Medalist Partners MBS Total Return Fund | ||||||||
Schedule of Investments | ||||||||
as of February 29, 2024 (Unaudited) | ||||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES - NON-AGENCY - 63.0% | Par | Value | ||||||
AFC Home Equity Loan Trust, Series 1997-3, Class 1A4, 7.47%, 09/27/2027 (b) | $ | 36,482 | $ | 35,732 | ||||
AMSR Trust | ||||||||
Series 2020-SFR4, Class G1, 4.00%, 11/17/2037 (a) | 750,000 | 709,993 | ||||||
Series 2021-SFR3, Class H, 4.90%, 10/17/2038 (a) | 1,750,000 | 1,545,689 | ||||||
Angel Oak Mortgage Trust, Series 2023-6, Class A3, 6.50%, 12/25/2067 (a) | 907,108 | 907,831 | ||||||
Asset Backed Securities Corp. Home Equity Loan Trust, Series 1999-LB1, Class A1F, 7.11%, | ||||||||
06/21/2029 | 266,033 | 264,772 | ||||||
Banc of America Funding Corp. | ||||||||
Series 2006-D, Class 5A2, 4.41%, 05/20/2036 (c) | 5,774 | 4,998 | ||||||
Series 2008-R4, Class 1A4, 5.86% (1 mo. Term SOFR + 0.56%), 07/25/2037 (a) | 1,124,425 | 779,087 | ||||||
BRAVO Residential Funding Trust, Series 2024-NQM2, Class B1, 7.91%, 02/25/2064 (a) | 1,335,000 | 1,341,362 | ||||||
Chase Mortgage Finance Corp., Series 2020-CL1, Class M4, 9.79% (1 mo. Term SOFR + 4.46%), 10/25/2057 (a) | 271,991 | 274,557 | ||||||
Citigroup Mortgage Loan Trust, Series 2004-HYB4, Class WA, 6.25%, 12/25/2034 (c) | 3,808 | 3,638 | ||||||
COLT Mortgage Loan Trust | ||||||||
Series 2021-3, Class B2, 4.12%, 09/27/2066 (a)(c) | 1,578,000 | 1,054,373 | ||||||
Series 2021-4, Class B2, 4.14%, 10/25/2066 (a)(c) | 2,625,000 | 1,757,304 | ||||||
Conseco Finance Home Loan Trust, Series 2000-E, Class B1, 10.26%, 08/15/2031 (c) | 69,409 | 7,940 | ||||||
CoreVest American Finance Trust | ||||||||
Series 2019-1, Class D, 4.82%, 03/15/2052 (a) | 1,600,000 | 1,500,572 | ||||||
Series 2019-1, Class E, 5.59%, 03/15/2052 (a)(c) | 242,500 | 225,517 | ||||||
Countrywide Alternative Loan Trust | ||||||||
Series 2004-15, Class 2A2, 5.33%, 09/25/2034 (c) | 217,352 | 196,321 | ||||||
Series 2006-4CB, Class 2A3, 5.50%, 04/25/2036 | 3,396 | 2,500 | ||||||
Series 2006-OA3, Class 1A1, 5.84% (1 mo. Term SOFR + 0.51%), 05/25/2036 | 7,218 | 6,359 | ||||||
Series 2006-OA9, Class 1A1, 5.63% (1 mo. Term SOFR + 0.31%), 07/20/2046 | 22,336 | 18,045 | ||||||
Credit Suisse Mortgage Trust | ||||||||
Series 2020-AFC1, Class B1, 3.45%, 02/25/2050 (a)(c) | 4,228,000 | 3,635,760 | ||||||
Series 2020-AFC1, Class B2, 4.42%, 02/25/2050 (a)(c) | 5,459,650 | 4,446,275 | ||||||
Deephaven Residential Mortgage Trust | ||||||||
Series 2021-1, Class B2, 3.96%, 05/25/2065 (a)(c) | 3,200,000 | 2,575,034 | ||||||
Series 2021-4, Class B2, 4.46%, 11/25/2066 (a)(c) | 4,000,000 | 3,026,928 | ||||||
Eagle Re Ltd., Series 2023-1, Class M1A, 7.32% (30 day avg SOFR US + 2.00%), 09/26/2033 (a) | 727,000 | 731,445 | ||||||
