex Home Equity Loan Trust | |||||||
4,657 | Series 2003-A, Class AF4, 3.750%, 12/25/2031 (b) | 4,628 | |||||
Chase Mortgage Finance Corp. | |||||||
1,202,631 | Series 2021-CL1, Class M2, 6.638% (SOFR30A + 1.350%), 02/25/2050 (a)(d) | 1,120,262 | |||||
Credit-Based Asset Servicing and Securitization | |||||||
3 | Series 2003-CB1, Class AF, 3.950%, 01/25/2033 | 2 | |||||
Deephaven Residential Mortgage Trust | |||||||
1,405,141 | Series 2021-3, Class A2, 1.400%, 08/25/2066 (a)(b)(e) | 1,165,564 | |||||
Eagle RE Ltd. | |||||||
2,977,834 | Series 2021-1, Class M1C, 7.988% (SOFR30A + 2.700%), 10/25/2033 (a)(d) | 3,005,156 | |||||
GCAT Trust | |||||||
2,306,348 | Series 2023-NQM1, Class A1, 4.250%, 10/25/2057 (a)(b) | 2,094,847 | |||||
Home RE Ltd. | |||||||
1,000,000 | Series 2021-1, Class M1C, 7.729% (SOFR3OA + 2.300%), 07/25/2033 (a)(d) | 1,002,931 | |||||
1,136,000 | Series 2021-1, Class M2, 8.279% (SOFR3OA + 2.850%), 07/25/2033 (a)(d) | 1,140,397 | |||||
IMC Home Equity Loan Trust | |||||||
1,618 | Series 1998-3, Class A8, 5.432%, 08/20/2029 (b) | 1,598 | |||||
JP Morgan Mortgage Trust | |||||||
58,337 | Series 2014-IVR6, Class 2A4, 6.338%, 07/25/2044 (a)(e) | 57,410 | |||||
2,619,169 | Series 2018-7FRB, Class B3, 6.514%, 04/25/2046 (a)(e) | 2,439,305 | |||||
4,135,729 | Series 2019-6, Class B3, 4.242%, 12/25/2049 (a)(e) | 3,716,978 | |||||
JP Morgan Wealth Management | |||||||
1,162,344 | Series 2021-CL1, Class M3, 7.088% (SOFR30A + 1.800%), 03/25/2051 (a)(d) | 1,065,787 | |||||
LSTAR Securities Investment Ltd. | |||||||
4,606,775 | Series 2023-1, Class A1, 8.810% (SOFR + 3.500%), 01/01/2028 (a)(b) | 4,623,900 | |||||
MFRA Trust | |||||||
2,600,000 | Series 2023-NQM3, Class A2, 7.022%, 07/25/2068 (a)(b)(c) | 2,599,957 | |||||
Progress Residential Trust | |||||||
2,750,000 | Series 2021-SFR1, Class B, 1.303%, 04/17/2038 (a) | 2,430,869 | |||||
Radnor RE Ltd. | |||||||
3,000,000 | Series 2022-1, Class M1A, 9.038% (SOFR30A + 3.750%), 09/25/2032 (a)(d) | 3,069,465 | |||||
1,000,000 | Series 2023-1, Class M1A, 7.988% (SOFR30A + 2.700%), 07/25/2033 (a)(d) | 1,005,100 | |||||
1,500,000 | Series 2021-1, Class M1C, 7.988% (SOFR30A + 2.700%), 12/27/2033 (a)(d) | 1,519,842 | |||||
Star Trust | |||||||
3,460,000 | Series 2021-SFR1, Class E, 7.125% (CME Term SOFR 1 Month + 1.814%), 04/17/2038 (a)(d) | 3,303,923 | |||||
Towd Point HE Trust | |||||||
1,230,000 | Series 2021-HE1, Class M2, 2.500%, 02/25/2063 (a)(e) | 1,081,095 | |||||
Vericrest Opportunity Loan Transferee | |||||||
1,301,867 | Series 2021-NPL6, Class A1, 2.240%, 04/25/2051 (a)(b) | 1,221,364 | |||||
1,537,285 | Series 2021-NP11, Class A1, 1.868%, 08/25/2051 (a)(b) | 1,432,013 | |||||
Total Residential Mortgage-Backed Securities - Non-Agency (Cost $53,715,615) | 51,470,180 | ||||||
Shares/Principal Amount | |||||||
Short-Term Investments — 17.6% | |||||||
Money Market Fund — 8.4% | |||||||
22,923,581 | First American Government Obligations Fund, Class Z, 5.207% (g) | 22,923,581 | |||||