Flagstar Mortgage Trust, Series 2018-1, Class B5, 3.94%, 03/25/2048 (a)(c) | 1,206,000 | 845,037 | ||||||
Fort KL, Series 2021-SFR1, Class G, 4.11%, 09/17/2038 (a) | 2,811,000 | 2,430,382 | ||||||
GreenPoint Mortgage Funding Trust, Series 2005-AR4, Class 4A1A, 6.06% (1 mo. Term SOFR + 0.73%), 10/25/2045 | 15,502,942 | 14,258,272 | ||||||
GSAA Home Equity Trust, Series 2006-5, Class 2A1, 5.58% (1 mo. Term SOFR + 0.25%), 03/25/2036 | 24,787 | 8,323 | ||||||
JP Morgan Mortgage Trust | ||||||||
Series 2019-5, Class B5, 4.48%, 11/25/2049 (a)(c) | 1,232,439 | 968,639 | ||||||
Series 2019-5, Class B6, 3.55%, 11/25/2049 (a)(c) | 3,541,051 | 2,115,493 | ||||||
Series 2019-HYB1, Class B4, 4.92%, 10/25/2049 (a)(c) | 4,883,416 | 4,666,035 | ||||||
Series 2020-2, Class B6Z, 7.11%, 07/25/2050 (a)(c) | 3,864,437 | 2,759,812 | ||||||
Series 2021-3, Class A3X, 0.50%, 07/25/2051 (a)(c)(d) | 58,559,981 | 1,671,480 | ||||||
JP Morgan Wealth Management | ||||||||
Series 2021-CL1, Class M4, 8.07% (30 day avg SOFR US + 2.75%), 03/25/2051 (a) | 941,900 | 890,185 | ||||||
Series 2021-CL1, Class M5, 9.17% (30 day avg SOFR US + 3.85%), 03/25/2051 (a) | 641,099 | 587,541 | ||||||
Merrill Lynch Mortgage Investors Trust, Series 2005-AR1, Class M2, 6.44% (1 mo. Term SOFR + 1.12%), 06/25/2036 | 2,037,453 | 1,579,292 | ||||||
Mill City Mortgage Loan Trust, Series 2019-1, Class B1, 3.50%, 10/25/2069 (a)(c) | 2,245,863 | 1,876,421 | ||||||
New Residential Mortgage Loan Trust | ||||||||
Series 2021-NQ2R, Class B1, 3.01%, 10/25/2058 (a)(c) | 2,034,000 | 1,661,733 | ||||||
Series 2021-NQ2R, Class B2, 3.96%, 10/25/2058 (a)(c) | 1,813,000 | 1,489,467 | ||||||
NMLT Trust, Series 2021-INV1, Class B1, 3.61%, 05/25/2056 (a)(c) | 2,326,000 | 1,621,803 | ||||||
Onslow Bay Mortgage Loan Trust | ||||||||
Series 2024-NQM2, Class A3, 6.18%, 12/25/2063 (a) | 1,625,002 | 1,621,669 | ||||||
Series 2024-NQM2, Class M1, 6.86%, 12/25/2063 (a)(c) | 1,238,000 | 1,235,518 | ||||||
Pretium Mortgage Credit Partners LLC, Series 2021-NPL6, Class A2, 5.07%, 07/25/2051 (a)(b) | 2,250,000 | 2,046,474 | ||||||
Progress Residential Trust | ||||||||
Series 2020-SFR3, Class H, 6.23%, 10/17/2027 (a) | 1,000,000 | 963,708 | ||||||
Series 2021-SFR1, Class B, 1.30%, 04/17/2038 (a) | 2,750,000 | 2,516,409 | ||||||
PRPM LLC, Series 2024-RCF1, Class A1, 4.00%, 01/25/2054 (a) | 796,181 | 763,589 | ||||||
RAAC Series Trust, Series 2004-SP1, Class AI3, 6.12%, 03/25/2034 (b) | 1,160 | 1,136 | ||||||
Radnor Re Ltd. Series 2023-1, Class M1A, 8.02% (30 day avg SOFR US + 2.70%), 07/25/2033 (a) | 1,000,000 | 1,011,112 | ||||||
Series 2023-1, Class M1B, 9.67% (30 day avg SOFR US + 4.35%), 07/25/2033 (a) | 1,250,000 | 1,306,221 | ||||||
RALI Series Trust, Series 2006-QS6, Class 1AV, 0.77%, 06/25/2036 (c)(d) | 4,615,412 | 95,800 | ||||||
RAMP Series Trust, Series 2007-RS1, Class A3, 5.78% (1 mo. Term SOFR + 0.45%), 02/25/2037 | 9,723,687 | 2,304,285 | ||||||
Residential Accredit Loans, Inc. Series Trust | ||||||||
Series 2008-QR1, Class 2A1, 5.94% (1 mo. Term SOFR + 0.61%), 09/25/2036 | 1,380,990 | 976,689 | ||||||
Series 2006-QS18, Class 1A1, 6.04% (1 mo. Term SOFR + 0.71%), 12/25/2036 | 2,340,619 | 1,959,693 | ||||||
Residential Funding Securities Corp., Series 2002-RP1, Class A1, 6.29% (1 mo. Term SOFR + 0.97%), 03/25/2033 (a) | 429,287 | 421,215 | ||||||
Seasoned Credit Risk Transfer Trust | ||||||||
Series 2018-2, Class BX, 4.13%, 11/25/2057 (c) | 3,167,956 | 1,011,379 | ||||||
Series 2018-2, Class XSIO, 0.07%, 11/25/2057 (c)(d) | 396,266,931 | 1,076,538 | ||||||
SGR Residential Mortgage Trust, Series 2022-2, Class A3, 5.35%, 08/25/2062 (a)(c) | 875,645 | 863,839 | ||||||
Star Trust | ||||||||
Series 2021-SFR1, Class H, 9.88% (1 mo. Term SOFR + 4.56%), 04/17/2038 (a) | 1,000,000 | 916,818 | ||||||
Series 2021-SFR2, Class H, 9.58% (1 mo. Term SOFR + 4.26%), 01/17/2039 (a) | 2,421,000 | 2,255,903 | ||||||
Starwood Mortgage Residential Trust, Series 2020-INV1, Class B2, 4.26%, 11/25/2055 (a) | 1,000,000 | 782,778 | ||||||
Structured Adjustable Rate Mortgage Loan Trust, Series 2005-21, Class 3A1, 4.02%, 11/25/2035 (c) | 24,371 | 21,204 | ||||||
Toorak Mortgage Trust, Series 2024-RRTL1, Class A2, 7.57%, 02/25/2039 (a)(e) | 1,200,000 | 1,199,988 | ||||||
Towd Point Mortgage Trust | ||||||||
Series 2018-6, Class B2, 3.90%, 03/25/2058 (a)(c) | 2,750,000 | 2,051,698 | ||||||
Series 2019-1, Class B2, 3.76%, 03/25/2058 (a)(c) | 4,000,000 | 2,810,975 | ||||||
Series 2019-HY1, Class B3, 7.59% (1 mo. Term SOFR + 2.26%), 10/25/2048 (a) | 6,170,000 | 5,731,682 | ||||||
Series 2019-HY2, Class B4, 7.69% (1 mo. Term SOFR + 2.36%), 05/25/2058 (a) | 1,836,000 | 1,535,215 | ||||||
Series 2019-HY3, Class B1, 7.44% (1 mo. Term SOFR + 2.11%), 10/25/2059 (a) | 4,704,000 | 4,520,796 | ||||||
Series 2019-HY3, Class B2, 7.44% (1 mo. Term SOFR + 2.11%), 10/25/2059 (a) | 3,320,000 | 3,092,837 | ||||||
Series 2019-HY3, Class B3, 7.44% (1 mo. Term SOFR + 2.11%), 10/25/2059 (a) | 1,106,000 | 1,001,362 | ||||||
Series 2019-HY3, Class B4, 7.44% (1 mo. Term SOFR + 2.11%), 10/25/2059 (a) | 1,105,000 | 957,390 | ||||||
Series 2024-CES1, Class A1B, 6.05%, 01/25/2064 (a)(c) | 743,384 | 744,774 | ||||||
Vericrest Opportunity Loan Transferee | ||||||||
Series 2021-CF2, Class A1, 2.49%, 11/27/2051 (a)(b) | 1,895,857 | 1,763,692 | ||||||
Series 2021-NP11, Class A1, 1.87%, 08/25/2051 (a)(b) | 1,069,342 | 1,015,828 | ||||||
Series 2021-NPL2, Class A1, 4.89%, 02/27/2051 (a)(b) | 954,670 | 923,350 | ||||||
Series 2021-NPL4, Class A2, 4.95%, 03/27/2051 (a)(b) | 1,506,186 | 1,356,465 | ||||||
Series 2021-NPL6, Class A1, 2.24%, 04/25/2051 (a)(b) | 2,157,098 | 2,122,372 | ||||||
Verus Securitization Trust | ||||||||