U.S. Treasury Bills — 9.2% | |||||||
$ | 25,000,000 | 5.217%, 9/5/2023 (h) | 24,985,513 | ||||
Total Short-Term Investments (Cost $47,909,089) | 47,909,094 | ||||||
Total Investments (Cost $279,557,204) — 100.9% | 274,396,778 | ||||||
Liabilities in Excess of Other Assets — (0.9)% | (2,313,767 | ) | |||||
Total Net Assets — 100.00% | $ | 272,083,011 | |||||
GNMA - Government National Mortgage Association |
LIBOR - London Interbank Offered Rate |
REMIC - Real Estate Mortgage Investment Conduit |
SOFR - Secured Overnight Financing Rate |
SOFR30A - 30 Day Secured Overnight Financing Rate Average |
**Effective September 26, 2023, the Fund’s name changed to the Medalist Partners Short Duration Fund.
(a) | Security purchased within the terms of a private placement memorandum, exempt from registration under Rule 144A of the Securities Act of 1933, as amended, and may be sold only to dealers in the program or other “qualified institutional buyers.” As of August 31, 2023, the value of these investments was $207,765,298 or 76.4% total net assets. |
(b) | Step coupon bond. Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of August 31, 2023. |
(c) | Security valued at fair value using methods determined in good faith by or at the direction of Fund's valuation designee. Value determined using significant unobservable inputs. As of August 31, 2023, the total value of fair valued securities was $4,491,207 or 1.7% of total net assets. |
(d) | Variable or floating rate security based on a reference index and spread. The rate reported is the rate in effect as of August 31, 2023. |
(e) | Variable rate security. The coupon is based on an underlying pool of loans and represents the rate in effect as of August 31, 2023. |
(f) | Interest only security. |
(g) | Rate shown represents the 7-day annualized yield as of August 31, 2023. |
(h) | Rate shown is the discount rate at August 31, 2023. |
Semper Short Duration Fund
Summary of Fair Value Disclosure at August 31, 2023 (Unaudited)
The Fund utilizes various methods to measure the fair value of its investments on a recurring basis. Accounting principles generally accepted in the United States of America ("U.S. GAAP") establish a hierarchy that prioritizes inputs to valuation methods. The three levels of inputs are:
Level 1 - Unadjusted quoted prices in active markets for identical assets or liabilities that the Fund has the ability to access.
Level 2 - Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates and similar data.
Level 3 - Unobservable inputs for the asset or liability, to the extent relevant observable inputs are not available, representing the Fund's own assumptions about the assumptions a market participant would use in valuing the asset or liability, and would be based on the best information available.
The following is a summary of the inputs used to value the Fund's investments as of August 31, 2023:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Fixed Income Securities | ||||||||||||||||
Asset-Backed Securities - Non-Agency | $ | – | $ | 35,475,626 | $ | – | $ | 35,475,626 | ||||||||
Collateralized Loan Obligations | – | 37,146,780 | – | 37,146,780 | ||||||||||||
Commercial Mortgage-Backed Securities - Agency | – | 566 | – | 566 | ||||||||||||
Commercial Mortgage-Backed Securities - Non-Agency | – | 45,263,887 | – | 45,263,887 | ||||||||||||
Corporate Bonds | – | – | 1,891,250 | 1,891,250 | ||||||||||||
Residential Mortgage-Backed Securities - Agency | – | 55,239,395 | – | 55,239,395 | ||||||||||||
Residential Mortgage-Backed Securities - Non-Agency | – | 48,870,223 | 2,599,957 | 51,470,180 | ||||||||||||
Total Fixed Income Securities | – | 221,996,477 | 4,491,207 | 226,487,684 | ||||||||||||
Money Market Fund | 22,923,581 | – | – | 22,923,581 | ||||||||||||
U.S. Treasury Bills | – | 24,985,513 | – | 24,985,513 | ||||||||||||
Total Investments | $ | 22,923,581 | $ | 246,981,990 | $ | 4,491,207 | $ | 274,396,778 | ||||||||
Refer to the Fund's schedule of investments for a detailed break-out of securities by industry classification. |
The following is a reconciliation of the Fund’s level 3 investments for which significant unobservable inputs were used in determining value.
Investments in Securities, at Value | ||||||||
Corporate Bond | Residential MBS- Non-Agency | |||||||
Balance as of November 30, 2022 | $ | 1,891,250 | $ | - | ||||
Accrued discounts/premiums | 30,382 | - | ||||||
Realized gain/(loss) | - | - | ||||||
Change in unrealized appreciation/(depreciation) | (30,382 | ) | - | |||||
Purchases | - | 2,599,957 | ||||||
Sales | - | - | ||||||
Transfers in and/or out of Level 3 | - | - | ||||||
Balance as of August 31, 2023 | $ | 1,891,250 | $ | 2,599,957 |
The change in unrealized appreciation/(depreciation) for level 3 securities still held at August 31, 2023, and still classified as level 3 was $(30,382).
The following is a summary of quantitative information about level 3 valued measurements:
8/31/23 | Valuation Technique(s) | Unobservable Input | Input/Range | |
Corporate Bonds | $1,891,250 | Market Transaction Method | Prior/Recent Transaction | $94.56 |
Residential Mortgage-Backed | ||||
Securities - Non-Agency | $2,599,957 | Market Transaction Method | Prior/Recent Transaction | $100.00 |