Series 2019-INV3, Class B2, 4.79%, 11/25/2059 (a)(c) | 1,000,000 | 863,491 | ||||||
Series 2021-5, Class B2, 3.94%, 09/25/2066 (a)(c) | 1,750,000 | 1,166,317 | ||||||
Series 2021-8, Class B2, 4.33%, 11/25/2066 (a)(c) | 288,000 | 212,399 | ||||||
Series 2021-R3, Class B2, 4.07%, 04/25/2064 (a)(c) | 3,081,000 | 2,369,206 | ||||||
Washington Mutual Mortgage Pass-Through Certificates Series Trust, Series 2007-4, Class 1A5, 7.00%, 06/25/2037 | 4,695,008 | 2,269,570 | ||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - NON-AGENCY (Cost $152,233,838) | 126,343,331 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - NON-AGENCY - 16.5% | Par | Value | ||||||
Bayview Commercial Asset Trust | ||||||||
Series 2006-2A, Class M1, 5.89% (1 mo. Term SOFR + 0.58%), 07/25/2036 (a) | 534,247 | 495,574 | ||||||
Series 2006-2A, Class M3, 5.96% (1 mo. Term SOFR + 0.64%), 07/25/2036 (a) | 772,274 | 737,621 | ||||||
Series 2006-3A, Class M1, 5.95% (1 mo. Term SOFR + 0.62%), 10/25/2036 (a) | 623,216 | 586,148 | ||||||
BPR Trust, Series 2023-STON, Class D, 7.87%, 12/05/2039 (a)(c) | 2,500,000 | 2,466,003 | ||||||
BX Trust | ||||||||
Series 2018-GW, Class D, 7.39% (1 mo. Term SOFR + 2.07%), 05/15/2035 (a) | 1,895,000 | 1,882,063 | ||||||
Series 2021-VOLT, Class C, 6.53% (1 mo. Term SOFR + 1.21%), 09/15/2036 (a) | 1,000,000 | 986,384 | ||||||
Series 2021-ARIA, Class E, 7.68% (1 mo. Term SOFR + 2.36%), 10/15/2036 (a) | 1,670,000 | 1,625,281 | ||||||
Freddie Mac Multi-Family Structured Credit Risk | ||||||||
Series 2021-MN1, Class B1, 13.07% (30 day avg SOFR US + 7.75%), 01/25/2051 (a) | 3,043,000 | 3,030,054 | ||||||
Series 2021-MN3, Class B1, 12.17% (30 day avg SOFR US + 6.85%), 11/25/2051 (a) | 6,063,000 | 5,457,858 | ||||||
GPMT Ltd., Series 2021-FL4, Class C, 7.79% (1 mo. Term SOFR + 2.46%), 12/15/2036 (a) | 2,500,000 | 2,270,225 | ||||||
Greystone CRE Ltd., Series 2024-HC3, Class B, 8.96% (1 mo. Term SOFR + 3.63%), 03/15/2041 (a)(e) | 2,075,000 | 2,069,813 | ||||||
Multi-Family Connecticut Avenue Securities Trust | ||||||||
Series 2019-01, Class M10, 8.69% (30 day avg SOFR US + 3.36%), 10/25/2049 (a) | 2,169,304 | 2,141,370 | ||||||
Series 2019-01, Class B10, 10.94% (30 day avg SOFR US + 5.61%), 10/25/2049 (a) | 2,384,000 | 2,335,716 | ||||||
Series 2020-01, Class M10, 9.19% (30 day avg SOFR US + 3.86%), 03/25/2050 (a) | 996,760 | 986,544 | ||||||
Multi-Family Housing Mortgage Loan Trust Series 2023-FL12, Class C, 9.10% (1 mo. Term SOFR + 3.78%), 10/19/2038 (a) | 1,000,000 | 1,001,670 | ||||||
Series 2024-FL14, Class D, 10.16% (1 mo. Term SOFR + 4.84%), 03/19/2039 (a) | 2,500,000 | 2,504,413 | ||||||
Velocity Commercial Capital Loan Trust | ||||||||
Series 2017-2, Class M4, 5.00%, 11/25/2047 (a)(c) | 2,084,519 | 1,750,963 | ||||||
Series 2018-1, Class M5, 6.26%, 04/25/2048 (a) | 176,719 | 163,543 | ||||||
Series 2018-2, Class M3, 4.72%, 10/26/2048 (a)(c) | 196,044 | 159,803 | ||||||
Series 2019-1, Class M5, 5.70%, 03/25/2049 (a)(c) | 475,535 | 404,708 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - NON-AGENCY (Cost $33,945,308) | 33,055,754 | |||||||
RESIDENTIAL MORTGAGE-BACKED SECURITIES - AGENCY - 14.6% | Par | Value | ||||||
Fannie Mae Connecticut Avenue Securities | ||||||||
Series 2020-SBT1, Class 1B1, 12.19% (30 day avg SOFR US + 6.86%), 02/25/2040 (a) | 2,000,000 | 2,134,186 | ||||||
Series 2023-R06, Class 1M2, 8.02% (30 day avg SOFR US + 2.70%), 07/25/2043 (a) | 633,000 | 654,676 | ||||||
Series 2024-R01, Class 1B1, 8.02% (30 day avg SOFR US + 2.70%), 01/25/2044 (a) | 1,200,000 | 1,204,954 | ||||||
Series 2024-R01, Class 1B2, 9.32% (30 day avg SOFR US + 4.00%), 01/25/2044 (a) | 1,000,000 | 1,008,057 | ||||||
Series 2024-R01, Class 1M2, 7.12% (30 day avg SOFR US + 1.80%), 01/25/2044 (a) | 1,000,000 | 1,002,502 | ||||||
FNMA Grantor Trust | ||||||||
Series 2003-T2, Class A1, 5.79% (30 day avg SOFR US + 0.39%), 03/25/2033 | 22,099 | 21,718 | ||||||
Series 2004-T3, Class 2A, 4.49%, 08/25/2043 (c) | 24,504 | 24,117 | ||||||
FNMA, Pool 888534, 5.00%, 08/01/2037 | 4,946 | 4,869 | ||||||
FNMA REMIC Trust | ||||||||
Series 2007-30, Class ZM, 4.25%, 04/25/2037 | 63,540 | 58,328 | ||||||
Series 2007-W8, Class 1A5, 6.50%, 09/25/2037 (c) | 6,266 | 6,079 | ||||||
Freddie Mac Structured Agency Credit Risk | ||||||||
Series 2019-DNA4, Class B2, 11.69% (30 day avg SOFR US + 6.36%), 10/25/2049 (a) | 2,216,000 | 2,451,828 | ||||||
Series 2019-FTR3, Class B2, 10.26% (30 day avg SOFR US + 4.91%), 09/25/2047 (a) | 2,533,500 | 2,661,251 | ||||||
Series 2019-FTR4, Class B2, 10.44% (30 day avg SOFR US + 5.11%), 11/25/2047 (a) | 2,800,000 | 2,965,735 | ||||||
Series 2020-HQA5, Class B2, 12.72% (30 day avg SOFR US + 7.40%), 11/25/2050 (a) | 1,660,000 | 1,953,706 | ||||||
Series 2022-DNA2, Class M2, 9.07% (30 day avg SOFR US + 3.75%), 02/25/2042 (a) | 750,000 | 783,049 | ||||||
Series 2023-DNA2, Class M1B, 8.57% (30 day avg SOFR US + 3.25%), 04/25/2043 (a) | 2,500,000 | 2,630,403 | ||||||
Freddie Mac Structured Agency Credit Risk REMIC Trust | ||||||||
Series 2020-DNA2, Class B2, 10.24% (30 day avg SOFR US + 4.91%), 02/25/2050 (a) | 2,590,000 | 2,756,182 | ||||||
Series 2020-DNA6, Class B2, 10.97% (30 day avg SOFR US + 5.65%), 12/25/2050 (a) | 800,000 | 876,557 | ||||||
Series 2020-HQA1, Class B2, 10.54% (30 day avg SOFR US + 5.21%), 01/25/2050 (a) | 2,050,000 | 2,148,615 | ||||||
Series 2020-HQA4, Class B2, 14.84% (30 day avg SOFR US + 9.51%), 09/25/2050 (a) | 780,000 | 1,007,621 | ||||||
Series 2021-DNA3, Class B2, 11.57% (30 day avg SOFR US + 6.25%), 10/25/2033 (a) | 1,000,000 | 1,152,381 | ||||||
Freddie Mac Whole Loan Securities Trust | ||||||||
Series 2017-SC01, Class M2, 3.64%, 12/25/2046 (a)(c) | 595,000 | 523,478 | ||||||
Series 2017-SC02, Class M2, 3.86%, 05/25/2047 (a)(c) | 1,411,000 | 1,281,889 | ||||||
TOTAL RESIDENTIAL MORTGAGE-BACKED SECURITIES - AGENCY (Cost $27,529,939) | 29,312,181 | |||||||
ASSET-BACKED SECURITIES - NON-AGENCY - 2.2% | Par | Value | ||||||
Affirm, Inc., Series 2024-A, Class A, 5.61%, 02/15/2029 (a) | 1,000,000 | 1,000,977 | ||||||
Flagship Credit Auto Trust, Series 2020-4, Class D, 2.18%, 02/16/2027 (a) | 1,125,000 | 1,069,655 | ||||||
Westlake Automobile Receivables Trust, Series 2022-1A, Class D, 3.49%, 03/15/2027 (a) | 2,375,000 | 2,299,625 | ||||||
TOTAL ASSET-BACKED SECURITIES - NON-AGENCY (Cost $4,376,094) | 4,370,257 | |||||||
COMMERCIAL MORTGAGE-BACKED SECURITIES - AGENCY - 0.0% (f) | Par | Value | ||||||
Fannie Mae-Aces, Series 2006-M1, Class IO, 0.21%, 03/25/2036 (c)(d) | 982,438 | 10 | ||||||
GNMA REMIC Trust, Series 2012-25, Class IO, 0.40%, 08/16/2052 (c)(d) | 5,599 | 0 | ||||||
Government National Mortgage Association | ||||||||
Series 2002-28, Class IO, 1.11%, 01/16/2042 (c)(d) | 5,778 | 0 | ||||||
Series 2005-23, Class IO, 0.00%, 06/17/2045 (c)(d) | 109,432 | 0 | ||||||
Series 2006-68, Class IO, 0.49%, 05/16/2046 (c)(d) | 95,324 | 115 | ||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES - AGENCY (Cost $15,567) | 125 | |||||||
PRIVATE PLACEMENT - 0.0%(f) | Par | Value | ||||||
NewStream Energy Technologies Group, Inc., Convertible Promissory Note(e)(h)(i) | 749,058 | 0 | ||||||
TOTAL PRIVATE PLACEMENT (Cost $749,058) | 0 | |||||||
SHORT-TERM INVESTMENTS - 3.9% | ||||||||
Money Market Funds - 3.9% | Shares | |||||||
First American Government Obligations Fund - Class X, 5.23%(g) | 7,897,312 | 7,897,312 | ||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $7,897,312) | 7,897,312 | |||||||
TOTAL INVESTMENTS - 100.2% (Cost $226,747,116) | 200,978,960 | |||||||
Liabilities in Excess of Other Assets - (0.2)% | (423,087 | ) | ||||||
TOTAL NET ASSETS - 100.0% | $ | 200,555,873 |
FNMA - Federal National Mortgage Association | |
GNMA - Government National Mortgage Association | |
REMIC - Real Estate Mortgage Investment Conduit | |
SOFR - Secured Overnight Financing Rate |
(a) | Security is exempt from registration pursuant to Rule 144A under the Securities Act of 1933, as amended. These securities may only be resold in transactions exempt from registration to qualified institutional investors. As of February 29, 2024, the value of these securities total $166,863,926 or 83.2% of the Fund’s 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 February 29, 2024. |
(c) | Coupon rate is variable or floats based on components including but not limited to reference rate and spread. These securities may not indicate a reference rate and/or spread in their description. The rate disclosed is as of February 29, 2024. |
(d) | Interest only security. |
(e) | Fair value determined using significant unobservable inputs in accordance with procedures established by and under the supervision of the Adviser, acting as Valuation Designee. These securities represented $3,269,801 or 1.6% of net assets as of February 29, 2024. |
(f) | Represents less than 0.05% of net assets. |
(g) (h) (i) | The rate shown represents the 7-day effective yield as of February 29, 2024. Non-income producing. Security is restricted. The Fund cannot sell or otherwise transfer this agreement without prior written approval of NewStream Energy Technologies Group, Inc. As of February 29, 2024, the value of this investment was $0 or 0.0% of net assets. |
Summary of Fair Value Disclosure at February 29, 2024 (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 February 29, 2024:
Level 1 | Level 2 | Level 3 | Total | |||||||||||||
Assets: | ||||||||||||||||
Residential Mortgage-Backed Securities - Non-Agency | – | $ | 125,143,343 | $ | 1,199,988 | $ | 126,343,331 | |||||||||
Commercial Mortgage-Backed Securities - Non-Agency | – | 30,985,941 | 2,069,813 | 33,055,754 | ||||||||||||
Residential Mortgage-Backed Securities - Agency | – | 29,312,181 | – | 29,312,181 | ||||||||||||
Asset-Backed Securities - Non-Agency | – | 4,370,257 | – | 4,370,257 | ||||||||||||
Commercial Mortgage-Backed Securities - Agency | – | 125 | – | 125 | ||||||||||||
Private Placement | – | – | 0 | (a) | 0 | (a) | ||||||||||
Money Market Funds | $ | 7,897,312 | – | – | 7,897,312 | |||||||||||
Total Assets | $ | 7,897,312 | $ | 189,811,847 | $ | 3,269,801 | $ | 200,978,960 | ||||||||
Refer to the Fund’s schedule of investments for a detailed break-out of securities. |
(a) | Amount is less than $0.50. |
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 | ||||||||
Commercial MBS - Non-Agency | Residential MBS - Non-Agency | |||||||
Balance as of November 30, 2023 | $ | - | $ | - | ||||
Accrued discounts/premiums | - | - | ||||||
Realized gain/(loss) | - | - | ||||||
Change in unrealized appreciation/(depreciation) | - | - | ||||||
Purchases | 2,069,813 | 1,199,988 | ||||||
Sales | - | - | ||||||
Transfers in and/or out of Level 3 | - | - | ||||||
Balance as of February 29, 2024 | $ | 2,069,813 | $ | 1,199,988 | ||||
The change in unrealized appreciation/(depreciation) for level 3 securities still held at February 29, 2024, and still classified as level 3 was $0.
The following is a summary of quantitative information about level 3 valued measurements:
Value | Valuation Technique(s) | Unobservable Input | Input/Range | |||||||
Commercial Mortgage-Backed Securities - Non-Agency | $ | 2,069,813 | Market Transaction Method | Prior/Recent Transaction | $ | 99.75 | ||||
Residential Mortgage-Backed Securities - Non-Agency | 1,199,988 | Market Transaction Method | Prior/Recent Transaction | 100.00 |